Journal of Finance, Volume 72,Issue 1,February 2017,Pages 325–370

地区风险，地区要素和资产定价

作者：Selale Tuzel，Miao Ben Zhang

摘要：公司位置通过地区要素价格影响企业风险。我们在经济更具周期性的地区，即高“本地贝塔”地区，发现更多顺周期要素价格，如工资和房地产价格。虽然顺周期工资提供了针对总体冲击的自然对冲并减少了企业风险，但作为企业资产一部分的房地产的顺周期价格增加了企业风险。我们确认，位于较高的地方贝塔区域的公司具有较低的行业调整回报和条件贝塔，并且在房地产持有量低的公司中效果更强。基于生产的均衡模型解释了这些实证发现。

Local Risk, Local Factors, and Asset Prices

Selale Tuzel，Miao Ben Zhang

ABSTRACT

Firm location affects firm risk through local factor prices. We find more procyclical factor prices such as wages and real estate prices in areas with more cyclical economies, namely, high “local beta” areas. While procyclical wages provide a natural hedge against aggregate shocks and reduce firm risk, procyclical prices of real estate, which are part of firm assets, increase firm risk. We confirm that firms located in higher local beta areas have lower industry-adjusted returns and conditional betas, and show that the effect is stronger among firms with low real estate holdings. A production-based equilibrium model explains these empirical findings.

原文链接：http://onlinelibrary.wiley.com/doi/10.1111/jofi.12465/full

翻译：秦秀婷