Does Beta Move with News? Firm-Specific Information Flows and Learning about Profitability

被引:131
|
作者
Patton, Andrew J. [2 ]
Verardo, Michela [1 ]
机构
[1] London Sch Econ, Dept Finance, London WC2A 2AE, England
[2] Duke Univ, Durham, NC 27706 USA
来源
REVIEW OF FINANCIAL STUDIES | 2012年 / 25卷 / 09期
关键词
G14; G12; C32; TIME PRICE DISCOVERY; STOCK RETURNS; RISK; COVARIANCE; BOND; COMOVEMENTS; CONTAGION; VOLUME; MODEL; DETERMINANTS;
D O I
10.1093/rfs/hhs073
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
We investigate whether stock betas vary with the release of firm-specific news. Using daily firm-level betas estimated from intraday prices, we find that betas increase on earnings announcement days and revert to their average levels two to five days later. The increase in betas is greater for earnings announcements that have larger positive or negative surprises, convey more information about other firms in the market, and resolve greater ex ante uncertainty. Our results are consistent with a learning model in which investors use information on announcing firms to revise their expectations about the profitability of the aggregate economy.
引用
收藏
页码:2789 / 2839
页数:51
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