Stock Market Rumors and Credibility

• 成果类型: Article
• 署名作者: Schmidt, Daniel
• 署名单位: Hautes Etudes Commerciales (HEC) Paris
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhz120
• 发表日期: 2020
• 页码: 3804
• 关键词: institutional investors; information percolation; INVESTMENT SENSITIVITY; price; horizons; portfolio; INSIDERS; noise

摘要

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 data set of takeover rumors covered by U.S. newspapers, I find suggestive evidence in support of this prediction.