| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP11733 |
| DP11733 The Globalization Risk Premium | |
| julien sauvagnat; Jean-Noel Barrot; Erik Loualiche | |
| 发表日期 | 2016-12-31 |
| 出版年 | 2016 |
| 语种 | 英语 |
| 摘要 | 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 8 percent 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. |
| 主题 | Financial Economics ; International Macroeconomics and Finance |
| URL | https://cepr.org/publications/dp11733 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/540547 |
| 推荐引用方式 GB/T 7714 | julien sauvagnat,Jean-Noel Barrot,Erik Loualiche. DP11733 The Globalization Risk Premium. 2016. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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