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30 Hastings Comm. & Ent. L.J. 479 (2007-2008)
Spam Works: Evidence from Stock Touts and Corresponding Market Activity

handle is hein.journals/hascom30 and id is 497 raw text is: Spam Works: Evidence from Stock Touts and Corresponding Market Activity by LAURA FRIEDER AND JONATHAN ZITTRAIN* I. Introduction ........................................................................................ 480 II. Literature Review, Data, and Method ................................................ 484 A . L iterature R eview ........................................................................ 484 B . Spam D ata .................................................................................... 486 C . Stock D ata .................................................................................... 488 D . M ethod ......................................................................................... 490 III. R esu lts ................................................................................................ 4 92 A . Prim ary R esults ............................................................................ 492 B . R obustness C hecks ...................................................................... 499 IV . D iscu ssion .......................................................................................... 500 V . Policy Im plications ............................................................................. 502 V I. C onclusion ......................................................................................... 506 V II.R eferences .......................................................................................... 507 Table 1: Sum m ary Statistics ............................................................... 507 Table 2: Initial Evidence on the Relevance of Touting for Trading A ctiv ity ........................................................................................ 50 8 Table 3: Group Level Summary Statistics Around Tout Days ....... 509 Table 4: Impact of Touting on Returns & Volume for Full Sample.. 510 Laura Frieder is Assistant Professor of Finance, Krannert School of Management, Purdue University. Jonathan Zittrain is Professor of Internet Governance and Regulation at the University of Oxford and the Jack N. and Lillian R. Berkman Visiting Professor for Entrepreneurial Legal Studies at Harvard Law School. We appreciate the valuable suggestions of Alana Black, Rainer B6hme, Mike Cooper, David Denis, Mila Getmansky, Austan Goolsbee, Camelia Kuhnen, Laura Lindsey, Sandy Klasa, Jennifer Juergens, Antonio Macias, John McConnell, Terry Odean, John Reed Stark, Avanidhar Subrahmanyam, Hongfei Tang, Heather Tookes, and Rebecca Zarutskie, and the excellent research and technical assistance of David Buchwald, Ravi Chandra, Bryan Choi, Charles Duan, Antonio Macias, SallyWalkerman, and Kathy Wong. Thanks also to Yim Cheung, R. Cromwell Coulson, and Carl Giangrasso from Pink Sheets, LLC, for providing crucial pricing and market data. To access the data underlying this Article and to test a simulation, see http://cyber.law.harvard.edu/stockspam.