This note provides the details of the estimation procedure in Br¨unner (2019). In Section 2 we derive the posterior distribution. Section 3 describes the MCMC algorithm used to obtain draws from the posterior distribution and in Section 4 we present the method for our model check. We conclude...

This paper finds that the majority of stock price movements remain unexplained after controlling for both public and private information. This suggests that economists' inability to explain asset price movements is the result of either noise or naive asset pricing models.