Abstract

http://ssrn.com/abstract=2048437
 
 

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Predicting Securities Fraud Settlements and Amounts: A Hierarchical Bayesian Model of Federal Securities Class Action Lawsuits


Blakeley B. McShane


Northwestern University - Kellogg School of Management

Oliver P. Watson


affiliation not provided to SSRN

Tom Baker


University of Pennsylvania Law School

Sean J. Griffith


Fordham University School of Law

2012

Journal of Empirical Legal Studies, Vol. 9, Pg. 482, Sept. 2012
U of Penn, Inst for Law & Econ Research Paper No. 12-20

Abstract:     
This paper develops models that predict the incidence and amount of settlements for federal class action securities fraud litigation in the post-PLSRA period. We build hierarchical Bayesian models using data which comes principally from Risk metrics and identify several important predictors of settlement incidence (e.g., the number of different types of securities associated with a case, the company return during the class period) and settlement amount (e.g., market capitalization, measures of newsworthiness). Our models allow us to estimate how the circuit court a case is filed in as well as the industry of the plaintiff firm associate with settlement outcomes. They also allow us to accurately assess the variance of individual case outcomes revealing substantial amounts of heterogeneity in variance across cases.

Number of Pages in PDF File: 30

Keywords: class, action, securities, fraud, lawsuit, litigation, bayesian, hierarchical

JEL Classification: C11, K22, K41

Accepted Paper Series





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Date posted: April 30, 2012 ; Last revised: July 26, 2012

Suggested Citation

McShane, Blakeley B. and Watson, Oliver P. and Baker, Tom and Griffith, Sean J., Predicting Securities Fraud Settlements and Amounts: A Hierarchical Bayesian Model of Federal Securities Class Action Lawsuits (2012). Journal of Empirical Legal Studies, Vol. 9, Pg. 482, Sept. 2012; U of Penn, Inst for Law & Econ Research Paper No. 12-20. Available at SSRN: http://ssrn.com/abstract=2048437

Contact Information

Blakeley B. McShane (Contact Author)
Northwestern University - Kellogg School of Management ( email )
2001 Sheridan Road
Evanston, IL 60208
United States
Oliver P. Watson
affiliation not provided to SSRN ( email )
Tom Baker
University of Pennsylvania Law School ( email )
3501 Sansom Street
Philadelphia, PA 19104
United States
215-746-2185 (Phone)
HOME PAGE: http://www.law.upenn.edu/cf/faculty/thbaker/
Sean J. Griffith
Fordham University School of Law ( email )
140 West 62nd Street
New York, NY 10023
United States
Feedback to SSRN


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