In any market system, prices contain information. The problem is, it’s not always easy to figure out what that information is. When frost blankets Florida’s orange groves in winter, it is clear why the price of orange juice goes up — the frost reduces the orange supply. But when the price of a stock goes up, it is rarely easy to draw such an obvious connection between a specific piece of information and the change in price. We are left to fall back on models about which kinds of information matter to market participants, who ultimately determine the price of a stock through their trading with one another.

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