Abstract

http://ssrn.com/abstract=1654142
 
 

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Rumortrage: Can Investors Profit on Takeover Rumors on Internet Stock Message Boards?


Jenni L. Bettman


Australian National University (ANU)

Aiden G. Hallett


Goldman Sachs Australia Pty Ltd.

Stephen Sault


Australian National University (ANU); Financial Research Network (FIRN)

August 5, 2010

Finance and Corporate Governance Conference 2011 Paper

Abstract:     
We provide the first empirical investigation into the impact of Internet Stock Message Board takeover rumors on the price discovery process in the United States equity market. Our investigation involves using an innovative five-stage filtering process, that employs computational linguistics methods, to derive a unique sample of 2,898 first post Message Board takeover rumors disseminated during the period January 2003 to December 2008, inclusive. Overall, our analysis, utilizing intraday Trade and Quote (TAQ) data, reveals that Message Board takeover rumors generate significant positive abnormal returns and trading volumes. Finally, after verifying the robustness of these results to the influence of sample selection bias and an alternative matched control firm abnormal returns metric, we find that Message Board takeover rumors present an economically exploitable opportunity for investors.

Number of Pages in PDF File: 46

Keywords: Internet Stock Message Boards, Price Discovery Process, Takeover, Rumor, Computational Linguistics

JEL Classification: G14

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Date posted: August 6, 2010 ; Last revised: July 30, 2014

Suggested Citation

Bettman, Jenni L. and Hallett, Aiden G. and Sault, Stephen, Rumortrage: Can Investors Profit on Takeover Rumors on Internet Stock Message Boards? (August 5, 2010). Finance and Corporate Governance Conference 2011 Paper. Available at SSRN: http://ssrn.com/abstract=1654142 or http://dx.doi.org/10.2139/ssrn.1654142

Contact Information

Jenni L. Bettman
Australian National University (ANU) ( email )
Canberra, Australian Capital Territory 2601
Australia
Aiden G. Hallett
Goldman Sachs Australia Pty Ltd. ( email )
Level 48, Governor Philip Tower, 1 Farrer Place
New South Wales
Australia
Stephen Sault (Contact Author)
Australian National University (ANU) ( email )
Canberra ACT 0200, 2601
Australia
Financial Research Network (FIRN)
C/- University of Queensland Business School
St Lucia, 4071 Brisbane
Queensland
Australia
HOME PAGE: http://www.firn.org.au

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