Does Beta Move with News? Firm-Specific Information Flows and Learning About Profitability
Does Beta Move with News? Firm-Specific Information Flows and Learning About Profitability
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DOI：
10.2139/ssrn.1361813
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发表时间：
2012-02
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影响因子：
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通讯作者：
Andrew J. Patton;Michela Verardo
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文献类型：
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作者：
Andrew J. Patton;Michela Verardo
我们调查股票贝塔系数是否随公司特定消息的发布而变化。使用每日公司层面的贝塔系数，我们发现，贝塔系数在收益公告日增加，并在两到五天后恢复到平均水平。当盈利公告中出现较大的正面或负面意外，传递了更多关于市场上其他公司的信息，并解决了更大的事前不确定性时，贝塔系数的增加更大。我们的研究结果是一致的学习模型中，投资者使用的信息，宣布公司修改他们的预期，总经济的盈利能力。作者2012。由牛津大学出版社代表金融研究学会出版。All rights reserved.有关权限，请发送电子邮件至：journals.permissions@oup.com。北京：清华大学出版社.
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. The Author 2012. Published by Oxford University Press on behalf of The Society for Financial Studies. All rights reserved. For permissions, please e-mail: journals.permissions@oup.com., Oxford University Press.