The Hernanes rumour started because one of the bloggers, Le Grove, said we're in for an even more exciting signing than M'Vila; a creative midfielder. Somehow people took from that he was talking about a Brazilian and the Hernanes rumours were born. For what it's worth, Le Grove has since said it's not Hernanes and not a Brazilian. No idea where the Afellay rumours have come from, but the Dempsey rumour is from some bloke claiming he's knows for a fact we're interested in him because his mate "works with" Dempsey.
Basically, M'Vila seems the only rumour with any substance to it.