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.

虽然先前的研究调查了全球化的后果，但在理解全球化引发的进口竞争对市场效率的影响方面仍然存在显着差距。通过资产定价的视角，我们探讨了进口竞争风险（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相关。此外，ICE 与套利限制 (LTA)、持有和交易成本等市场效率低下呈正相关。我们发现，ICE 较高的国内公司比风险敞口较低的国内公司获得更高的股票回报溢价，并且与套利限制理论一致，我们证明 LTA 在 ICE 溢价中发挥着积极的调节作用。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。我们的研究结果影响投资组合管理决策以及公司应如何将 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优先考虑透明度（例如传播高度可读的披露信息），以减少信息不对称和套利限制，从而降低其相关的 ICE 溢价。