The Impact of News on Measures of Undiversifiable Risk: Evidence from the UK Stock Market*
利用英国股指数据，研究新闻如何影响随时间变化的贝塔值（衡量不可分散风险的常用指标），发现贝塔值对市场新闻和行业新闻的反应存在不对称性，且这种不对称性在不同行业一致。
Using UK equity index data, this paper considers the impact of news on time varying measures of beta, the usual measure of undiversifiable risk. The empirical model implies that beta depends on news about the market and news about the sector. The asymmetric response of beta to news about the market is consistent across all sectors considered. Recent research is divided as to whether abnormalities in equity returns arise from changes in expected returns in an efficient market or over-reactions to new information. The evidence in this paper suggests that such abnormalities may be due to changes in expected returns caused by time-variation and asymmetry in beta. Copyright 2002 by Blackwell Publishing Ltd