Durnev, Artyom; Morck, Randall; Yeung, Bernard; … - In: Journal of Accounting Research 41 (2003) 5, pp. 797-836
Roll [1988] observes low "R"-super-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]....