Corporate aging and changes in the pricing of stock characteristics

Matthias Bank and Franz Insam

Finance Research Letters, 2021, vol. 42, issue C

Abstract: This study reveals that the pricing of several prominent stock and firm characteristics changes as firms age, based on a sample of common stocks in the US. It contributes to the literature by showing that interactions between stock characteristics, particularly firm age, are pricing relevant for the cross-section of stock returns. This finding emerges from a robust multivariate panel regression approach, which helps to address the multivariate challenge in cross-sectional asset pricing and controls for firm-fixed effects.

Keywords: Asset pricing; Characteristics; Corporate aging; Corporate life-cycle (search for similar items in EconPapers)
JEL-codes: G11 G12 (search for similar items in EconPapers)
Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:42:y:2021:i:c:s1544612320317220

DOI: 10.1016/j.frl.2020.101908

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