Financial Regulatory and Risk Management Challenges Stemming from Firm-Specific Digital Misinformation

摘要

Event studies are the primary methodology used to test market efficiency. Researchers identify an "event" and test for stock price reaction around that event. For example, Shelor et al. [14] find that insurance company stock prices reacted positively after the 1989 Loma Prieta earthquake. The positive reaction was due to the increased demand for earthquake insurance following this event. Numerous other event studies find stock price reactions to the release of new information. These include Asquith and Mullins (dividend initiation [1]), Fields and Janjigian (Chernobyl nuclear accident [6]), Fields et al. (new regulation [7]) and countless others. Financial asset prices are so responsive to new information that one particular scam preys on this fact.