Diversification, cost structure, and the risk premium of multinational corporations

• 成果类型: Article
• 署名作者: Fillat, Jose L.; Garetto, Stefania; Oldenski, Lindsay
• 署名单位: Boston University; Federal Reserve System - USA; Federal Reserve Bank - Boston; Georgetown University
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/j.jinteco.2015.01.004
• 发表日期: 2015
• 页码: 37-54
• 关键词: multinational firms; diversification; Risk premium; stock returns

摘要

We investigate theoretically and empirically the relationship between the geographic structure of a multinational corporation and its risk premium. Our structural model suggests two channels. On the one hand, multinational activity offers diversification benefits: risk premia should be higher for firms operating in countries where shocks co-vary more with the domestic ones. Second, hysteresis and operating leverage induced by fixed and sunk costs of production imply that risk premia should be higher for firms operating in countries where it is costlier to enter and produce. Our empirical analysis confirms these predictions and delivers a decomposition of firm-level risk premia into individual countries' contributions. (C) 2015 Elsevier B.V. All rights reserved.