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The impact of news on measures of undiversifiable risk: evidence from the UK stock market

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Brooks, C. and Henry, O.T. (2002) The impact of news on measures of undiversifiable risk: evidence from the UK stock market. Oxford Bulletin of Economics and Statistics, 64 (5). pp. 487-507. ISSN 1468-0084

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To link to this article DOI: 10.1111/1468-0084.00274

Abstract/Summary

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 suggests that such abnormalities may be due to changes in expected returns caused by time-variation and asymmetry in beta.

Item Type:Article
Refereed:Yes
Divisions:Henley Business School > ICMA Centre
ID Code:24149
Publisher:Blackwell Publishing Ltd

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