What Moves Stock Prices? The Roles of News, Noise, and Information

• 成果类型: Article
• 署名作者: Brogaard, Jonathan; Nguyen, Thanh Huong; Putnins, Talis J.; Wu, Eliza
• 署名单位: Utah System of Higher Education; University of Utah; Ho Chi Minh City University Economics; University of Danang; University of Technology Sydney; University of Sydney
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhab137
• 发表日期: 2022
• 页码: 4341
• 关键词: financial-markets; cross-section; time-series; liquidity; returns; biases; DECOMPOSITION; EFFICIENCY; BEHAVIOR; trades

摘要

We develop a return variance decomposition model to distinguish the roles of different types of information and noise in stock price movements. We disentangle four components: noise, private firm-specific information revealed through trading, firm-specific information revealed through public sources and market-wide information. Overall, we find that 31% of the return variance is from noise, 24% from private firm-specific information, 37% from public firm-specific information and 8% from market-wide information. Since the mid-1990s, there has been a dramatic decline in noise and an increase in firm-specific information, consistent with increasing market efficiency.