IDEAS home Printed from https://ideas.repec.org/p/cpr/ceprdp/11733.html

The Globalization Risk Premium

Author

Listed:
  • Sauvagnat, Julien
  • Barrot, Jean-Noël
  • Loualiche, Erik

Abstract

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.

Suggested Citation

  • Sauvagnat, Julien & Barrot, Jean-Noël & Loualiche, Erik, 2016. "The Globalization Risk Premium," CEPR Discussion Papers 11733, Centre for Economic Policy Research.
    • Handle: RePEc:cpr:ceprdp:11733
    as

    Download full text from publisher

    File URL: https://cepr.org/publications/DP11733
    Download Restriction: no
    ---><---

    Other versions of this item:

    More about this item

    JEL classification:

    • F11 - International Economics - - Trade - - - Neoclassical Models of Trade
    • F4 - International Economics - - Macroeconomic Aspects of International Trade and Finance
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:cpr:ceprdp:11733. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: CEPR (email available below). General contact details of provider: https://cepr.org/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.