Via Slashdot: An academic paper (titled Spam Works: Evidence from Stock Touts and Corresponding Market Activity) looks at the effect of spam mails touting certain stocks on the said stocks' prices. Here's a key quote from the the abstract:
... [W]e find that stocks experience a significantly positive return on days prior to heavy touting via spam. Volume of trading responds positively and significantly to heavy touting. For a stock that is touted at some point during our sample period, the probability of it being the most actively traded stock in our sample jumps from 4% on a day when there is no touting activity to 70% on a day when there is touting activity. Returns in the days following touting are significantly negative.
An alternative title for this post could have been "Market Failure in Everything" (stolen from Mark Thoma, who has a label/category called Market Failure).
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