On the Profitability of Rumors

Luca Gelsomini ()
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Luca Gelsomini: Venice School of Management - Department of Management, Ca’ Foscari University of Venice

No 2024: 06, Working Papers from Department of Economics, University of Venice "Ca' Foscari"

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.

Keywords: rumor; profitability (search for similar items in EconPapers)
JEL-codes: G00 G10 (search for similar items in EconPapers)
Pages: 16 pages
Date: 2024
New Economics Papers: this item is included in nep-fmk
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