Does Greater Firm‐Specific Return Variation Mean More or Less Informed Stock Pricing?
发现，市场模型R²越低的公司和行业，当前股票收益与未来盈余的关联越强，说明更高的公司特定收益波动反映了更多关于未来盈余的信息，支持了Roll关于私有信息导致低R²的解释。
ABSTRACT Roll [1988] observes low R 2 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 R 2 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.