| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP15746 |
| DP15746 International Asset Pricing with Strategic Business Groups | |
| Massimo Massa; James O'Donovan; Hong Zhang | |
| 发表日期 | 2021-02-01 |
| 出版年 | 2021 |
| 语种 | 英语 |
| 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.” The ensuing hedging demand induces co-movement among central firms, creating a new intertemporal risk factor. Based on a novel dataset 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. |
| 主题 | Financial Economics |
| 关键词 | International asset pricing Business groups Centrality Co-movement |
| URL | https://cepr.org/publications/dp15746 |
| 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/544749 |
| 推荐引用方式 GB/T 7714 | Massimo Massa,James O'Donovan,Hong Zhang. DP15746 International Asset Pricing with Strategic Business Groups. 2021. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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