Rumors and price efficiency in stock market:An empirical study of rumor verification on investor Interactive platforms  

作　　者：Wenting Zhang Chenxi Wang 

机构地区：[1]School of Business,Sun Yat-sen University,China

出　　处：《China Journal of Accounting Research》2024年第2期164-192,共29页中国会计学刊（英文版）

基　　金：supported by the National Natural Science Foundation of China(Project Nos.71902201 and 71972189).

摘　　要：Using rumor verification data from investor interactive platforms,we investigate the effect of stock market rumors on price efficiency.We find favorable rumors are positively correlated with stock price synchronicity,while unfavorable rumors are negatively correlated with stock price synchronicity.Both favorable and unfavorable rumors are positively correlated with stock mispricing levels,and stock price crash risk.Mechanism tests reveal that favorable rumors about industry leaders have industry spillover effects.The effect of rumors on mispricing levels and stock price crash risk are more pronounced when there are more retail investors.Further analysis shows stronger detrimental impacts of rumors on price efficiency for small-cap companies,companies with low information transparency and companies with low institutional ownership.

关 键 词：RUMORS Price efficiency Stock price synchronicity MISPRICING Stock price crash risk 

分 类 号：F832.51[经济管理—金融学]