On the effects of stock spam e-mails

Journal of Financial Markets

Volumn 11, Issue 1, 2008, Pages 57-83

  Hanke, Michael ^a   Hauser, Florian ^a  

^a INNSBRUCK UNIVERSITY SCHOOL OF MANAGEMENT   (Austria)

Author keywords

Market manipulation; Stock spam

Indexed keywords

EID: 38049052514     PISSN: 13864181     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.finmar.2007.10.001     Document Type: Article

References (27)

1. Aggarwal R., and Wu G. Stock market manipulation. The Journal of Business 79 (2006) 1915-1953
2. Alizadeh S., Brandt M.W., and Diebold F.X. Range-based estimation of stochastic volatility models. The Journal of Finance 57 (2002) 1047-1091
3. Allen F., and Gale D. Stock-price manipulation. Review of Financial Studies 5 (1992) 503-529
4. Allen F., and Gorton G. Stock-price manipulation, market microstructure and asymmetric information. European Economic Review 36 (1992) 624-630
5. Antweiler W., and Frank M.Z. Is all that talk just noise? The information content of internet stock message boards. The Journal of Finance 59 (2004) 1259-1294
6. Beck N., and Katz J.N. What to do (and not to do) with time-series cross-section data. American Political Science Review 89 (1995) 634-647
7. Boehme, R., Holz, T., 2006. The effect of stock spam on financial markets, SSRN Working Paper No. 897431.
8. Brown S.J., and Warner J.B. Using daily stock returns-the case of event studies. Journal of Financial Economics 14 (1985) 3-31
9. Cherian J.A., and Jarrow R. Market manipulation. In: Jarrow R.A., Maksimovic V., and Ziemba W.T. (Eds). North-Holland Handbooks in Operations Research and Management Science vol. 9 (1995), Elsevier, Amsterdam 611-630 (Chapter 9)
10. Dewally M. Internet investment advice: investing with a rock of salt. Financial Analysts Journal 59 (2003) 65-77
11. Frieder, L.L., Zittrain, J.L., 2006. Spam works: evidence from stock touts and corresponding market activity. SSRN Working Paper No. 920553.
12. Jegadeesh N. Evidence of predictable behavior of security returns. The Journal of Finance 45 (1990) 881-898
13. Jiang G., Mahoney P.G., and Mei J. Market manipulation: a comprehensive study of stock pools. Journal of Financial Economics 77 (2005) 147-170
14. Khwaja A., and Mihan A. Unchecked intermediaries: price manipulation in an emerging stock market. Journal of Financial Economics 78 (2005) 203-241
15. Larson S., Luft C., and Levine L.M. Over the counter bulletin board exchange: market structure, risk, and return. Journal of Alternative Investments 4 (2001) 33-42
16. Lease R.C., Mahulis R.W., and Page J.R. An investigation of market microstructure impacts on event study returns. The Journal of Finance 46 (1991) 1523-1536
17. Luft C., and Levine L.M. Over the counter bulletin board exchange: the impact of liquidity and size to return, volatility, and bid/ask spread. Journal of Alternative Investments 7 (2004) 95-106
18. Mei, J., Wu, G., Zhou, C., 2004. Behavior based manipulation: theory and prosecution evidence. SSRN Working Paper No. 457880.
19. Ritter J.R., and Welch I. A review of IPO activity, pricing, and allocations. Journal of Finance 57 (2002) 1795-1828
20. Roll R. A simple implicit measure of the effective bid-ask spread in an efficient market. The Journal of Finance 39 (1984) 1127-1139
21. Stoll H.R. The supply of dealer services in securities markets. The Journal of Finance 33 (1978) 1133-1151
22. Tumarkin R., and Whitelaw R.F. News or noise? Internet postings and stock prices. Financial Analysts Journal 57 (2001) 41-51
23. van Bommel J. Rumors. The Journal of Finance 58 (2003) 1499-1519
24. Wall Street Journal, 2000. Teenage trader runs afoul of the SEC as stock touting draws charges of fraud. 21.09.2000.
25. Wall Street Journal, 2005a. SEC steps up effort to fight stock fraud; agency begins to halt trading when it suspects spammers are touting shares illegally. 02.02.2005.
26. Wall Street Journal, 2005b. Scam artists tap text messaging to lure folks seeking hot stocks. 27.09.2005.
27. Wooldridge, J.M., 2006. Introductory Econometrics-A Modern Approach, third ed. Thomson.