State‐Level Business Cycles and Local Return Predictability
研究发现美国各州股票组合的回报率随当地失业率上升和住房抵押比率下降而升高，基于地理的交易策略在1978-2009年间获得5%的年化风险调整收益，该现象由系统性风险变化和本地交易导致的错误定价共同解释。
ABSTRACT This study examines whether local stock returns vary with local business cycles in a predictable manner. We find that U.S. state portfolios earn higher future returns when state‐level unemployment rates are higher and housing collateral ratios are lower. During the 1978 to 2009 period, geography‐based trading strategies earn annualized risk‐adjusted returns of 5%. This abnormal performance reflects time‐varying systematic risks and local‐trading induced mispricing. Consistent with the mispricing explanation, the evidence of predictability is stronger among firms with low visibility and high local ownership. Nonlocal domestic and foreign investors arbitrage away the predictable patterns in local returns in 1 year.