Local Risk, Local Factors, and Asset Prices

• 成果类型: Article
• 署名作者: Tuzel, Selale; Zhang, Miao Ben
• 署名单位: University of Southern California
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12465
• 发表日期: 2017
• 页码: 325-370
• 关键词: Wage rigidity; cross-section; returns; LABOR; INVESTMENT; consumption; migration; location; maturity; income

摘要

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.