Firms' Exposures to Geographic Risks

Dumas’ work received the support of a grant from the INSEAD Research Fund. Both authors received funding on this project from the INSEAD-Wharton Alliance. We are grateful to Humberto Gomez, a Master of Science student at the University of Lausanne, who set up the MatLab programs for an earlier draft of this paper. Further research assistance was provided by Fiodor Gorokhovik and Pierre Poulain. We thank Olivier Piette of WVB, who generously provided the data, and Winston Dou who suggested subsampling to us. Marco Del Negro provided us with an Expectation-Maximization computer code; we are grateful to him. We thank for comments participants of an INSEAD Brownbag workshop and of a seminar at Katholieke Universiteit Leuven. The views expressed herein are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research.