Quarterly Earnings Announcements and Market Risk Adjustments
研究美国公司季度盈利公告前后个股贝塔值的变化，发现25%的公司公告期间贝塔显著上升、9%显著下降，且小公司变化更大。
We examine (1) whether there is a shift in beta for individual securities around quarterly earnings announcements, and (2) whether these beta changes relate to certain characteristics of the firms. We find a statistically significant upward (downward) beta shift during the two‐day earnings announcement period for 25 per cent (9 per cent) of a sample of 195 US firms. We also find that the beta shift at the time of the earnings announcement is significantly higher for small firms (i.e., more precise announcements).