Abstract

http://ssrn.com/abstract=2373797
 
 

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Offshore Activities and Consumption Risk


Gerard Hoberg


University of Southern California - Marshall School of Business

S. Katie Moon


Tulane University - A.B. Freeman School of Business

July 15, 2015

Robert H. Smith School Research Paper

Abstract:     
We use 10-K filings to construct novel text-based measures of the extent to which U.S. firms are exposed to three offshore activities: the sale of output, purchase of input, and ownership of producing assets. Our framework has three advantages: we account for activities in all nations, we assess returns in a single market which mitigates market segmentation bias, and we use direct text-based measures of risk exposures to reduce error in variables. We find that global consumption growth risk is priced in the U.S. equity market through offshore sales. In contrast, offshore purchasing of inputs serves as a hedge.

Number of Pages in PDF File: 54

Keywords: Offshore Activities, Global Consumption Risk, Consumption CAPM, Country Risk Premium

JEL Classification: D23, F14, F23, G12, G15


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Date posted: January 2, 2014 ; Last revised: July 16, 2015

Suggested Citation

Hoberg, Gerard and Moon, S. Katie, Offshore Activities and Consumption Risk (July 15, 2015). Robert H. Smith School Research Paper. Available at SSRN: http://ssrn.com/abstract=2373797 or http://dx.doi.org/10.2139/ssrn.2373797

Contact Information

Gerard Hoberg
University of Southern California - Marshall School of Business ( email )
Marshall School of Business
Los Angeles, CA 90089
United States
HOME PAGE: http://www-bcf.usc.edu/~hoberg/
Katie Moon (Contact Author)
Tulane University - A.B. Freeman School of Business ( email )
7 McAlister Drive
New Orleans, LA 70118
United States
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