The Globalization Risk Premium

• 成果类型: Article
• 署名作者: Barrot, Jean-Noel; Loualiche, Erik; Sauvagnat, Julien
• 署名单位: Hautes Etudes Commerciales (HEC) Paris; Center for Economic & Policy Research (CEPR); University of Minnesota System; University of Minnesota Twin Cities; Bocconi University
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12780
• 发表日期: 2019
• 页码: 2391-2439
• 关键词: import competition; PRODUCTIVITY IMPROVEMENTS; trade liberalization; INTERNATIONAL-TRADE; HOME BIAS; GROWTH; COSTS; FIRMS; geography; INFORMATION

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.