%0 Journal Article %1 CutlerPoterbaSummers1989 %A Cutler, D. M. %A Poterba, J. M. %A Summers, L. H. %D 1989 %J Journal of Portfolio Management %K imported %N 2 %P 4--12 %T What Moves Stock Prices? %V 15 %X There has been little success in accounting for the absolute level of asset prices. The standard approach is that fluctuations in asset prices are attributable to changes in fundamental values. Recent studies have challenged the idea that stock price movements are wholly attributable to the arrival of news. Several tests were undertaken to determine the fraction of the variation in aggregate stock returns that can be attributed to news. First, stock returns were examined in relation to the arrival of information about macroeconomic performance. In this instance, it is shown that news proxies can explain about 1/3 of the variance in stock returns. Then, stock returns were examined in relation to other types of information. News about wars, the presidency, or significant changes in financial policies affect stock prices, but the results suggest that qualitative news does not account for all the return variation that cannot be traced to macroeconomic causes.

@article{CutlerPoterbaSummers1989, abstract = {There has been little success in accounting for the absolute level of asset prices. The standard approach is that fluctuations in asset prices are attributable to changes in fundamental values. Recent studies have challenged the idea that stock price movements are wholly attributable to the arrival of news. Several tests were undertaken to determine the fraction of the variation in aggregate stock returns that can be attributed to news. First, stock returns were examined in relation to the arrival of information about macroeconomic performance. In this instance, it is shown that news proxies can explain about 1/3 of the variance in stock returns. Then, stock returns were examined in relation to other types of information. News about wars, the presidency, or significant changes in financial policies affect stock prices, but the results suggest that qualitative news does not account for all the return variation that cannot be traced to macroeconomic causes.}, added-at = {2007-06-26T15:08:05.000+0200}, author = {Cutler, D. M. and Poterba, J. M. and Summers, L. H.}, biburl = {https://www.bibsonomy.org/bibtex/239356754e945e6ad2290cfcb846d75b0/gilles.daniel}, comment = {Price fluctuations cannot be due only to the arrival of new information}, interhash = {35c3e302a7e8fb9c170359f36910d1dc}, intrahash = {39356754e945e6ad2290cfcb846d75b0}, issue = {3}, journal = {Journal of Portfolio Management}, keywords = {imported}, number = 2, pages = {4--12}, timestamp = {2007-06-26T15:08:08.000+0200}, title = {What Moves Stock Prices?}, volume = 15, year = 1989 }