Cookies?
Library Header Image
LSE Research Online LSE Library Services

Does beta move with news?: firm-specific information flows and learning about profitability

Patton, Andrew J. and Verardo, Michela (2012) Does beta move with news?: firm-specific information flows and learning about profitability. Review of Financial Studies, 25 (9). pp. 2789-2839. ISSN 0893-9454

Full text not available from this repository.
Identification Number: 10.1093/rfs/hhs073

Abstract

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.

Item Type: Article
Official URL: http://rfs.oxfordjournals.org/
Additional Information: © 2012 The Authors
Subjects: H Social Sciences > HG Finance
Sets: Departments > Finance
Collections > Economists Online
Date Deposited: 11 Sep 2012 09:27
Last Modified: 31 Oct 2012 11:49
URI: http://eprints.lse.ac.uk/id/eprint/45773

Actions (login required)

View Item View Item