This paper discusses the impact of stock spams on share prices while taking into account the evolution of volatility over time. We use the methodology of event studies on a sample of hundred ten firms of penny stocks over the period from February 2006 to October 2008. Our results show that sending stock spams has generated significant increase in returns on the 1 st day followed by a significant decrease during the next days. Investors, having reacted favourably to requests of the spammer the 1 st day, realize that these messages to which they responded positively are wrong information. Hence, they liquidate all their securities.
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Taoufik Bouraoui (2015) studied this question.