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

Published

Journal Article

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.

Full Text

Duke Authors

Cited Authors

  • Patton, AJ; Verardo, M

Published Date

  • September 1, 2012

Published In

Volume / Issue

  • 25 / 9

Start / End Page

  • 2789 - 2839

Electronic International Standard Serial Number (EISSN)

  • 1465-7368

International Standard Serial Number (ISSN)

  • 0893-9454

Digital Object Identifier (DOI)

  • 10.1093/rfs/hhs073

Citation Source

  • Scopus