Analysing the behavioural finance impact of 'fake news' phenomena on financial markets: a representative agent model and empirical validation
Abstract This 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 emp...
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| Format: | Article |
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SpringerOpen
2021-07-01
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| Series: | Financial Innovation |
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| Online Access: | https://doi.org/10.1186/s40854-021-00271-z |
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doaj-ae4830bb7d7140ef90121cbae747dadc2021-07-11T11:31:34ZengSpringerOpenFinancial Innovation2199-47302021-07-017113010.1186/s40854-021-00271-zAnalysing the behavioural finance impact of 'fake news' phenomena on financial markets: a representative agent model and empirical validationBryan Fong0Faculty of Economics, Churchill College, University of CambridgeAbstract This 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.https://doi.org/10.1186/s40854-021-00271-zBehavioural financeFake newsRepresentative agent modelEvent studyBootstrapping |
| collection |
DOAJ |
| language |
English |
| format |
Article |
| sources |
DOAJ |
| author |
Bryan Fong |
| spellingShingle |
Bryan Fong Analysing the behavioural finance impact of 'fake news' phenomena on financial markets: a representative agent model and empirical validation Financial Innovation Behavioural finance Fake news Representative agent model Event study Bootstrapping |
| author_facet |
Bryan Fong |
| author_sort |
Bryan Fong |
| title |
Analysing the behavioural finance impact of 'fake news' phenomena on financial markets: a representative agent model and empirical validation |
| title_short |
Analysing the behavioural finance impact of 'fake news' phenomena on financial markets: a representative agent model and empirical validation |
| title_full |
Analysing the behavioural finance impact of 'fake news' phenomena on financial markets: a representative agent model and empirical validation |
| title_fullStr |
Analysing the behavioural finance impact of 'fake news' phenomena on financial markets: a representative agent model and empirical validation |
| title_full_unstemmed |
Analysing the behavioural finance impact of 'fake news' phenomena on financial markets: a representative agent model and empirical validation |
| title_sort |
analysing the behavioural finance impact of 'fake news' phenomena on financial markets: a representative agent model and empirical validation |
| publisher |
SpringerOpen |
| series |
Financial Innovation |
| issn |
2199-4730 |
| publishDate |
2021-07-01 |
| description |
Abstract This 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. |
| topic |
Behavioural finance Fake news Representative agent model Event study Bootstrapping |
| url |
https://doi.org/10.1186/s40854-021-00271-z |
| work_keys_str_mv |
AT bryanfong analysingthebehaviouralfinanceimpactoffakenewsphenomenaonfinancialmarketsarepresentativeagentmodelandempiricalvalidation |
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