Patton, Andrew J. and Verardo, Michela ORCID: 0009-0002-4241-6584 (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.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 |
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Official URL: | http://rfs.oxfordjournals.org/ |
Additional Information: | © 2012 The Authors |
Divisions: | Finance |
Subjects: | H Social Sciences > HG Finance |
JEL classification: | C - Mathematical and Quantitative Methods > C3 - Econometric Methods: Multiple; Simultaneous Equation Models; Multiple Variables; Endogenous Regressors > C32 - Time-Series Models G - Financial Economics > G1 - General Financial Markets > G12 - Asset Pricing; Trading volume; Bond Interest Rates G - Financial Economics > G1 - General Financial Markets > G14 - Information and Market Efficiency; Event Studies |
Date Deposited: | 11 Sep 2012 09:27 |
Last Modified: | 04 Dec 2024 19:39 |
URI: | http://eprints.lse.ac.uk/id/eprint/45773 |
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