False ending
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A false ending refers to a rarely used story-telling device where the plot seems to be heading to its conclusion, but in reality, there's still more to the story.
The presence of a false ending can be anticipated through a number of ways. The medium itself might betray that it isn't the true ending (i.e. it's only halfway into a book, a film's listed running time hasn't fully elapsed, only half the world has been explored in a video game, etc.), making only stories with indeterminate running length or a multi-story structure able to pull this off effectively. Another indicator is the feeling that too much of the story is incomplete when the false ending comes, making it feel like there has to be more.
[edit] Examples
Two examples in film include L.A. Confidential and The Lord of the Rings: The Return of the King. In the former, it seems like the case is completely closed with no loose ends until one of the witnesses admits that she lied about important details to give more importance towards the trial of the people that raped her, exposing a cover-up conspiracy. In the latter, the movie keeps using editing techniques that are indicative of endings in scenes that could be used as such, but continues with more until the movie finally ends.
Two examples in video games include Final Fantasy VI and Wild ARMs. Both involve confrontations with the major antagonists at what seems like their final lairs, but are easy to see through. The former's manual spoiled it by providing pictures for the world before and after crisis while the latter fell victim to the fact that a good amount of the game map hadn't been explored yet.
Computer Role Playing Games in general are nutorious for having such plot devices, which usually involve the games main antagonist being defeated, only to for a previously mentioned character to be revealed as the "real" villain.
[edit] Effective Use
While it is difficult to use the device effectively, there are several methods that allow it to be done.
In several video games, such as those which have multiple playable characters and story lines, the game may appear to end after defeating a difficult boss, or clearing what appears to be the "Final" level, complete with credits, an outro, and a return to the start screen. These endings are different from bad endings as everything may appear to be resolved/ However, fufilling conditions such as clearing all the storylines, reloading the save file, or reaching the "ending" in a New Game+ mode may give the player the option to continue on to the real ending.