Firm age and beta: Evidence from China

Hao Liu, Hao Zhang, Ya-Chun Gao and Xu-Dong Chen

International Review of Economics & Finance, 2022, vol. 77, issue C, 244-261

Abstract: 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.

Keywords: Firm age; Growth option; CAPM Beta; Liquidity; Information opacity (search for similar items in EconPapers)
JEL-codes: G11 G12 G14 G32 (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:reveco:v:77:y:2022:i:c:p:244-261

DOI: 10.1016/j.iref.2021.10.006

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