Inside information and public news : R-squared and beyond

William O. Brown (Claremont McKenna College)

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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Year of publication:	[1999]
Authors:	Brown, William O.
Publisher:	Claremont, CA : Claremont Graduate University
Subject:	asset pricing \| news \| private information \| Asymmetrische Information \| Asymmetric information \| Börsenkurs \| Share price \| Insiderhandel \| Insider trading \| Ankündigungseffekt \| Announcement effect \| Theorie \| Theory \| Informationsverbreitung \| Information dissemination \| Anlageverhalten \| Behavioural finance \| Information