Working Paper: NBER ID: w28185
Authors: Bernard Dumas; Tymur Gabuniya; Richard C. Marston
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.
Keywords: No keywords provided
JEL Codes: G32
Edges that are evidenced by causal inference methods are in orange, and the rest are in light blue.
| Cause | Effect |
|---|---|
| traditional national stock indexes (G15) | inaccurate reflection of business risks (G32) |
| revenue-based geographic indexes (R12) | better understanding of risks (D81) |
| measuring firms' exposures to geographic zones based on actual revenue data (R32) | accurate representations of geographic risks (G52) |