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

• 成果类型: Article
• 署名作者: Patton, Andrew J.; Verardo, Michela
• 署名单位: University of London; London School Economics & Political Science; Duke University
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhs073
• 发表日期: 2012
• 页码: 2789
• 关键词: time price discovery; stock returns; RISK; covariance; bond; comovements; contagion; volume; MODEL; determinants

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.