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Stats › Intraday and market microstructure › Beta and announcements

Market beta has been rewarded only on macro announcement days

Announcement days: 9.2 bp+9.2 bpAnnouncementdaysAll other days: -1.0 bp-1.0 bpAll otherdays

Fama-MacBeth cross-sectional slope per unit of beta, ten value-weighted beta decile portfolios, 1964 to 2011. The difference is 10.3 basis points with a t statistic of 2.9. Pooled across all 45 test portfolios the figures are 8.7 and minus 1.4, difference 10.1, t equals 3.0.

The textbook relationship between beta and return is famously weak, and has been for forty years. Split the sample into scheduled macro announcement days and everything else, and it appears cleanly on one side and vanishes entirely on the other.

+9.2 bpCross-sectional slope on beta, announcement days, t = 2.8
-1.0 bpThe same slope on all other days, t = -0.9
95.9%Cross-sectional R squared on announcement days, against 63.1% on other days
16.7 bpAnnouncement-day return of the highest-beta decile

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