Local Risk, Local Factors, and Asset Prices
研究发现，企业所在地的经济周期敏感性（局部贝塔）通过影响工资和房地产价格等要素价格，进而影响企业风险和股票收益。
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.