TY - JOUR
T1 - The effects of rumours on financial market efficiency
AU - Spiegel, Uriel
AU - Tavor, Tchai
AU - Templeman, Joseph
PY - 2010
Y1 - 2010
N2 - During the last decade the world has faced a tremendous development of information technology and telecommunication. This study investigates the impact of rumours (released on the web) on common stock returns. The findings indicate that the market responds positively to rumours. During the event day and the five preceding days, the abnormal stock return is positive and statistically significant. In particular, the impact is stronger for single than for multi-rumours, for initial rather than subsequent rumours and for realized rumours than for nonrealized rumours.
AB - During the last decade the world has faced a tremendous development of information technology and telecommunication. This study investigates the impact of rumours (released on the web) on common stock returns. The findings indicate that the market responds positively to rumours. During the event day and the five preceding days, the abnormal stock return is positive and statistically significant. In particular, the impact is stronger for single than for multi-rumours, for initial rather than subsequent rumours and for realized rumours than for nonrealized rumours.
UR - http://www.scopus.com/inward/record.url?scp=77957575516&partnerID=8YFLogxK
U2 - 10.1080/13504850903035873
DO - 10.1080/13504850903035873
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AN - SCOPUS:77957575516
SN - 1350-4851
VL - 17
SP - 1461
EP - 1464
JO - Applied Economics Letters
JF - Applied Economics Letters
IS - 15
ER -