Law & Contemporary Problems
Выпуск N2/3 за 2001 год
A Comparison of Trading Models used for Calculating Aggregate Damages in Securities Litigation [статья]
Опубликовано на портале: 02-10-2003Michael J. Barclay, Frank C. Torchio Law & Contemporary Problems. 2001. Vol. 64. No. 2/3. P. 105-136.
For approximately two decades, the General Trading Model ("GTM") has been used in securities litigation to estimate the number of shares damaged by alleged fraudulent misrepresentations by defendants. The GTM estimates the fraction of in-and-out trading volume and the fraction of retained volume. "In-and-out volume" refers to shares bought and sold within the class period; "retained volume" refers to shares purchased and held through the final disclosure that reveals the fraud. This is typically the last day of the class period. Estimates of the number of damaged shares from the GTM have been used in conjunction with a theory of true value (or conversely, artificial inflation) for the security to estimate aggregate monetary damages. Over the years, variations of the GTM predicated on different assumptions and/or parameters have been developed. The variations include single-trader models, such as the proportional and accelerated trading models, and multi-trader models. This article compares the results of these models and critically evaluates the conclusions reached in previously published research. This article demonstrates that results from the proportional single-trader model, GTM (1x), are consistent with the results of multi-trader GTMs when appropriate assumptions and parameters are used. No evidence was found to reject the GTM (1x) as a scientific method to estimate the number of damaged shares in securities litigation.