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Stock Market Rumors and Credibility

Abstract : Stock prices occasionally move in response to unverified rumors. I propose a cheap talk model in which a rumormonger's incentives to tell the truth depend on the interaction between her investment horizon and the information acquisition decisions of message-receiving investors. The model's key prediction is that short investment horizons can facilitate credible information sharing between investors, thereby accelerating the information capitalization into market prices. Analyzing a dataset of takeover rumors covered by US newspapers, I find suggestive evidence in support of this prediction.
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Preprints, Working Papers, ...
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https://hal-hec.archives-ouvertes.fr/hal-02896042
Contributor : Antoine Haldemann <>
Submitted on : Friday, July 10, 2020 - 12:06:56 PM
Last modification on : Saturday, July 11, 2020 - 3:51:03 AM

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  • HAL Id : hal-02896042, version 1

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Schmidt Daniel. Stock Market Rumors and Credibility. 2018. ⟨hal-02896042⟩

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