The Globalization Risk Premium
研究了全球化如何反映在资产价格中，发现低运输成本行业的公司存在7%的风险溢价，源于进口竞争对低效企业的替代风险，表明外国生产率冲击与投资者消费昂贵时期相关。
ABSTRACT In this paper, 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 7% 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.