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

作     者：Wenting Zhang Chenxi Wang 

作者机构：School of BusinessSun Yat-sen UniversityChina 

出 版 物：《China Journal of Accounting Research》 (中国会计学刊（英文版）)

年 卷 期：2024年第17卷第2期

页      面：164-192页

学科分类：12[管理学] 02[经济学] 0202[经济学-应用经济学] 1201[管理学-管理科学与工程(可授管理学、工学学位)] 020204[经济学-金融学（含∶保险学）] 

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

主　　题：Rumors Price efficiency Stock price synchronicity Mispricing Stock price crash risk 

摘      要：Using rumor verification data from investor interactive platforms,we investigate the effect of stock market rumors on price *** find favorable rumors are positively correlated with stock price synchronicity,while unfavorable rumors are negatively correlated with stock price *** favorable and unfavorable rumors are positively correlated with stock mispricing levels,and stock price crash *** tests reveal that favorable rumors about industry leaders have industry spillover *** effect of rumors on mispricing levels and stock price crash risk are more pronounced when there are more retail *** 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.