Analysing the behavioural finance impact of 'fake news' phenomena on financial markets: a representative agent model and empirical validation-Reference-Cited by-同舟云学术

Analysing the behavioural finance impact of 'fake news' phenomena on financial markets: a representative agent model and empirical validation

Published:2021-07-05 Issue:1 Volume:7 Page:
ISSN:2199-4730
Container-title:Financial Innovation
language:en
Short-container-title:Financ Innov

Author:

Fong Bryan^ORCID

Abstract

AbstractThis 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.

Publisher

Springer Science and Business Media LLC

Subject

Management of Technology and Innovation,Finance

Link

https://link.springer.com/content/pdf/10.1186/s40854-021-00271-z.pdf

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