Inside Information and Public News: R-Squared and Beyond
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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- 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.
- 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.
- 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.
- David Romer, 1992.
"Rational Asset Price Movements Without News,"
NBER Working Papers
4121, National Bureau of Economic Research, Inc.
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