Abstract

Stock return is influenced by information release, dissemination, and acceptance. Rumor clarification is supposed to reduce asymmetric information and abnormal stock return. In this research, we extracted 4134 rumor-clarification pairs from 687,429 postings in social media, and quantified the language used in these messages, along with online firm behaviors, to study the effect of clarifications on stock returns. Our findings include (1) the digitalized rumor clarification messages affect the abnormal returns of the relevant stocks; (2) Such influence can be quantified and measured by the emotion polarity of rumor clarification; (3) Firm’s online clarification behaviors may have no influence on abnormal returns except for the total response number of rumor clarification for a listed company. In particular, investors prefer to trust the clarifications from the companies with frequent online interactive engagements.

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