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Article: Fake News, Investor Attention, and Market Reaction

TitleFake News, Investor Attention, and Market Reaction
Authors
Keywordsfake news
investor attention
financial technology
textual analysis
social media
Issue Date2020
PublisherINFORMS. The Journal's web site is located at http://isr.pubs.informs.org
Citation
Information Systems Research, 2020, Epub 2020-07-23 How to Cite?
AbstractDoes fake news in financial markets attract more investor attention and have a significant impact on stock prices? We use the U.S. Securities and Exchange Commission (SEC) crackdown of stock promotion schemes in April 2017 to examine investor attention and the stock price reaction to fake news articles. Using data from Seeking Alpha, we find that fake news stories generate significantly more attention than a control sample of legitimate articles. We find no evidence that article commenters can detect fake news, and we also find that Seeking Alpha editors have only modest ability to detect fake news. However, we show that machine learning algorithms can successfully identify fake news from linguistic features of the article. The stock market appears to price fake news correctly. While abnormal trading volume increases around the release of fake news, the increase is less than that observed for legitimate news. The stock price reaction to fake news is discounted when compared with legitimate news articles.
Persistent Identifierhttp://hdl.handle.net/10722/284479
ISSN
2019 Impact Factor: 3.585
2015 SCImago Journal Rankings: 4.397

 

DC FieldValueLanguage
dc.contributor.authorClarke, J-
dc.contributor.authorChen, H-
dc.contributor.authorDu, D-
dc.contributor.authorHu, YJ-
dc.date.accessioned2020-08-07T08:58:13Z-
dc.date.available2020-08-07T08:58:13Z-
dc.date.issued2020-
dc.identifier.citationInformation Systems Research, 2020, Epub 2020-07-23-
dc.identifier.issn1047-7047-
dc.identifier.urihttp://hdl.handle.net/10722/284479-
dc.description.abstractDoes fake news in financial markets attract more investor attention and have a significant impact on stock prices? We use the U.S. Securities and Exchange Commission (SEC) crackdown of stock promotion schemes in April 2017 to examine investor attention and the stock price reaction to fake news articles. Using data from Seeking Alpha, we find that fake news stories generate significantly more attention than a control sample of legitimate articles. We find no evidence that article commenters can detect fake news, and we also find that Seeking Alpha editors have only modest ability to detect fake news. However, we show that machine learning algorithms can successfully identify fake news from linguistic features of the article. The stock market appears to price fake news correctly. While abnormal trading volume increases around the release of fake news, the increase is less than that observed for legitimate news. The stock price reaction to fake news is discounted when compared with legitimate news articles.-
dc.languageeng-
dc.publisherINFORMS. The Journal's web site is located at http://isr.pubs.informs.org-
dc.relation.ispartofInformation Systems Research-
dc.subjectfake news-
dc.subjectinvestor attention-
dc.subjectfinancial technology-
dc.subjecttextual analysis-
dc.subjectsocial media-
dc.titleFake News, Investor Attention, and Market Reaction-
dc.typeArticle-
dc.identifier.emailChen, H: chen19@hku.hk-
dc.identifier.authorityChen, H=rp02520-
dc.description.naturepostprint-
dc.identifier.doi10.1287/isre.2019.0910-
dc.identifier.hkuros311979-
dc.identifier.volumeEpub 2020-07-23-
dc.publisher.placeUnited States-

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