Betton, Sandra, Davis, Frederick and Walker, Thomas (2018) Rumor rationales: The impact of message justification on article credibility. International Review of Financial Analysis . ISSN 10575219 (In Press)
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Official URL: http://dx.doi.org/10.1016/j.irfa.2018.03.013
Abstract
We perform content analysis on a unique sample of 2074 first-instance published takeover rumors to study how the rationale underlying a publication relates to its credibility and its association with firm returns and rumor accuracy. While most takeover rumors are inaccurate, we find that distinguishing between various justifications of potential takeover activity as provided within the published article serves to predict takeover announcements, subsequent firm abnormal returns, and – to a lesser extent – premiums. In addition, we note a clear distinction in results based upon the informative versus speculative nature of the rumor. We interpret this evidence as supportive of our hypothesis that the underlying rationale justifying the release of public information affects firm share prices and aids in predictability.
| Divisions: | Concordia University > John Molson School of Business > Finance |
|---|---|
| Item Type: | Article |
| Refereed: | Yes |
| Authors: | Betton, Sandra and Davis, Frederick and Walker, Thomas |
| Journal or Publication: | International Review of Financial Analysis |
| Date: | 28 March 2018 |
| Funders: |
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| Digital Object Identifier (DOI): | 10.1016/j.irfa.2018.03.013 |
| Keywords: | Mergers and acquisitions; Takeover rumors; Trading strategies; Financial content analysis; Market anticipation; Takeover predictability |
| ID Code: | 983647 |
| Deposited By: | Monique Lane |
| Deposited On: | 29 Mar 2018 19:33 |
| Last Modified: | 29 Mar 2020 00:00 |
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