Inside information and public news: R-2 and beyond

Authors
Brown, WO
Citation
Wo. Brown, Inside information and public news: R-2 and beyond, APPL ECON L, 6(10), 1999, pp. 633-636
Citations number
7
Categorie Soggetti
Economics
Journal title
APPLIED ECONOMICS LETTERS
ISSN journal
13504851 → ACNP
Volume
6
Issue
10
Year of publication
1999
Pages
633 - 636
Database
ISI
SICI code
1350-4851(199910)6:10<633:IIAPNR>2.0.ZU;2-H
Abstract
This paper finds that the majority of stock price movements remain unexplai ned after controlling for both public and private information. This suggest s that economists' inability to explain asset price movements is the result of either noise or naive asset pricing models.