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The Offshoring Return Premium

Management Science (MS), Forthcoming

49 Pages Posted: 2 Jan 2014 Last revised: 27 Aug 2017

Gerard Hoberg

University of Southern California - Marshall School of Business

S. Katie Moon

University of Colorado at Boulder - Leeds School of Business

Date Written: August 26, 2017

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 main result is that selling output abroad is associated with higher stock returns, especially when output is sold to more central nations in the real trade network. In contrast, offshore input serves as a hedge. Our findings are consistent with the conclusion that aggregate quantity shocks are the primary source of the return premium we document in the global trade network.

Keywords: Offshore Activities, Stock Returns, Risk Premia, Global Trade Network, Consumption Risk

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

Suggested Citation

Hoberg, Gerard and Moon, S. Katie, The Offshoring Return Premium (August 26, 2017). Management Science (MS), Forthcoming. Available at SSRN: https://ssrn.com/abstract=2373797 or http://dx.doi.org/10.2139/ssrn.2373797

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)

University of Colorado at Boulder - Leeds School of Business ( email )

Boulder, CO 80309-0419
United States

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