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

Shabir Saleem, Peter Nigel Smith, Abdullah Yalaman

Research output: Working paperDiscussion paper


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 annoucements 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.
Original languageEnglish
PublisherDepartment of Economics and Related Studies, University of York
Publication statusPublished - 8 Oct 2020


  • Realized Beta, Firm-specific News, Earnings Announcements, Emerging Market

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