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. In low news periods, identified using idiosyncratic news from the Dow Jones Newswire, market betas have a strong and positive relation with average returns. Idiosyncratic news raises firm value but reduces its exposure to priced market risk, compressing firms’ post-news betas. When idiosyncratic news is widespread, the beta–return relation weakens and the Security Market Line flattens. Consistent with an attention-based mechanism, the beta-return relation is positive when attention to market-wide idiosyncratic news is low relative to macroeconomic attention, and reverses when idiosyncratic attention is high. Hybrid ``betting-against-beta'' trading strategies exploiting these periods earn high returns. I conclude that waves of high aggregate idiosyncratic news obscure the performance of the CAPM 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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