The Impact of News on Measures of Undiversifiable Risk: Evidence from the UK Stock Market
Chris Brooks and
Ólan Henry ()
Oxford Bulletin of Economics and Statistics, 2002, vol. 64, issue 5, 487-507
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
References: Add references at CitEc
Citations: View citations in EconPapers (9) Track citations by RSS feed
Downloads: (external link)
http://www.blackwell-synergy.com/servlet/useragent ... &year=2002&part=null link to full text (text/html)
Access to full text is restricted to subscribers.
Working Paper: The Impact of News on Measures of Undiversifiable Risk: Evidence from the UK Stock Market (2000)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:bla:obuest:v:64:y:2002:i:5:p:487-507
Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0305-9049
Access Statistics for this article
Oxford Bulletin of Economics and Statistics is currently edited by Christopher Adam, Anindya Banerjee, Christopher Bowdler, David Hendry, Adriaan Kalwij, John Knight and Jonathan Temple
More articles in Oxford Bulletin of Economics and Statistics from Department of Economics, University of Oxford Contact information at EDIRC.
Bibliographic data for series maintained by Wiley Content Delivery ().