企业区位与系统性风险:房地产渠道

IF 3.6 Q1 BUSINESS, FINANCE
Xiang Gao, John C. Topuz
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引用次数: 2

摘要

目的-本文旨在研究当地房地产价格的周期性是否会影响当地企业的系统性风险,使用基于地理的土地可用性度量作为房地产价格周期性的准外生代理。设计/方法/方法-本文使用基于地理的土地可用性度量作为房地产价格顺周期性的代理,并使用公司总部的位置作为其房地产资产位置的代理。采用四因素资产定价模型(市场、规模、价值和动量因素)来检验总部设在土地约束更强的大都市统计区域的公司是否具有更高的系统风险。研究结果表明,在土地可得性较低的地区,房地产价格更具顺周期性,总部设在这些地区的公司具有更高的系统风险。这种影响对于房地产占有形资产比例较高的公司更为明显。此外,基于土地可用性的交易策略没有异常回报,这与反映当地房地产因素的股市贝塔值一致。研究局限/启示-本文对本地资产定价因素、公司房地产持有的抵押品作用和地理上接近的公司证券价格的共同运动的文献做出了贡献。实际意义-本文具有重要的管理意义,通过显示,当公司决定其建筑物的位置(例如总部大楼,制造工厂和零售店),位置对系统风险的影响应该是决策过程的一部分。原创性/价值——本文是第一批使用基于地理的土地可用性度量来研究当地房地产价格的顺周期性是否独立于当地经济的顺周期性影响企业风险的论文之一。因此,无论是投资组合的形成还是企业层面的分析,都为当地房地产价格的顺周期性与企业风险之间的正相关关系提供了更直接的证据。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Firm location and systematic risk: the real estate channel
Purpose - This paper aims to investigate whether the cyclicality of local real estate prices affects the systematic risk of local firms using a geography-based measure of land availability as a quasi-exogenous proxy for real estate price cyclicality. Design/methodology/approach - This paper uses the geography-based land availability measure as a proxy for the procyclicality of real estate prices and the location of a firm’s headquarters as a proxy for the location of its real estate assets. Four-factor asset pricing model (market, size, value and momentum factors) is used to examine whether firms headquartered in more land-constrained metropolitan statistical areas have higher systematic risks. Findings - The results show that real estate prices are more procyclical in areas with lower land availability and firms headquartered in these areas have higher systematic risk. This effect is more pronounced for firms with higher real estate holdings as a ratio of their tangible assets. Moreover, there are no abnormal returns to trading strategies based on land availability, consistent with stock market betas reflecting this local real estate factor. Research limitations/implications - This paper contributes to the literature on local asset pricing factors, the collateral role of firms’ real estate holdings and the co-movement of security prices of geographically close firms. Practical implications - This paper has important managerial implications by showing that, when firms decide on the location of their buildings (e.g. headquarters building, manufacturing plant and retail outlet), the location’s influence on systematic risk should be part of the decision-making process. Originality/value - This paper is among the first to use a geography-based measure of land availability to study whether the procyclicality of local real estate prices influences firm risk independent of the procyclicality of the local economy. Thus, both the portfolio formed and firm-level analyses provide a more direct evidence of the positive relation between the procyclicality of local real estate prices and firm risk.
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CiteScore
4.30
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0.00%
发文量
18
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