Bramante, Riccardo; Petrella, Giovanni; Zappa, Diego - In: Review of Quantitative Finance and Accounting 44 (2015) 2, pp. 379-391
The R-square of the market model is a very popular measure of stock price efficiency. However, its interpretation is far from being unambiguous. Some scholars argue that the R-square is a direct measure of efficiency, others argue that the R-square is an indirect measure of efficiency. This...
