Revisiting Roll's R2 Puzzle

31 Pages Posted: 4 Feb 2020

See all articles by Brent Kitchens

Brent Kitchens

University of Virginia - McIntire School of Commerce

Robert Parham

University of Virginia - McIntire School of Commerce

Chris Yung

University of Virginia - McIntire School of Commerce

Date Written: January 1, 2020

Abstract

We resolve Roll’s R2 puzzle. Before Reg FD, "news days" did not deliver news to the stock market. Now they do.

Keywords: News, Media, Information, Price efficiency

Suggested Citation

Kitchens, Brent and Parham, Robert and Yung, Chris, Revisiting Roll's R2 Puzzle (January 1, 2020). Available at SSRN: https://ssrn.com/abstract=3517521 or http://dx.doi.org/10.2139/ssrn.3517521

Brent Kitchens

University of Virginia - McIntire School of Commerce ( email )

P.O. Box 400173
Charlottesville, VA 22904-4173
United States

Robert Parham (Contact Author)

University of Virginia - McIntire School of Commerce ( email )

1400 University Ave
Charlottesville, VA 22903
United States

HOME PAGE: http://kn.owled.ge

Chris Yung

University of Virginia - McIntire School of Commerce ( email )

P.O. Box 400173
Charlottesville, VA 22904-4173
United States
434-242-0836 (Phone)

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