Affiliations: [a] Department of Economics, The Chinese University of Hong Kong, Hong Kong
| [b] Department of Economics and Lau Chor Tak Institute of Global Economics and Finance, The Chinese University of Hong Kong, Hong Kong
| [c] Department of Industrial Engineering and Operations Research, Columbia University, United States
Corresponding author: Terence Tai-Leung Chong, Department of Economics and Lau Chor Tak Institute of Global Economics and Finance, The Chinese University of Hong Kong, Hong Kong. E-mail: [email protected].
Abstract: The paper studies the effects of new product rumors about the iPhone on the stock price of the Apple company. We scrape iPhone rumors from Macrumors.com, and obtain a dataset covering 1,264 articles containing 180 words on average between January 2002 and December 2015. Moreover, we construct a market-decided lexicon to transform qualitative information into quantitative data, and analyze what type of words and what information embedded in the rumors are apt to impact on Apple’s stock price. Unlike previous studies, we do not rely on the widely-adopted Harvard-IV-4 dictionary, as the coefficients of the words from the dictionary are neither significant nor consistent with their polarities, compared with our results. The paper obtains three main findings. First, the spread of rumors has a significant impact on the stock price. Second, positive words, rather than negative words, play an important role in affecting the stock price. Third, the stock price is highly sensitive to the words related to the appearance of the iPhone.