The stock characteristics often used in securities litigation to assess market efficiency are dispositive indicators of reactivity to earnings announcements. Stocks with large capitalization, high trading volume, broad analyst coverage, a large number of market makers, and narrow bid-ask spread...

Past studies document large court valuation errors in Chapter 11 bankruptcy, which are often attributed to the lack of transparent market prices of the debtor's securities. We document that the introduction of mandated public dissemination of over-the-counter corporate bond transactions through...

We examine insider trading surrounding takeover rumors in a sample of 1,642 publicly traded U.S. firms. Using difference-in-differences regressions, we find that insider net purchases increase within the year prior to the first publication of a takeover rumor, particularly when rumor articles...

Despite continued attempts by regulators to curtail abusive short sales and increase transparency, the pattern and practice of fraudulent manipulation continues to proliferate and threaten the capitalization of a wide variety of issuers within the securities market. Identifying a meaningful...

I use the global crisis of 1914 as a window onto the phenomenon of investor reaction to complex news — such as sudden political upheaval. Based on a novel database of all stocks traded on the NYSE during 1914, along with “real-time” news accounts from major newspapers, I show that NYSE...

This paper employs a natural experiment research design to analyze the differences in the effects of the 2002 notice concerning private securities litigation issued by the Supreme People's Court on stock price performance in A/B-share markets. Using a sample of 162 twin A/B-shares issued by 81...

We examine the impact of higher frequency trading on the frequency and severity of suspected end of day price dislocation cases in 22 stock exchanges around the world over the period January 2003-June 2011. Controlling for country, market, legal and other differences across exchanges and over...

We examine the impact of stock exchange trading rules and surveillance on the frequency and severity of suspected insider trading cases in 22 stock exchanges around the world over the period January 2003-June 2011. Using new indices for market manipulation, insider trading, and broker-agency...

We show that the presence of high frequency trading (HFT) has significantly mitigated the frequency and severity of end-of-day price dislocation. The effect of HFT is more pronounced on days when end of day price dislocation is more likely to be the result of market manipulation. Moreover, the...

Analysts' functions are divided into discovery and interpretation roles, but separating between the two is non-trivial. We conjecture that analysts' interpretation skill can be gauged by their forecast revisions following material unanticipated news — in particular following non-earnings 8-K...