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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Year of publication:	1999
Authors:	Brown Jr., William O.
Publisher:	Claremont, CA : Claremont McKenna College, Department of Economics
Subject:	asset pricing \| news \| private information

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Series:	Claremont Colleges Working Papers in Economics ; 1999-26
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	873475321 [GVK] hdl:10419/94608 [Handle] RePEc:clm:clmeco:1999-26 [RePEc]
Classification:	G12 - Asset Pricing ; G14 - Information and Market Efficiency; Event Studies
Source:	EconStor

Persistent link: https://www.econbiz.de/10010334577