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.

中文翻译：

---

亚太地区的系统性风险：临床死亡？

Beta 被认为是衡量新兴市场中可能存在的系统风险的重要指标。2007 年 1 月至 2016 年 12 月期间收集了 2200 家澳大利亚上市公司的每日数据。考虑了各种投资组合。与重要宏观经济新闻相关的公告日（a-day）被分配到与 n-day（非公告日）组分开的组中。结果表明，与非公告日相比，公告日的贝塔与每日预期超额收益呈负相关。本文声称，当对资产定价进行实证研究时，投资组合的形成确实很重要。