What Moves Stock Prices? The Roles of News, Noise, and Information
通过分解股票收益方差，区分了噪音、私有公司信息、公开公司信息和市场信息对股价波动的影响，发现噪音占比下降、公司信息占比上升，表明市场效率在提高。
Abstract 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. The Internet Appendix that accompanies this paper can be obtained here: https://bit.ly/3FcV9UR