期刊名称：HIER Discussion Paper Series / Harvard Institute of Economic Research
出版年度：2005
卷号：2005
出版社：Harvard Institute of Economic Research
摘要：Theory suggests that, in the presence of local bias, the price of a stock should
be decreasing in the ratio of the aggregate book value of firms in its region to
the aggregate risk tolerance of investors in its region. We test this
proposition using data on U.S. Census regions and states, and find clear-cut
support for it. Most of the variation in the ratio of interest comes from
differences across regions in aggregate book value per capita. Regions with low
population density—e.g., the Deep South—are home to relatively few firms per
capita, which leads to higher stock prices via an “only-game-in-town” effect.
This effect is especially pronounced for smaller, less visible firms, where the
impact of location on stock prices is roughly 12 percent.
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