haku: @author Cornell, B. / yhteensä: 20
viite: 6 / 20
| Tekijä: | Cornell, B. |
| Otsikko: | Volume and R2: a first look |
| Lehti: | Journal of Financial Research
1990 : SPRING, VOL. 13:1, p.1-6 |
| Asiasana: | MARKETS STOCK MARKETS |
| Kieli: | eng |
| Tiivistelmä: | Roll (1988) reports that if days with public announcements are excluded from a regression of stock returns on market returns, the R2's are basically do not change. Roll suggests that much of the firm-specific movements in common stocks may be a result of private information or occasional trading frenzy. Using volume as a proxy for firm-specific information and irrational trading, Roll's conjecture is confirmed if weakly. |
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