Unlike Stigler's original estimates, our re-estimation of his equations yields results which are consistent with economic theory. However, they raise questions regarding the extent to which the data provide a measure of support for the implications of his theory. Stigler's theoretical...

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.