Campus Event Calendar
Event Entry
What and Who
The Effect of Stock Spam on Financial Markets
Rainer Böhme
TU Dresden -- Institut für Systemarchitektur
Datenschutz und Datensicherheit
Talk
AG 1, AG 2, AG 3, AG 4, AG 5, SWS
Public Audience
Note: We use this to send email in the morning.
Date, Time and Location
Monday, 19 March 2007
15:00
60 Minutes
E1 4
Rotunde 4. OG
(433)
Saarbrücken
Abstract
Abstract: Spam messages are ubiquitous and extensive interdisciplinary
research has tried to come up with effective countermeasures. However,
little is known about the response to unsolicited e-mail, partly because
spammers do not disclose sales figures. This paper correlates incoming
spam messages that promote the investment in particular equity securities
with financial market data. We use multivariate regression models to
measure the impact of stock spam on traded volume and conduct an event
study to find effects on market valuation. In both cases we have found
evidence for significant reactions to spam campaigns in the short run.
Theoretical and practical implications of the findings are addressed.
research has tried to come up with effective countermeasures. However,
little is known about the response to unsolicited e-mail, partly because
spammers do not disclose sales figures. This paper correlates incoming
spam messages that promote the investment in particular equity securities
with financial market data. We use multivariate regression models to
measure the impact of stock spam on traded volume and conduct an event
study to find effects on market valuation. In both cases we have found
evidence for significant reactions to spam campaigns in the short run.
Theoretical and practical implications of the findings are addressed.
Contact
Ellen Fries
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Ellen Fries, 03/06/2007 09:47 -- Created document.