Systematic Risk in the Asia Pacific Region: A Clinical Death?

Abstract

Beta is considered an important measure of systematic risk which is arguably present in an emerging market. Daily data for 2200 Australian listed firms is collected for the January 2007–December 2016 period. Various portfolios are considered. Days with announcements (the a-day) related to crucial macroeconomic news are allocated into the group which is separated from the n-day (nonannouncement days) group. Findings indicate that beta is negatively related to daily expected excess returns in the announcement days in comparison with the nonannouncement days. It is the claim of this paper that portfolio formations do matter when empirical studies on asset pricing are conducted.