Firm age and beta: Evidence from China

被引：2
|
作者：
Liu, Hao [1 ,2 ]
Zhang, Hao [1 ,2 ]
Gao, Ya-Chun [3 ]
Chen, Xu-Dong [4 ]
机构：
[1] Guangdong Univ Foreign Studies, Sch Finance, Guangzhou, Guangdong, Peoples R China
[2] Inst Financial Openness & Asset Management, Guangzhou, Guangdong, Peoples R China
[3] Univ Elect Sci & Technol China, Sch Phys, Chengdu, Sichuan, Peoples R China
[4] Chengdu Univ Technol, Coll Management Sci, Chengdu, Sichuan, Peoples R China
来源：
INTERNATIONAL REVIEW OF ECONOMICS & FINANCE | 2022年 / 77卷
基金：
中国国家自然科学基金;
关键词：
Firm age; Growth option; CAPM Beta; Liquidity; Information opacity; RESEARCH-AND-DEVELOPMENT; SYSTEMATIC-RISK; FINANCIAL LEVERAGE; GROWTH OPTIONS; LIFE-CYCLE; OPERATING LEVERAGE; INVESTMENT; VALUATION; DETERMINANTS; INFORMATION;
D O I：
10.1016/j.iref.2021.10.006
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
This paper investigates how the CAPM beta changes with firm age using a sample of A-share Chinese listed companies from the period of 1998-2015. The results show that the CAPM beta is positively associated with firm age. Our findings are fairly consistent under different beta measurements, different regression methodologies, and different subsamples. Further tests show that the positive association cannot be absorbed by the life-cycle stages variables and cannot be explained by the new listing effect. Finally, growth option creation is the most likely mechanism driving the positive relation, rather than the alternative explanations of liquidity and information opacity.
引用
收藏
页码：244 / 261
页数：18
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