G2TT
来源类型Discussion paper
规范类型论文
来源IDDP15503
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
URLhttps://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.
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