Import Competition and the Stock Market Return to Capital
Gene Grossman and
James Levinsohn
No 2420, NBER Working Papers from National Bureau of Economic Research, Inc
Abstract:
We measure the responsiveness of returns to capital invested in six U.S. industries to shocks to the prices of competing import goods. Recognizing that most capital services are not traded on spot rental markets, we treat the intersectoral mobility of capital as the outgrowth of investment behavior. Then the return to capital is realized as an asset return to equity holders. . We model expected returns by CAPM, and relate "excess" returns in a period to unanticipated shocks to the variables that affect current and future profits. We find that positive shocks to import prices cause higher than normal stock market returns in all six industries. The magnitudes of the responses are consistent with the hypothesis that capital is highly sector specific in five of these industries.
Date: 1987-10
Note: ITI IFM
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)
Published as American Economic Review, Vol. 79, No. 5, pp. 1065-1087, (December 1989).
Downloads: (external link)
http://www.nber.org/papers/w2420.pdf (application/pdf)
Related works:
Journal Article: Import Competition and the Stock Market Return to Capital (1989) 
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:nbr:nberwo:2420
Ordering information: This working paper can be ordered from
http://www.nber.org/papers/w2420
Access Statistics for this paper
More papers in NBER Working Papers from National Bureau of Economic Research, Inc National Bureau of Economic Research, 1050 Massachusetts Avenue Cambridge, MA 02138, U.S.A.. Contact information at EDIRC.
Bibliographic data for series maintained by ().