期刊名称：Discussion Papers in Economics / Department of Economics, University of York
出版年度：2020
卷号：20
语种：English
出版社：University of York
摘要：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.
