The Offshoring Return Premium

Published Online:https://doi.org/10.1287/mnsc.2017.2929

References

  • Acemoglu D, Carvalho VM, Ozdaglar A, Tahbaz-Salehi A (2012) The network origins of aggregate fluctuations. Econometrica 80(5):1977–2016.CrossrefGoogle Scholar
  • Adler M, Dumas B (1983) International portfolio choice and corporation finance: A synthesis. J. Finance 38(3):925–984.CrossrefGoogle Scholar
  • Ahern K (2013) Network centrality and the cross section of stock returns. Working paper, University of Southern California, Los Angeles.Google Scholar
  • Amihud Y (1994) Evidence on exchange rates and valuation of equity shares. Exchange Rates and Corporate Performance (Irwin Professional Publishing, Burr Ridge, IL).Google Scholar
  • Anderson JE, Van Wincoop E (2003) Gravity with gravitas: A solution to the border puzzle. Amer. Econom. Rev. 93(1):170–192.CrossrefGoogle Scholar
  • Antweiler W, Frank M (2004) Is all that talk just noise? The information content of internet stock message boards. J. Finance 52(3):1259–1294.CrossrefGoogle Scholar
  • Back K, Kapadia N, Ostdiek B (2015) Testing factor models on characteristic and covariance pure plays. Working paper, Tulane University, New Orleans.Google Scholar
  • Bailey W, Chung YP (1995) Exchange rate fluctuations, political risk, and stock returns: Some evidence from an emerging market. J. Financial Quant. Anal. 30(4):541–561.CrossrefGoogle Scholar
  • Barrot JN, Loualiche E, Sauvagnat J (2016) The globalization risk premium. Working paper, Massachusetts Institute of Technology, Cambridge.Google Scholar
  • Bartov E, Bodnar GM (1994) Firm valuation, earnings expectations, and the exchange rate exposure effect. J. Finance 49(5):1755–1785.CrossrefGoogle Scholar
  • Bekaert G, Harvey C, Lundblad C, Siegel S (2014) Political risk spreads. J. Internat. Bus. Stud. 45(4):471–493.CrossrefGoogle Scholar
  • Bernard A, Jensen JB, Schott PK (2009) Importers, exporters and multinationals: A portrait of firms in the US that trade goods. Dunne T, Jensen JB, Roberts MJ, eds. Producer Dynamics—New Evidence from Micro Data (University of Chicago Press, Chicago), 513–552.CrossrefGoogle Scholar
  • Bernard A, Jensen JB, Redding SJ, Schott PK (2007) Firms in international trade. J. Econom. Perspect. 21(3):105–130.CrossrefGoogle Scholar
  • Breeden D, Gibbons M, Litzenberger R (1989) Empirical tests of the consumption-oriented CAPM. J. Finance 44(2):231–262.Google Scholar
  • Brown G, Toft K (2002) How firms should hedge. Rev. Financial Stud. 15(4):1283–1324.CrossrefGoogle Scholar
  • Brusa F, Ramadorai T, Verdelhan A (2015) The international CAPM redux. Working paper, Temple University, Philadelphia.Google Scholar
  • Chaney T (2014) The network structure of international trade. Amer. Econom. Rev. 104(11):3600–3634.CrossrefGoogle Scholar
  • Davis J, Fama E, French K (2000) Characteristics, covariances, and average returns: 1929–1997. J. Finance 55(1):389–406.CrossrefGoogle Scholar
  • Dumas B, Solnik B (1995) The world price of foreign exchange risk. J. Finance 82(50):445–479.CrossrefGoogle Scholar
  • Eisfeldt AL, Papanikolaou D (2013) Organization capital and the cross-section of expected returns. J. Finance 68(4):1365–1406.CrossrefGoogle Scholar
  • Epstein LG, Zin SE (1989) Substitution, risk aversion, and the temporal behavior of consumption and asset returns: A theoretical framework. Econometrica 57(4):937–969.CrossrefGoogle Scholar
  • Fama E (1976) Foundations of Finance (Basic Books, New York).Google Scholar
  • Fama E, French K (1992) The cross section of expected stock returns. J. Finance 47(2):427–465.CrossrefGoogle Scholar
  • Feenstra RC, Lipsey RE, Deng H, Ma AC, Mo H (2005) World trade flows: 1962–2000. NBER Working Paper 11040, National Bureau of Economic Research, Cambridge, MA.CrossrefGoogle Scholar
  • Fillat JL, Garetto S (2015) Risk, returns, and multinational production. Quart. J. Econom. 130(4):2027–2073.CrossrefGoogle Scholar
  • Garcia D, Norli O (2012) Geographic dispersion and stock returns. J. Financial Econom. 106(3):547–565.CrossrefGoogle Scholar
  • Goyal S (2012) Connections: An Introduction to the Economics of Networks (Princeton University Press, Princeton, NJ).CrossrefGoogle Scholar
  • Grossman GM, Rossi-Hansberg E (2008) Trading tasks: A simple theory of offshoring. Amer. Econom. Rev. 98(5):1978–1997.CrossrefGoogle Scholar
  • Hanley K, Hoberg G (2010) The information content of IPO prospectuses. Rev. Financial Stud. 23(7):2821–2864.CrossrefGoogle Scholar
  • Harvey CR (2001) The international cost of capital and risk calculator (ICCRC). Duke University, Durham, NC.Google Scholar
  • Helpman E, Melitz M, Rubinstein Y (2008) Estimating trade flows: Trading partners and trading volumes. Quart. J. Econom. 123(2):441–487.CrossrefGoogle Scholar
  • Hoberg G, Moon SK (2017) Offshore activities and financial vs. operational hedging. J. Financial Econom. 125(2):217–244.CrossrefGoogle Scholar
  • Hoberg G, Phillips G (2016) Text-based network industry classifications and endogenous product differentiation. J. Political Econom. 124(5):1423–1465.CrossrefGoogle Scholar
  • Hoberg G, Welch I (2009) Optimized vs. sort based portfolios. Working paper, University of Southern California, Los Angeles.CrossrefGoogle Scholar
  • Jackson MO (2008) Social and Economic Networks, Vol. 3 (Princeton University Press, Princeton, NJ).CrossrefGoogle Scholar
  • Jegadeesh N, Titman S (1993) Returns to buying winners and selling losers: Implications for stock market efficiency. J. Finance 48(1):65–91.CrossrefGoogle Scholar
  • Jorion P (1990) The exchange-rate exposure of US multinationals. J. Bus. 63(3):331–345.CrossrefGoogle Scholar
  • Kireyev A, Leonidov A (2015) Network effects of international shocks and spillovers. IMF Working Paper 15-149, International Monetary Fund, Washington, DC.CrossrefGoogle Scholar
  • Lewis KK (1996) What can explain the apparent lack of international consumption risk sharing? J. Political Econom. 104(2):267–297.CrossrefGoogle Scholar
  • Lewis KK, Liu EX (2015) Evaluating international consumption risk sharing gains: An asset return view. J. Monetary Econom. 71(April):84–98.CrossrefGoogle Scholar
  • Loughran T, McDonald B (2011) When is a liability not a liability? Textual analysis, dictionaries, and 10-Ks. J. Finance 66(1):35–65.CrossrefGoogle Scholar
  • Lucas R (1977) Understanding business cycles. Carnegie-Rochester Conf. Ser. Public Policy, Vol. 5 (North-Holland, Amsterdam),7–29.Google Scholar
  • Lustig H, Verdelhan A (2007) The cross section of foreign currency risk premia and consumption growth risk. Amer. Econom. Rev. 97(1):89–117.CrossrefGoogle Scholar
  • Lustig H, Roussanov N, Verdelhan A (2011) Common risk factors in currency markets. Rev. Financial Stud. 24(11):3731–3777.CrossrefGoogle Scholar
  • Lustig H, Roussanov N, Verdelhan A (2014) Countercyclical currency risk premia. J. Financial Econom. 111(3):527–553.CrossrefGoogle Scholar
  • Moon SK, Phillips G (2016) Outsourcing through purchase contracts and firm capital structure. Working paper, University of Colorado, Boulder.Google Scholar
  • Perold A, Schulman E (1988) The free lunch in currency hedging: Implications for investment policy and performance standards. Financial Analysts J. 44(3):45–50.CrossrefGoogle Scholar
  • Richmond RJ (2016) Trade network centrality and currency risk premia. Working paper, New York University, New York.Google Scholar
  • Rietz TA (1988) The equity risk premium a solution. J. Monetary Econom. 22(1):117–131.CrossrefGoogle Scholar
  • Sarkissian S (2003) Incomplete consumption risk sharing and currency risk premiums. Rev. Financial Stud. 16(3):983–1005.CrossrefGoogle Scholar
  • Sebastiani F (2002) Machine learning in automated text categorization. ACM Computing Surveys 34(1):1–47.CrossrefGoogle Scholar
  • Solnik B (1974) An equilibrium model of the international capital market. J. Econom. Theory 8(4):500–524.CrossrefGoogle Scholar
  • Solnik B (1977) Testing international asset pricing: Some pessimistic views. J. Finance 32(2):503–512.CrossrefGoogle Scholar
  • Stulz R (1981) A model of international asset pricing. J. Financial Econom. 9(4):383–406.CrossrefGoogle Scholar
  • Tetlock PC (2007) Giving content to investor sentiment: The role of media in the stock market. J. Finance 62(3):1139–1168.CrossrefGoogle Scholar
  • Tuzel S, Zhang M (2017) Local risk, local factors, and asset prices. J. Finance 72(1):325–370.CrossrefGoogle Scholar
  • Vassalou M (2000) Exchange rate and foreign inflation risk premiums in global equity returns. J. Internat. Money Finance 19(3):433–470.CrossrefGoogle Scholar
  • Yogo M (2006) A consumption-based explanation of expected stock returns. J. Finance 61(2):539–580.CrossrefGoogle Scholar
INFORMS site uses cookies to store information on your computer. Some are essential to make our site work; Others help us improve the user experience. By using this site, you consent to the placement of these cookies. Please read our Privacy Statement to learn more.