Publicação
Firm age, analyst coverage and asymmetric market beta
| datacite.subject.sdg | 08:Trabalho Digno e Crescimento Económico | |
| datacite.subject.sdg | 09:Indústria, Inovação e Infraestruturas | |
| datacite.subject.sdg | 16:Paz, Justiça e Instituições Eficazes | |
| dc.contributor.author | Francisco, Paulo Morais | |
| dc.date.accessioned | 2026-09-19T10:05:10Z | |
| dc.date.available | 2026-09-19T10:05:10Z | |
| dc.date.issued | 2026-08-03 | |
| dc.description.abstract | Purpose – This study examines whether two observable information-environment attributes – firm age and analyst coverage – help explain cross-sectional differences in systematic risk, and whether these associations differ across up- and down-market states. Design/methodology/approach – The study uses a global cross-section of 5,928 publicly listed firms from 82 countries and Refinitiv Eikon CAPM betas. Systematic risk is measured using unconditional betas estimated over five-, three-, and two-year trailing windows and decomposed into upside (βþ) and downside (β�) betas. Firm age captures accumulated public history and investor learning about systematic exposure, while analyst coverage captures information-intermediary visibility and market integration. Findings – Firm age is robustly negatively associated with beta across horizons, consistent with an accumulated-public-history and maturity channel in which older firms have both longer observable track records and more stable operating profiles. Analyst coverage is positively associated with beta, consistent with a visibility and market-integration channel in which highly followed firms are more strongly connected to common information flows, benchmark narratives, and correlated investor attention. Asymmetric decompositions show that age attenuates systematic exposure primarily through upside sensitivity (βþ) in shorter windows, while analyst coverage increases both β� and βþ, with particularly strong effects on βþ. Originality/value – The study shows that distinct information-environment attributes can have opposite implications for systematic risk. Accumulated public history tends to reduce measured market exposure, whereas analyst visibility can increase market exposure through common-information transmission and correlated trading. The findings caution against treating investor awareness, subjective familiarity, information transparency, and analyst visibility as interchangeable concepts. The findings also suggest that beta estimates used in valuation,WACC, portfolio construction, and risk managementshould be interpreted alongside firm age, analyst visibility, and up/down-market sensitivity. | eng |
| dc.identifier.doi | 10.1108/mf-05-2026-0500 | |
| dc.identifier.eissn | 1758-7743 | |
| dc.identifier.issn | 0307-4358 | |
| dc.identifier.uri | http://hdl.handle.net/10400.1/29481 | |
| dc.language.iso | eng | |
| dc.peerreviewed | yes | |
| dc.publisher | Emerald | |
| dc.relation | Center for Advanced Studies in Management and Economics | |
| dc.relation.ispartof | Managerial Finance | |
| dc.rights.uri | N/A | |
| dc.subject | Firm age | |
| dc.subject | Analyst coverage | |
| dc.subject | Systematic risk | |
| dc.subject | Asymmetric beta | |
| dc.subject | Information environment | |
| dc.subject | Market integration | |
| dc.title | Firm age, analyst coverage and asymmetric market beta | eng |
| dc.type | journal article | |
| dspace.entity.type | Publication | |
| oaire.awardNumber | UIDB/04007/2020 | |
| oaire.awardTitle | Center for Advanced Studies in Management and Economics | |
| oaire.awardURI | info:eu-repo/grantAgreement/FCT/6817 - DCRRNI ID/UIDB%2F04007%2F2020/PT | |
| oaire.citation.endPage | 1586 | |
| oaire.citation.issue | 10 | |
| oaire.citation.startPage | 1569 | |
| oaire.citation.title | Managerial Finance | |
| oaire.citation.volume | 52 | |
| oaire.fundingStream | 6817 - DCRRNI ID | |
| oaire.version | http://purl.org/coar/version/c_970fb48d4fbd8a85 | |
| person.familyName | Francisco | |
| person.givenName | Paulo Morais | |
| person.identifier.ciencia-id | CD18-B229-B04B | |
| person.identifier.orcid | 0000-0001-6632-3097 | |
| person.identifier.scopus-author-id | 56478668900 | |
| project.funder.identifier | http://doi.org/10.13039/501100001871 | |
| project.funder.name | Fundação para a Ciência e a Tecnologia | |
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