Regional Economic Activity and Stock Returns
通过分析公司年报文本识别其相关州，发现这些州的经济活动预测能正向预测股票截面收益，且所有相关州的信息比总部所在州更重要，这种预测力源于未来现金流逐渐反映到价格中。
This paper studies the diffusion of regional macroeconomic information into stock prices. I identify all U.S. states that are economically relevant for a company through textual analysis of annual reports and find that economic activity forecasts of company-relevant regions positively predict cross-sectional stock returns. Information arising from all relevant states is more important than that relating to the headquarter state alone. These forecasts also predict firms’ performance and earnings surprises, suggesting that the return predictability stems from future cash flows that are gradually reflected in prices. Finally, regional information takes longer to be incorporated into prices among difficult-to-arbitrage stocks.