Local Risk, Local Factors, and Asset Prices

Tüzel, Şelale; Zhang, Miao Ben

doi:10.2139/ssrn.2293784

Cited by 33 publications

(57 citation statements)

References 37 publications

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“…We also find that the purchase of inputs to production from high risk nations is associated with lower stock returns, suggesting that this activity is a hedge against exposure to business cycles. These findings conform to theories in Financial Economics including [1] and [2].…”

Section: Resultssupporting

confidence: 88%

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A Summary of Offshore Activities and Risk Implications

Hoberg

Moon

2014

Proceedings of the International Workshop on Data Science for Macro-Modeling

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We use text analytic methods on the universe of 10-K filings on the Securities and Exchange Commission's (SEC) Edgar website to construct measures of the extent to which publicly traded U.S. firms are exposed to three types of offshore activities: the sale of output, the purchase of input, and the ownership of assets that produce input. We then examine if these activities are related to ex-post stock returns as predicted by theories in Financial Economics including [1] and [2].

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Section: Resultssupporting

confidence: 88%

“…We consider three hypotheses, which are motivated by studies in financial economics including [1] and [2].…”

Section: Hypothesesmentioning

confidence: 99%

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A Summary of Offshore Activities and Risk Implications

Hoberg

Moon

2014

Proceedings of the International Workshop on Data Science for Macro-Modeling

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“…Thus, wage data will be subject to measurement error for firms with production facilities outside of their headquarters state. However, Chaney, Sraer, and Thesmar (2012) show that headquarters and production facilities tend to cluster in the same state, making headquarters location a reasonable proxy for firm location (see also Tuzel and Zhang (2017) expenses from Compustat for firms for which both data sources are available:…”

Section: B Firm Balance Sheet Datamentioning

confidence: 99%

The Long-Run Real Effects of Banking Crises: Firm-Level Investment Dynamics and the Role of Wage Rigidity

Wix

2017

SSRN Journal

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“…For example, Livdan et al (2009) used it to study the effect of financial constraints on stock returns, Gomes and Schmid (2010) adopted it to investigate the role of financial leverage, Schmid and Kuehn (2014) assessed its ability to rationalize credit spreads, while Tuzel and Zhang (2017) argued that it can rationalize the impact of local factors on asset prices.…”

Section: Introductionmentioning

confidence: 99%

Investment and The Cross-Section of Equity Returns

Clementi

Palazzo

2015

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We confront the one-factor production-based asset pricing model with the evidence on firm-level investment, to uncover that it produces implications for the dynamics of capital that are seriously at odds with the evidence. The data shows that, upon being hit by adverse profitability shocks, large public firms have ample latitude to divest their least productive assets and downsize. In turn, this reduces the risk faced by their shareholders and the returns that they are likely to demand. It follows that when the frictions to capital adjustment are shaped to respect the evidence on investment, the model-generated cross-sectional dispersion of returns is only a small fraction of what documented in the data. Our conclusions hold true even when either operating or labor leverage are modeled in ways that were shown to be promising in the extant literature.

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Local Risk, Local Factors, and Asset Prices

Cited by 33 publications

References 37 publications

A Summary of Offshore Activities and Risk Implications

A Summary of Offshore Activities and Risk Implications

The Long-Run Real Effects of Banking Crises: Firm-Level Investment Dynamics and the Role of Wage Rigidity

Investment and The Cross-Section of Equity Returns

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