Abstract

http://ssrn.com/abstract=897431
 
 

References (36)



 
 

Citations (9)



 


 



The Effect of Stock Spam on Financial Markets


Rainer Böhme


University of Muenster - Department of Information Systems; ICSI Berkeley; TU Dresden

Thorsten Holz


University of Mannheim - Laboratory for Dependable Distributed Systems, University of Mannheim

April 2006


Abstract:     
Spam messages are ubiquitous and extensive interdisciplinary research has tried to come up with effective countermeasures. However, little is known about the response to unsolicited e-mail, partly because spammers do not disclose sales figures. This paper correlates incoming spam messages that promote the investment in particular equity securities with financial market data. We use multivariate regression models to measure the impact of stock spam on traded volume and conduct an event study to find effects on market valuation. In both cases we have found evidence for significant reactions to spam campaigns in the short run. Theoretical and practical implications of the findings are addressed.

Number of Pages in PDF File: 24

Keywords: Stock Spam, Event Study, OTC, Unsolicited Bulk E-Mail, Economics of Information Security

JEL Classification: G14, D84, M30, C88

working papers series


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Date posted: April 21, 2006  

Suggested Citation

Böhme, Rainer and Holz, Thorsten, The Effect of Stock Spam on Financial Markets (April 2006). Available at SSRN: http://ssrn.com/abstract=897431 or http://dx.doi.org/10.2139/ssrn.897431

Contact Information

Rainer Böhme (Contact Author)
University of Muenster - Department of Information Systems ( email )
Leonardo-Campus 3
Muenster, NRW D-48143
Germany
HOME PAGE: http://www.wi.uni-muenster.de/security/
ICSI Berkeley ( email )
1947 Center Street, Ste. 600
Berkeley, CA 94704
United States
TU Dresden ( email )
Dresden, 01062
Germany
Thorsten Holz
University of Mannheim - Laboratory for Dependable Distributed Systems, University of Mannheim ( email )
Germany
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