Journal article
Does Greater Firm-Specific Return Variation Mean More or Less Informed Stock Pricing?
Journal of accounting research, Vol.41(5), pp.797-836
23 May 2001; accepted 16 July 2003
12/2003
DOI: 10.1046/j.1475-679X.2003.00124.x
Abstract
Roll [1988] observes low R2 statistics for common asset pricing models due to vigorous firm-specific return variation not associated with public information. He concludes that this implies “either private information or else occasional frenzy unrelated to concrete information”[p. 56]. We show that firms and industries with lower market model R2 statistics exhibit higher association between current returns and future earnings, indicating more information about future earnings in current stock returns. This supports Roll's first interpretation: higher firm-specific return variation as a fraction of total variation signals more information-laden stock prices and, therefore, more efficient stock markets.
Details
- Title: Subtitle
- Does Greater Firm-Specific Return Variation Mean More or Less Informed Stock Pricing?
- Creators
- Artyom Durnev - University of MiamiRandall Morck - University of AlbertaBernard Yeung - New York UniversityPaul Zarowin - New York University
- Resource Type
- Journal article
- Publication Details
- Journal of accounting research, Vol.41(5), pp.797-836
- Edition
- 23 May 2001; accepted 16 July 2003
- Publisher
- Blackwell Publishing, Inc
- DOI
- 10.1046/j.1475-679X.2003.00124.x
- ISSN
- 0021-8456
- eISSN
- 1475-679X
- Number of pages
- 40
- Language
- English
- Date published
- 12/2003
- Academic Unit
- Finance
- Record Identifier
- 9984380407102771
Metrics
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