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Inside information and public news: R 2 and beyond

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  • William Brown

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.

Suggested Citation

  • William Brown, 1999. "Inside information and public news: R 2 and beyond," Applied Economics Letters, Taylor & Francis Journals, vol. 6(10), pages 633-636.
    • Handle: RePEc:taf:apeclt:v:6:y:1999:i:10:p:633-636
    DOI: 10.1080/135048599352394
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    Cited by:

    1. Paulo Alves & Ken Peasnell & Paul Taylor, 2010. "The Use of the R2 as a Measure of Firm‐Specific Information: A Cross‐Country Critique," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 37(1‐2), pages 1-26, January.
    2. Paulo Alves & Ken Peasnell & Paul Taylor, 2010. "The Use of the "R"-super-2 as a Measure of Firm-Specific Information: A Cross-Country Critique," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 37(1-2), pages 1-26.
    3. Thomas Schuster, 2003. "News Events and Price Movements. Price Effects of Economic and Non-Economic Publications in the News Media," Finance 0305009, University Library of Munich, Germany.

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