Building on their earlier finding, the authors showed that the CAPM, which fails badly in general, works remarkably well on macro announcement days: on those days, stocks with higher beta earn proportionally higher returns, and the security market line is steep and positive. On non-announcement days the relationship between beta and return is flat or negative. The same holds for the beta of other assets. They interpret this as evidence that market beta is priced when the market is reacting to true systematic (macroeconomic) news, and not priced on ordinary days dominated by other kinds of flow.