Percorrer por autor "Francisco, Paulo Morais"
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- Institutional ownership, free float, and systematic riskPublication . Francisco, Paulo MoraisThis study investigates how institutional ownership (IO) and free float (FF) jointly affect firms’systematic risks. It contends that larger institutional stakes increase the dollar imbalance subject tocommon flows, whereas a greater tradable float broadens the set of funds that can tradesynchronously. Both channels should increase the stock market beta. Using a cross-section of12,655 non-financial firms from 93 countries, unconditional, downside (β−), and upside (β+) capitalasset pricing model betas over two-, three-, and five-year windows are analysed. The resultsconfirm that IO and FF are positively and significantly associated with unconditional and downsidebetas. These relationships remain robust after controlling for firm size, valuation, profitability,leverage, liquidity, and industry fixed effects, indicating that the ownership and tradability chan-nels explain systematic risk beyond standard fundamentals. The impact of IO is pronounced forupside beta. Two-stage least squares regressions corroborate the baseline results while addressingendogeneity concerns. Additional tests show that the IO effect is concentrated in advancedeconomies, while the FF effect remains robust across geography, development status, and firmsize. This study evinces the trading flow hypothesis that ownership concentration and tradabilityare the additive drivers of systematic risk.
- Labour intensity and systematic riskPublication . Francisco, Paulo MoraisWe examine whether firms labour intensity raises systematic risk. Drawing on 12,250 listed, non financial companies from 93 countries, we analyse CAPM betas over five , three and two year windows and separately evaluate their upside (β+) and downside (β− ) components. OLS results show that a one standard deviation increase in labour intensity lifts the five year beta by 0.08 and loads disproportionately on downside risk. Instrumenting labour intensity in a 2SLS framework magnifies the effect, confirming a causal link. Overall, our evidence shows that labour intensive firms worldwide carry higher betas because fixed wage bills magnify operating leverage; the extra risk is most visible when markets decline, making a company’s workforce composition a key driver of its equity risk.