An Intraday Event Study Methodology for Determining Loss Causation

We set out an intraday event study methodology relying on minute-by-minute data and formulate an analytical framework to determine the window of time, i.e., the event window, over which stock prices fully reflect relevant new information. While the traditional daily...

Calculating Damages in ERISA Litigation

In this paper, we will present and discuss four different methodologies for calculating ERISA damages — what we will label the “best-performing fund,” “portfolio redistribution,” “most similar fund,” and “10b-5 style” ERISA damage methods. For purposes of...

DCF Valuation with Cash Flow Cessation Risk

The typical discounted cash flow model used to value assets openly projects cash flows for an initial set of years and then typically assumes that the cash flows will grow at a constant rate into the indefinite future. In this paper, we discuss the implications for...

Valuation of Cash Flows with Time-Varying Cessation Risk

We extend the analytical framework of traditional DCF models to allow for the possibility of a time-varying cessation risk for cash flows. We first set out a parsimonious functional form for time-dependent survival probability of cash flows and then derive a...

Forward-Casting 10b-5 Damages: A Comparison to Other Methods

Rule 10b-5 lawsuits are front and center in the securities litigation landscape in terms of their importance and frequency, a position they have enjoyed for the last quarter of a century. The importance of Rule 10b-5 lies in the fact that it is the basic securities...

Securities Litigation and the Housing Market Downturn

This paper addresses one of the key issues – the foreseeability of the housing market downturn that began in September of 2007 and intensified in the fourth quarter of 2007 – that must be addressed in assessing the extensive securities class action litigation that has...

A New Approach to Estimating Damages in Mass Torts

Damage estimation in mass torts involving hazardous or defective products is often complicated by the unknown time-profile of disease incidence or failure rate. Because these cases involve diseases with long latencies or involve products that fail after years of...