High‐beta stock valuation around macroeconomic announcements
研究发现高贝塔股票在预定宏观公告前后出现戏剧性的收益波动，基于此构建的多空策略在3天窗口期内年化收益率达25.28%，但流动性、风险和投资者风险偏好仅能部分解释该现象。
Abstract We document a dramatic swing of high‐beta stock returns around pre‐scheduled macroeconomic announcements—from being negative on the day before, to positive on the day of, and negative again on the day after the announcements. A feasible long‐short strategy of betting against beta (BAB) and betting on beta (BOB) yields annualized 25.28% return over the 3‐day announcement window. We explore potential explanations based on liquidity, risk, and investor risk appetite. Our results show that changes in liquidity, risk, and investor risk appetite around the announcements at best partially account for variations in high‐beta stock returns. The finding of our study highlights the dynamic effect of macroeconomic announcements on asset prices.