The Effect of Managers on Systematic Risk

60 Pages Posted: 7 Jul 2020 Last revised: 25 Apr 2021

See all articles by Antoinette Schoar

Antoinette Schoar

Massachusetts Institute of Technology (MIT) - Sloan School of Management; National Bureau of Economic Research (NBER)

Kelvin Yeung

City University of Hong Kong (CityU) - College of Business

Luo Zuo

Cornell University - Samuel Curtis Johnson Graduate School of Management

Multiple version iconThere are 2 versions of this paper

Date Written: April 24, 2021

Abstract

Tracking the movement of top managers across firms, we document the importance of manager-specific fixed effects in explaining heterogeneity in firm exposures to systematic risk. These differences in systematic risk are partially explained by managers’ corporate strategies, such as their preferences for internal growth and financial conservatism. Managers’ early-career experiences of starting their first job in a recession also contribute to differential loadings on systematic risk. These effects are more pronounced for smaller firms. Overall, our results suggest that managerial styles have important implications for asset prices.

Keywords: Manager Fixed Effects, Systematic Risk, Managerial Style, Asset Prices.

JEL Classification: G12, G30.

Suggested Citation

Schoar, Antoinette and Yeung, Kelvin and Zuo, Luo, The Effect of Managers on Systematic Risk (April 24, 2021). Available at SSRN: https://ssrn.com/abstract=3637552 or http://dx.doi.org/10.2139/ssrn.3637552

Antoinette Schoar (Contact Author)

Massachusetts Institute of Technology (MIT) - Sloan School of Management ( email )

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Kelvin Yeung

City University of Hong Kong (CityU) - College of Business ( email )

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Luo Zuo

Cornell University - Samuel Curtis Johnson Graduate School of Management ( email )

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HOME PAGE: http://www.johnson.cornell.edu/faculty-research/faculty/lz352/

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