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

Publication ,  Journal Article
Patton, AJ; Verardo, M
Published in: Review of Financial Studies
September 1, 2012

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.

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Published In

Review of Financial Studies

DOI

EISSN

1465-7368

ISSN

0893-9454

Publication Date

September 1, 2012

Volume

25

Issue

9

Start / End Page

2789 / 2839

Related Subject Headings

  • Finance
  • 1502 Banking, Finance and Investment
  • 1402 Applied Economics
  • 1401 Economic Theory
 

Citation

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Patton, A. J., & Verardo, M. (2012). Does beta move with news? Firm-specific information flows and learning about profitability. Review of Financial Studies, 25(9), 2789–2839. https://doi.org/10.1093/rfs/hhs073
Patton, A. J., and M. Verardo. “Does beta move with news? Firm-specific information flows and learning about profitability.” Review of Financial Studies 25, no. 9 (September 1, 2012): 2789–2839. https://doi.org/10.1093/rfs/hhs073.
Patton AJ, Verardo M. Does beta move with news? Firm-specific information flows and learning about profitability. Review of Financial Studies. 2012 Sep 1;25(9):2789–839.
Patton, A. J., and M. Verardo. “Does beta move with news? Firm-specific information flows and learning about profitability.” Review of Financial Studies, vol. 25, no. 9, Sept. 2012, pp. 2789–839. Scopus, doi:10.1093/rfs/hhs073.
Patton AJ, Verardo M. Does beta move with news? Firm-specific information flows and learning about profitability. Review of Financial Studies. 2012 Sep 1;25(9):2789–2839.
Journal cover image

Published In

Review of Financial Studies

DOI

EISSN

1465-7368

ISSN

0893-9454

Publication Date

September 1, 2012

Volume

25

Issue

9

Start / End Page

2789 / 2839

Related Subject Headings

  • Finance
  • 1502 Banking, Finance and Investment
  • 1402 Applied Economics
  • 1401 Economic Theory