We use an asset pricing model based on net value to study the asset-specific risk factors of private commercial properties across local markets. To accomplish this, we extend the approach by Korteweg and Nagel (2016) into a pricing setting where the objective is to minimize the pricing errors by a thorough examination of factors. Location, despite being an important consideration both in theory and in practice, remains to be developed into well-defined risk factors. In particular, the risk premium of location risk awaits further investigation. We first investigate an all-encompassing location factor constructed from locational value estimates using local polynomial regressions. Then we attempt to further disentangle between macro-and micro- location risk factors. Macro-location risk represents regional macroeconomic conditions, while our micro-location factor reflects accessibility and amenities offered by a specific location. We also test our location factors against stock market risk factors.