In this paper, we propose an asset pricing framework wherein the asset price is sensitive to rumors. Unlike extant research, our paper demonstrates that it may be impossible for an amateur analyst to generate trading profits from spreading rumors. This outcome crucially depends on exogenous factors such as the probability that a given rumor may be noise rather than truthful, and the shape of the asset value distribution.
On the Profitability of Rumors
Luca Gelsomini
2024-01-01
Abstract
In this paper, we propose an asset pricing framework wherein the asset price is sensitive to rumors. Unlike extant research, our paper demonstrates that it may be impossible for an amateur analyst to generate trading profits from spreading rumors. This outcome crucially depends on exogenous factors such as the probability that a given rumor may be noise rather than truthful, and the shape of the asset value distribution.File in questo prodotto:
File | Dimensione | Formato | |
---|---|---|---|
WP_DSE_gelsomini_06_24.pdf
non disponibili
Tipologia:
Documento in Pre-print
Licenza:
Accesso chiuso-personale
Dimensione
511.32 kB
Formato
Adobe PDF
|
511.32 kB | Adobe PDF | Visualizza/Apri |
I documenti in ARCA sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.