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.
|Date of creation:|
|Contact details of provider:|| Postal: 500 E. 9th Street, Claremont, CA 91711|
Phone: (909) 607-3041
Fax: (909) 621-8249
Web page: http://www.claremontmckenna.edu/rdschool/papers/
More information through EDIRC
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 923-950, July.
- Romer, David, 1993.
"Rational Asset-Price Movements without News,"
American Economic Review,
American Economic Association, vol. 83(5), pages 1112-1130, December.
- David Romer, 1992. "Rational Asset Price Movements Without News," NBER Working Papers 4121, National Bureau of Economic Research, Inc.
- 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 773-787, July. Full references (including those not matched with items on IDEAS)
When requesting a correction, please mention this item's handle: RePEc:clm:clmeco:1999-26. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: ()
If references are entirely missing, you can add them using this form.