Adam Upenieks
PhD candidate at Haskayne School of Business, University of Calgary
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Biography
Welcome!
My research focuses on empirical asset pricing, with an emphasis on information economics. I am particularly interested in how news consumption affects traditional asset pricing models. I earned my MSc from Bayes Business School in the United Kingdom, and my MA and BA in Economics from the University of Waterloo. I am a 5th year PhD candidate at the Haskayne School of Business at the University of Calgary.
Working papers
Abstract
The capital asset pricing model (CAPM) performs poorly empirically, as market risk (beta) is weakly related to average excess returns. On low-news days, identified using firm-specific idiosyncratic news from the Dow Jones Newswire, market betas have a strong and positive relation with average returns. At the firm level, news-day returns are decreasing in beta. Removing firm-day returns around news improves the pricing of beta unconditionally. Hybrid ”betting-against-beta” trading strategies exploiting these periods earn 28% annually. I conclude that waves of high aggregate idiosyncratic news distort the security market line at the firm level and significantly influence asset pricing.
Work in progress
Diagnostic Expectations, News, and Commodity Returns
with Alexander David
Contact
Haskayne School of Business, University of Calgary, 2500 University Dr NW, Calgary, AB T2N 1N4
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