Firms' Exposures to Geographic Risks

Bernard Dumas (), Tymur Gabuniya and Richard C. Marston

No 28185, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: The distinction between domicile and place of business is becoming more and more relevant as a growing number of firms have activities abroad. In most statistical studies of international stock returns, a firm is included in a country’s index if its headquarters are located in that country. This classification scheme ignores the operations of the firm. We propose, instead, to measure the firms’ exposures to “geographic zones” according to the place where they conduct business. As a representation of “geographic risks”, we synthesize zone factors from all firms in the dataset, be they domestic firms or multinationals. And we show the properties of the exposures to the zone factors.

JEL-codes: G32 (search for similar items in EconPapers)
Date: 2020-12
New Economics Papers: this item is included in nep-bec, nep-rmg and nep-ure
Note: AP
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Published as Bernard Dumas & Richard C. Marston, 2021. "Firms’ Exposures to Geographic Risks," Journal of International Money and Finance, .

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Working Paper: Firms' Exposures to Geographic Risks (2020)
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