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.

中文翻译：

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公司所在地和系统风险：房地产渠道

目的-本文旨在研究以地理为基础的土地可利用性作为房地产价格周期性的准外生替代方法，以研究当地房地产价格的周期性是否会影响本地公司的系统风险。设计/方法/方法-本文使用基于地理的土地可利用性指标来代替房地产价格的周期性，并使用公司总部的位置来代替其房地产资产的位置。四要素资产定价模型（市场，规模，价值和动量因素）用于检查总部位于受土地限制更多的大都市统计区域的公司是否具有较高的系统风险。调查结果-结果显示，在土地供应量较低的地区，房地产价格更具周期性，而总部设在这些地区的公司的系统风险则更高。对于拥有更多房地产的企业占其有形资产的比率而言，这种影响更为明显。此外，基于土地可利用性的交易策略没有异常收益，这与反映该当地房地产因素的股票beta一致。研究的局限性/意义-本文为有关本地资产定价因素，企业不动产持有的抵押作用以及地理位置紧密的企业的证券价格共同变动提供了文献资料。实际意义-本文通过显示当企业决定建筑物的位置（例如总部大楼，制造工厂和零售店），地点对系统风险的影响应该是决策过程的一部分。原创性/价值-本文是第一个使用基于地理的土地供应量度量方法来研究当地房地产价格的周期性是否会独立于当地经济的周期性而影响公司风险的方法之一。因此，形成的投资组合和公司层面的分析都提供了更直接的证据，证明了当地房地产价格的顺周期性与公司风险之间存在正相关关系。原创性/价值-本文是第一个使用基于地理的土地供应量度量方法来研究当地房地产价格的周期性是否会独立于当地经济的周期性而影响公司风险的方法之一。因此，形成的投资组合和公司层面的分析都提供了更直接的证据，证明了当地房地产价格的顺周期性与公司风险之间存在正相关关系。原创性/价值-本文是第一个使用基于地理的土地供应量度量方法来研究当地房地产价格的周期性是否会独立于当地经济的周期性而影响公司风险的方法之一。因此，形成的投资组合和公司层面的分析都提供了更直接的证据，证明了当地房地产价格的顺周期性与公司风险之间存在正相关关系。