Patton, Andrew J.; Verardo, Michela - In: Review of Financial Studies 25 (2012) 9, pp. 2789-2839
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...