Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/237284 
Authors: 
Year of Publication: 
2021
Citation: 
[Journal:] Financial Innovation [ISSN:] 2199-4730 [Volume:] 7 [Issue:] 1 [Publisher:] Springer [Place:] Heidelberg [Year:] 2021 [Pages:] 1-30
Publisher: 
Springer, Heidelberg
Abstract: 
This paper proposes an original behavioural finance representative agent model, to explain how fake news' empirical price impacts can persist in finance despite contradicting the efficient-market hypothesis. The model reconciles empirically-observed price overreactions to fake news with empirically-observed price underreactions to real news, and predicts a novel secondary impact of fake news: that fake news in a security amplifies underreactions to subsequent real news for the security. Evaluating the model against a large-sample event study of the 2019 Chinese ADR Delisting Threat fake news and debunking event, this paper finds strong qualitative validation for its model's dynamics and predictions.
Subjects: 
Behavioural finance
Bootstrapping
Event study
Fake news
Representative agent model
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

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