Sell the rumour, buy the fact?

Ben Marshall, Nuttawat Visaltanachoti () and Genevieve Cooper

Accounting and Finance, 2014, vol. 54, issue 1, 237-249

Abstract: type="main" xml:lang="en">

We document a high-profile instance of mispricing that is puzzling given the gradual information diffusion hypothesis and the lack of obvious limits to arbitrage. An internet search in 2008 led to a story about United Airlines’ 2002 bankruptcy being re-released as ‘news’. This resulted in United Airlines losing 73 per cent of its value and caused a $4.2 billion decline in the value of airline stocks and United Airlines suppliers. The incorrect bankruptcy ‘news’ was quickly retracted, which led to a rebound in other airline and supplier firms, but the stock price of United Airlines was adversely affected for 4 days.

Date: 2014
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