On the effects of stock spam e-mails

Abstract

A rising number of unsolicited e-mails recommends buying certain stocks, pretending that the sender has private information that will boost these stocks ’ prices when it becomes publicly available. We first describe the common characteristics of stocks pushed by such e-mails. Then, we investigate the effect of stock spam e-mails on returns, volatility, intraday spread, and volume. We find a significant impact of spam mails on all of these variables. As a second contribution, we characterize features of stocks that are particularly easy to manipulate, and we investigate depen-dencies between these features