| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP15503 |
| DP15503 Firms' Exposures to Geographic Risks | |
| Bernard Dumas; Tymur Gabuniya; Richard C Marston | |
| 发表日期 | 2020-11-29 |
| 出版年 | 2020 |
| 语种 | 英语 |
| 摘要 | The distinction between domicile and place of business is becoming more and more relevant as a growing number of firms have activities abroad. In most statistical studies of international stock returns, a firm is included in a country's index if its headquarters are located in that country. This classification scheme ignores the operations of the firm. We propose, instead, to measure the firm's exposures to "geographic zones" according to the place where they conduct business. As a representation of "geographic risks", we synthesize zone factors from all firms in the dataset, be they domestic firms or multinationals. And we show the properties of the exposures to the zone factors. |
| 主题 | Financial Economics |
| 关键词 | Stock return indexes Stock return exposures Geographic investing Factor models Country factors Expectations-maximization algorithm |
| URL | https://cepr.org/publications/dp15503 |
| 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/544504 |
| 推荐引用方式 GB/T 7714 | Bernard Dumas,Tymur Gabuniya,Richard C Marston. DP15503 Firms' Exposures to Geographic Risks. 2020. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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