29 Pages Posted: 25 Jul 2012
Date Written: September 2012
This article 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 that come principally from Riskmetrics 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 also 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. Finally, they allow us to accurately assess the variance of individual case outcomes revealing substantial amounts of heterogeneity in variance across cases.
Suggested Citation: 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 (September 2012). Journal of Empirical Legal Studies, Vol. 9, Issue 3, pp. 482-510, 2012. Available at SSRN: https://ssrn.com/abstract=2116881 or http://dx.doi.org/10.1111/j.1740-1461.2012.01260.x
This is a Wiley-Blackwell Publishing paper. Wiley-Blackwell Publishing charges $38.00 .
File name: j-1461.
If you wish to purchase the right to make copies of this paper for distribution to others, please select the quantity.