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

地區風險，地區要素和資産定價

作者：Selale Tuzel，Miao Ben Zhang

摘要：公司位置通過地區要素價格影響企業風險。我們在經濟更具周期性的地區，即高“本地貝塔”地區，發現更多順周期要素價格，如工資和房地産價格。雖然順周期工資提供了針對總體沖擊的自然對沖并減少了企業風險，但作為企業資産一部分的房地産的順周期價格增加了企業風險。我們确認，位于較高的地方貝塔區域的公司具有較低的行業調整回報和條件貝塔，并且在房地産持有量低的公司中效果更強。基于生産的均衡模型解釋了這些實證發現。

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.

原文鍊接：http://onlinelibrary.wiley.com/doi/10.1111/jofi.12465/full

翻譯：秦秀婷