The Globalization Risk Premium

被引：32
作者：
Barrot, Jean-Noel [1 ,2 ]
Loualiche, Erik [3 ]
Sauvagnat, Julien [2 ,4 ]
机构：
[1] HEC Paris, Paris, France
[2] CEPR, Washington, DC 20009 USA
[3] Univ Minnesota, Carlson Sch Management, Minneapolis, MN 55455 USA
[4] Bocconi Univ, Milan, Italy
来源：
JOURNAL OF FINANCE | 2019年 / 74卷 / 05期
关键词：
IMPORT COMPETITION; PRODUCTIVITY IMPROVEMENTS; TRADE LIBERALIZATION; INTERNATIONAL-TRADE; HOME BIAS; GROWTH; COSTS; FIRMS; GEOGRAPHY; INFORMATION;
D O I：
10.1111/jofi.12780
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
In this paper, we investigate how globalization is reflected in asset prices. We use shipping costs to measure firms' exposure to globalization. Firms in low shipping cost industries carry a 7% risk premium, suggesting that their cash flows covary negatively with investors' marginal utility. We find that the premium emanates from the risk of displacement of least efficient firms triggered by import competition. These findings suggest that foreign productivity shocks are associated with times when consumption is dear for investors. We discuss conditions under which a standard model of trade with asset prices can rationalize this puzzle.
引用
收藏
页码：2391 / 2439
页数：49
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