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

Author

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  • Shabir A A Saleem
  • Peter N Smith
  • Abdullah Yalaman

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.

Suggested Citation

  • Shabir A A Saleem & Peter N Smith & Abdullah Yalaman, 2021. "Analysis of systematic risk around firm-specific news in an emerging market using high frequency data," CAMA Working Papers 2021-35, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    • Handle: RePEc:een:camaaa:2021-35
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    File URL: https://crawford.anu.edu.au/sites/default/files/2025-06/35_2021_Saleem_Smith_Yalaman.pdf
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    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G33 - Financial Economics - - Corporate Finance and Governance - - - Bankruptcy; Liquidation

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