Fiscal Policy, Consumption Risk, and Stock Returns: Evidence from U.S. States
研究发现，实施逆周期财政政策的州消费风险更低，且投资者集中在该类州的企业股票回报也较低，表明逆周期财政政策通过降低投资者消费风险来减少其要求的股权回报溢价。
We find that consumption risk is lower in states that implement countercyclical fiscal policies. Moreover, firms with an investor base that is concentrated in countercyclical states have lower stock returns, along with firms that relocate their headquarters to a countercyclical state. Therefore, countercyclical fiscal policies lower the consumption risk of investors and, consequently, their required equity return premium. This conclusion is confirmed by smaller declines in market participation during recessions in countercyclical states. Overall, the location of a firm’s investor base enables state-level fiscal policy to influence stock returns.