The Effect of Managers on Systematic Risk

• 成果类型: Article
• 署名作者: Schoar, Antoinette; Yeung, Kelvin; Zuo, Luo
• 署名单位: Massachusetts Institute of Technology (MIT); City University of Hong Kong; Cornell University
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2023.4710
• 发表日期: 2024
• 关键词: manager fixed effects; systematic risk; Managerial style

摘要

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. In equilibrium, manager fixed effects on systematic risk are positively related with manager fixed effects on stock returns. These differences in systematic risk are partially explained by managers' corporate strategies, such as their preferences for internal growth and financial conservatism. The early career experiences of managers starting their first job in a recession also contribute to differential loadings on systematic risk. These effects are more pronounced when managers wield more influence, as in smaller firms and firms that do not have an independent board. Overall, our results suggest that managers play an important role in shaping a firm's systematic risk.