Inside information and public news: R 2 and beyond

William Brown

Applied Economics Letters, 1999, vol. 6, issue 10, 633-636

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.

Date: 1999
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DOI: 10.1080/135048599352394

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