Rumor Clarification and Stock Returns: Do Bull Markets Behave Differently from Bear Markets?
Year: 2014
Type: article
Abstract: This paper analyzes the effects of official rumor clarification on Chinese stock returns under different market conditions. The results show that the average cumulative abnormal return after the clarification event is significantly positive in a bull market, and significantly negative in a bear market. The results are robust across various types of rumors, including rumors of mergers and acquisitions, asset restructuring, and positive changes in a firm's operations. Moreover, in both bull and bear markets, investors are unable to distinguish between rumors that prove true and those that prove false, or between strong and weak rumor denial. Furthermore, investors are also unable to adjust their strategies accordingly.
Authors: Xiaolan Yang, Yongli Luo
Institutions: Zhejiang University, Wayland Baptist University
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W2053267684