进口竞争对国内金融市场的影响:限制套利的作用

IF 8.6 1区 管理学 Q1 BUSINESS Journal of International Business Studies Pub Date : 2023-11-23 DOI:10.1057/s41267-023-00655-6
R. Jared DeLisle, Mengying Wang, H. Zafer Yüksel, Gulnara R. Zaynutdinova
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引用次数: 0

摘要

虽然先前的研究调查了全球化的后果,但在理解与全球化引起的进口竞争相关的市场效率影响方面仍然存在显著差距。通过资产定价的视角,我们探讨了进口竞争敞口(ICE)对金融市场的影响,并发现了全球化的阴暗面。与管理目标理论一致,我们表明ICE与高现金流波动性、信息不对称和企业不确定性有关。此外,ICE与限制套利(LTA)、市场无效率(如持有和交易成本)呈正相关。我们发现,相对于敞口较低的国内公司,敞口较高的国内公司获得了更大的股票收益溢价,并且与套利限制理论一致,我们证明了LTA在ICE溢价中发挥了积极的调节作用。在我们的分析中使用自然实验为我们的假设提供了额外的有力支持。我们的研究结果既影响了投资组合管理决策,也影响了公司应如何将ICE溢价纳入其资本成本。一个关键的含义是,面临进口竞争的公司应该优先考虑透明度(例如传播高度可读的披露),以减少信息不对称和限制套利,从而降低相关的ICE溢价。
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The effects of import competition on domestic financial markets: The role of limits-to-arbitrage

While prior studies investigate the consequences of globalization, there remains a notable gap in understanding the market efficiency implications associated with globalization-induced import competition. Through the lens of asset pricing, we explore the financial market consequences of import competition exposure (ICE) and find a dark side of globalization. Consistent with the managerial objectives theory, we show that ICE is associated with high cash flow volatility, information asymmetry, and firm uncertainty. Moreover, ICE is positively related to limits-to-arbitrage (LTA), market inefficiencies such as holding and transactions costs. We find that domestic firms with higher ICE earn larger stock return premiums than those with lower exposure and, consistent with the limits-to-arbitrage theory, we demonstrate that LTA play a positive moderating role in the ICE premium. The use of a natural experiment in our analyses provides additional robust support of our hypotheses. Our findings impact both portfolio management decisions and how firms should incorporate the ICE premium into their cost of capital. A key implication is that firms exposed to import competition should prioritize transparency (such as disseminate highly readable disclosures) in order to diminish information asymmetry and limits-to-arbitrage, which would consequently reduce their associated ICE premium.

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来源期刊
CiteScore
16.20
自引率
10.30%
发文量
84
期刊介绍: The Selection Committee for the JIBS Decade Award is pleased to announce that the 2023 award will be presented to Anthony Goerzen, Christian Geisler Asmussen, and Bo Bernhard Nielsen for their article titled "Global cities and multinational enterprise location strategy," published in JIBS in 2013 (volume 44, issue 5, pages 427-450). The prestigious JIBS Decade Award, sponsored by Palgrave Macmillan, recognizes the most influential paper published in the Journal of International Business Studies from a decade earlier. The award will be presented at the annual AIB conference. To be eligible for the JIBS Decade Award, an article must be one of the top five most cited papers published in JIBS for the respective year. The Selection Committee for this year included Kaz Asakawa, Jeremy Clegg, Catherine Welch, and Rosalie L. Tung, serving as the Committee Chair and JIBS Editor-in-Chief, all from distinguished universities around the world.
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