Stock Markets and Spam
Writing with Laura Freider of Purdue University, in 2008 Zittrain published, Spam Works: Evidence from Stock Touts and Corresponding Market Activity, in the Hastings Communications and Entertainment Law Journal to document the manipulation of stock prices via spam e-mail. They found evidence that "stocks experience a significantly positive return on days prior to heavy touting via spam" and that "prolific spamming greatly affects the trading volume of a targeted stock". Apart from transaction costs, in some circumstances the spammer earned over 4% while the average investor who bought on the day of receipt of the spam would lose more than 5% if they sold two days later. Frieder said in 2006 that she knew of no other explanation for their results, but that people do follow the stock tips in their spam e-mail.
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