英文标题：
《Law on the Market? Abnormal Stock Returns and Supreme Court
Decision-Making》
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作者：
Daniel Martin Katz, Michael J Bommarito II, Tyler Soellinger, James
Ming Chen
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最新提交年份：
2017
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英文摘要：
What happens when the Supreme Court of the United States decides a case impacting one or more publicly-traded firms? While many have observed anecdotal evidence linking decisions or oral arguments to abnormal stock returns, few have rigorously or systematically investigated the behavior of equities around Supreme Court actions. In this research, we present the first comprehensive, longitudinal study on the topic, spanning over 15 years and hundreds of cases and firms. Using both intra- and interday data around decisions and oral arguments, we evaluate the frequency and magnitude of statistically-significant abnormal return events after Supreme Court action. On a per-term basis, we find 5.3 cases and 7.8 stocks that exhibit abnormal returns after decision. In total, across the cases we examined, we find 79 out of the 211 cases (37%) exhibit an average abnormal return of 4.4% over a two-session window with an average $|t|$-statistic of 2.9. Finally, we observe that abnormal returns following Supreme Court decisions materialize over the span of hours and days, not minutes, yielding strong implications for market efficiency in this context. While we cannot causally separate substantive legal impact from mere revision of beliefs, we do find strong evidence that there is indeed a \"law on the market\" effect as measured by the frequency of abnormal return events, and that these abnormal returns are not immediately incorporated into prices.
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中文摘要：
当美国最高法院裁决一个影响一家或多家上市公司的案件时会发生什么？虽然许多人观察到了将判决或口头辩论与异常股票回报率联系起来的轶事证据，但很少有人围绕最高法院的行动对股票行为进行了严格或系统的调查。在这项研究中，我们首次对这一主题进行了全面、纵向的研究，历时15年，涉及数百个案例和公司。我们利用有关判决和口头辩论的日内和日间数据，评估最高法院诉讼后统计显著异常回报事件的频率和程度。我们发现，每学期有5.3个案例和7.8只股票在决策后表现出异常回报。总的来说，在我们检查的案例中，我们发现211个案例中有79个（37%）在两个疗程窗口内表现出4.4%的平均异常回报率，平均$| t |$-统计值为2.9。最后，我们观察到，最高法院判决后的异常回报在数小时和数天内实现，而不是数分钟，在这种情况下对市场效率产生了强烈的影响。虽然我们无法将实质性的法律影响与信念的修正区分开来，但我们确实找到了强有力的证据，证明以异常回报事件的频率衡量，确实存在“市场规律”效应，而且这些异常回报没有立即纳入价格。
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分类信息：

一级分类：Physics 物理学
二级分类：Physics and Society 物理学与社会
分类描述：Structure, dynamics and collective behavior of societies and groups (human or otherwise). Quantitative analysis of social networks and other complex networks. Physics and engineering of infrastructure and systems of broad societal impact (e.g., energy grids, transportation networks).
社会和团体（人类或其他）的结构、动态和集体行为。社会网络和其他复杂网络的定量分析。具有广泛社会影响的基础设施和系统（如能源网、运输网络）的物理和工程。
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一级分类：Quantitative Finance 数量金融学
二级分类：General Finance 一般财务
分类描述：Development of general quantitative methodologies with applications in finance
通用定量方法的发展及其在金融中的应用
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