Analysis of Systematic Risk around Firm-specific News in an Emerging Market using High Frequency Data

34 Pages Posted: 8 Oct 2020

See all articles by Shabir Saleem

Shabir Saleem

Eskisehir Osmangazi University

Peter N. Smith

University of York - Department of Economics and Related Studies; Australian National University (ANU) - Centre for Applied Macroeconomic Analysis (CAMA)

Abdullah Yalaman

University of York - The York Management School

Multiple version iconThere are 2 versions of this paper

Date Written: August 20, 2020

Abstract

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

Suggested Citation

A. A. Saleem, Shabir and Smith, Peter N. and Yalaman, Abdullah, Analysis of Systematic Risk around Firm-specific News in an Emerging Market using High Frequency Data (August 20, 2020). Available at SSRN: https://ssrn.com/abstract=3677842 or http://dx.doi.org/10.2139/ssrn.3677842

Shabir A. A. Saleem

Eskisehir Osmangazi University ( email )

Meselik Kampusu
Atatürk Bulv.
Osmangazi, Eskisehir 24680
Turkey

Peter N. Smith (Contact Author)

University of York - Department of Economics and Related Studies ( email )

Heslington
York 010 5DD
United Kingdom
+44 1904 433 765 (Phone)
+44 1904 433 759 (Fax)

Australian National University (ANU) - Centre for Applied Macroeconomic Analysis (CAMA) ( email )

ANU College of Business and Economics
Canberra, Australian Capital Territory 0200
Australia

Abdullah Yalaman

University of York - The York Management School ( email )

Sally Baldwin Buildings
Heslington
York, North Yorkshire YO10 5DD
United Kingdom

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