Journal
REVIEW OF FINANCIAL STUDIES
Volume 25, Issue 9, Pages 2789-2839Publisher
OXFORD UNIV PRESS INC
DOI: 10.1093/rfs/hhs073
Keywords
G14; G12; C32
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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.
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