They do, but not in ways one might think. Using an example from the 2016 Presidential election in the United States, we show that days with heavy doses of disinformation related to the candidates do not affect broad index stock returns. However, disinformation that was strongly pro-Hillary Clinton was associated with a substantial lowering of conditional volatility of stocks, even when controlling for other macroeconomic news and news sentiment.

中文翻译：

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市场是否关注政治虚假信息？


他们确实如此，但不是以人们可能认为的方式。以 2016 年美国总统大选为例，我们表明，与候选人相关的虚假信息大量出现的日子不会影响广泛的指数股票回报。然而，强烈支持希拉里·克林顿的虚假信息与股票条件波动率的大幅降低有关，即使在控制其他宏观经济新闻和新闻情绪的情况下也是如此。