Analysis of Systematic Risk around Firm-specific News in an Emerging Market using High Frequency Data
34 Pages Posted: 8 Oct 2020
Date Written: August 20, 2020
We investigate whether the daily betas of individual stocks vary with the release of firm-specific news in an emerging market. Using intraday prices of all stocks traded on the Borsa Istanbul, Turkey over the period 2005-2013, we find evidence that average market betas increase significantly from two weeks before the earning announcement day, and then revert to their average levels two weeks after the announcement. The increase in betas is greater for larger, positive surprise earnings announcements than for smaller, negative news. The results are consistent with features of the learning model of Patton and Verardo (2012) but not with a number of their empirical results.
Keywords: Realized Beta, Firm-specific News, Earnings Announcements, Emerging Market
JEL Classification: C22, G10, G11, G33
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