Analysis of systematic risk around firm-specific news in an emerging market using high frequency data

Vol: 
35/2021
Author name: 
Saleem SAA
Smith PN
Yalaman A
Year: 
2021
Month: 
March
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 earnings 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.

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