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Inside Information and Public News: R-Squared and Beyond

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Author Info

  • William O. Brown, Jr.

    (Claremont McKenna College)

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    Abstract

    This 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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    File URL: http://www.claremontmckenna.edu/rdschool/papers/1999-26.pdf
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    Bibliographic Info

    Paper provided by Claremont Colleges in its series Claremont Colleges Working Papers with number 1999-26.

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    Handle: RePEc:clm:clmeco:1999-26

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    Related research

    Keywords: asset pricing; news; private information;

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    References

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    1. 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.
    2. Romer, David, 1993. "Rational Asset-Price Movements without News," American Economic Review, American Economic Association, vol. 83(5), pages 1112-30, December.
    3. 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.
    4. 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.
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    Cited by:
    1. 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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