Скачать или смотреть Session 6 - Eliza Wu, University of Sydney

Discussion by Petri Jylhä, Aalto University

Title: "What Moves Stock Prices? The Role of News, Noise, and Information"

Abstract:
"We develop a return variance decomposition model to separate the role of different types of information and noise in stock price movements. We disentangle four components: market-wide information, private firm-specific information revealed through trading, firm-specific information revealed through public sources, and noise. Overall, 31% of the return variance is from noise, 37% from public firm-specific information, 24% from private 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."

Paper: https://papers.ssrn.com/sol3/papers.c...