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Inside Information and Public News: R-Squared and Beyond

Author

Listed:
  • William O. Brown, Jr.

    (Claremont McKenna College)

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.

Suggested Citation

  • William O. Brown, Jr., "undated". "Inside Information and Public News: R-Squared and Beyond," Claremont Colleges Working Papers 1999-26, Claremont Colleges.
  • Handle: RePEc:clm:clmeco:1999-26
    as

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    File URL: http://www.claremontmckenna.edu/rdschool/papers/1999-26.pdf
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    References listed on IDEAS

    as
    1. 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 923-950, July.
    2. Romer, David, 1993. "Rational Asset-Price Movements without News," American Economic Review, American Economic Association, vol. 83(5), pages 1112-1130, December.
    3. 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.
    4. Grossman, Sanford J, 1995. " Dynamic Asset Allocation and the Informational Efficiency of Markets," Journal of Finance, American Finance Association, vol. 50(3), pages 773-787, July.
    Full references (including those not matched with items on IDEAS)

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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.

    More about this item

    Keywords

    asset pricing; news; private information;

    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

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