This paper examines the relation between voluntary disclosure of financial statement line items accompanying, and insider trading around, quarterly earnings announcements. We find that investors' reaction to positive earnings news is temporarily heightened by financial statement line items...

Roll [1988] observes low R2 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...