Abstract

http://ssrn.com/abstract=2373797
 
 

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Offshore Activities and Consumption Risk


Gerard Hoberg


University of Southern California - FBE Dept; University of Maryland - Department of Finance

S. Katie Moon


University of Southern California - Marshall School of Business

July 30, 2014

Robert H. Smith School Research Paper

Abstract:     
We use 10-K filings to construct novel text-based measures of the extent to which publicly traded U.S. firms are exposed to three types of offshore activities: the sale of output, the purchase of input, and the ownership of assets that produce input. Our framework has three advantages: we comprehensively 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 consumption growth risk is significantly priced in the U.S. equity market through exposure to offshore sales. In contrast, offshore purchasing of inputs serves as a hedge. We report country-level consumption risk premia, which are higher in Europe and Africa, and lower in Asia.

Number of Pages in PDF File: 60

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

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

working papers series





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Date posted: January 2, 2014 ; Last revised: July 31, 2014

Suggested Citation

Hoberg, Gerard and Moon, S. Katie, Offshore Activities and Consumption Risk (July 30, 2014). 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 - FBE Dept ( email )
Marshall School of Business
Los Angeles, CA 90089
United States
HOME PAGE: http://www-bcf.usc.edu/~hoberg/
University of Maryland - Department of Finance ( email )
Robert H. Smith School of Business
Van Munching Hall
College Park, MD 20742
United States
HOME PAGE: http://www.rhsmith.umd.edu/finance/faculty/hoberg.aspx
Seoyeon Katie Moon (Contact Author)
University of Southern California - Marshall School of Business ( email )
701 Exposition Blvd
Los Angeles, CA 90089
United States
HOME PAGE: http://sites.google.com/site/skatiemoon/home
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