International asset pricing with strategic business groups

• 成果类型: Article
• 署名作者: Massa, Massimo; O'Donovan, James; Zhang, Hong
• 署名单位: INSEAD Business School; City University of Hong Kong; Tsinghua University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2021.09.002
• 发表日期: 2022
• 页码: 339-361
• 关键词: international asset pricing; business groups; centrality; Co-movement

摘要

Firms in global markets often belong to business groups. We argue that this feature can have a profound influence on international asset pricing. In bad times, business groups may strategically reallocate risk across affiliated firms to protect core central firms. This strategic behavior induces co-movement among central firms, creating a new intertemporal risk factor. Based on a novel data set of worldwide ownership for 2002-2012, we find that central firms are better protected in bad times and that they earn relatively lower expected returns. Moreover, a centrality factor augments traditional models in explaining the cross section of international stock returns. (C) 2021 Published by Elsevier B.V.