证券集体诉讼前后的异常股票回报和做空：申请前新闻发布的作用

IF 2.1 2区经济学 Q2 BUSINESS, FINANCE

Journal of Financial Markets Pub Date : 2024-01-01 DOI:10.1016/j.finmar.2023.100868

Chris Stivers , Licheng Sun , Sounak Saha

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引用次数: 0

摘要

通过研究 2009-2019 年间的 1,473 起美国证券集体诉讼（SCA）案件，我们发现立案前的异常负收益和做空在很大程度上与 SCA 诉讼立案前的公开调查新闻有关。在所有诉讼案件中，立案前十天内总异常负收益的 73% 归因于立案前十天内有调查消息的 31.6% 案件。我们的研究结果表明，投资者预测 SCA 诉讼的能力并不像之前的研究表明的那样具有经济意义，SCA 做空的盈利能力与对公共信息的分析有很大关系。

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Abnormal stock returns and shorting around securities class action lawsuits: The role of pre-filing news releases

Studying 1,473 U.S. securities class action (SCA) lawsuits over 2009–2019, we find that the pre-filing abnormal negative returns and shorting are largely linked to public investigation news that precedes the SCA lawsuit filing. Across all the lawsuits, 73% of the total abnormal negative returns over the ten-day pre-filing period are attributed to the 31.6% of the cases that had investigation news over that pre-filing period. Our findings indicate that investors’ ability to anticipate SCA lawsuits is not as economically significant as previous studies suggest, and that SCA shorting profitability is substantially linked to analysis of public information.

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来源期刊

Journal of Financial Markets BUSINESS, FINANCE-

CiteScore

3.40

自引率

3.60%

发文量

期刊介绍： The Journal of Financial Markets publishes high quality original research on applied and theoretical issues related to securities trading and pricing. Area of coverage includes the analysis and design of trading mechanisms, optimal order placement strategies, the role of information in securities markets, financial intermediation as it relates to securities investments - for example, the structure of brokerage and mutual fund industries, and analyses of short and long run horizon price behaviour. The journal strives to maintain a balance between theoretical and empirical work, and aims to provide prompt and constructive reviews to paper submitters.