Inside Information and Public News: R-Squared and Beyond
AbstractThis paper finds that the majority of stock price movements remain unexplained after controlling for both public and private information. This suggests that economists’ inability to explain asset price movements is the result of either noise or naive asset pricing models.
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Bibliographic InfoPaper provided by Claremont Colleges in its series Claremont Colleges Working Papers with number 1999-26.
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More information through EDIRC
asset pricing; news; private information;
Find related papers by JEL classification:
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Mitchell, Mark L & Mulherin, J Harold, 1994. " The Impact of Public Information on the Stock Market," Journal of Finance, American Finance Association, vol. 49(3), pages 923-50, July.
- Romer, David, 1993.
"Rational Asset-Price Movements without News,"
American Economic Review,
American Economic Association, vol. 83(5), pages 1112-30, December.
- Cornell, Bradford, 1990. "Volume and R2: A First Look," Journal of Financial Research, Southern Finance Association & Southwestern Finance Association, vol. 13(1), pages 1-6, Spring.
- Grossman, Sanford J, 1995. " Dynamic Asset Allocation and the Informational Efficiency of Markets," Journal of Finance, American Finance Association, vol. 50(3), pages 773-87, July.
- Yu Cong & Rani Hoitash & Murugappa Krishnan, 2010. "Event study with imperfect competition and private information: earnings announcements revisited," Review of Quantitative Finance and Accounting, Springer, vol. 34(3), pages 383-411, April.
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