International asset pricing with strategic business groups

作者：Massa, Massimo^*; O'Donovan, James; Zhang, Hong

来源：Journal of Financial Economics, 2022, 145(2): 339-361.

DOI：10.1016/j.jfineco.2021.09.002

• International asset pricing
• Business groups
• Centrality
• Co-movement

Firms in global markets often belong to business groups. We argue that this feature can have a profound influence on international asset pricing. In bad times, business groups may strategically reallocate risk across affiliated firms to protect core "central firms." This strategic behavior induces co-movement among central firms, creating a new intertemporal risk factor. Based on a novel data set of worldwide ownership for 2002-2012, we find that central firms are better protected in bad times and that they earn relatively lower expected returns. Moreover, a centrality factor augments traditional models in explaining the cross section of international stock returns.

• 单位
  1; 清华大学