Abstract
Market betas have a strong and positive relation with average stock returns on a handful of days every year. Such unique days, defined here as leading earnings announcement days or LEADs, are times when an aggregate of influential SP and is robust to different data frequencies and testing procedures. On days other than LEADs, the relation between beta and average returns is flat. We conclude that waves of early earnings announcements by large firms clustered on LEADs have a significant influence on pricing individual assets.
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