In September 2008, an article on United Airlines' 2002 bankruptcy resurfaced and was distributed as if it were new information. The company's stock plummeted immediately, but bounced back and by the end of the day was off only 11% - which is still surprising, given that the news was in no way relevant. The paper uses a factor model to examine how the stock returned to its "correct" level following the false idiosyncratic shock - a process which took almost a full week, as illustrated here:
The factor model only has an R2 of 40%, but it appears to fit the data quite well at a glance - I'll hazard the guess that with a stock like this, enough outlying idiosyncratic moves exist to distort the R2 even as the model preserves most of the behavior. This is an interesting opportunity to examine the interplay of idiosyncratic and systemic information - the alpha and beta moves are quite apparant (assuming we accept the factor model, but given its out-of-sample performance I'm inclined to do so in this case). Following the initial shock, the stock tracks the lower error band, though I'm not convinced there is significance in it tracking that particular line. Over the next few days, a deliberately positive alpha move carries it back to the factor model baseline, but the beta sensitivities remain apparant. Finally, alpha dissipates and the stock resumes its factor-predicted path.
Unfortunately, such cases are so hard to observe and one example does not data make. I'd be curious to see a similar analysis of Apple's stock following the false announcement of Steve Jobs having a heart attack.