Downside Risk Protection of Retirement Assets: A New Approach

Over the past few decades, 401(k) plans, IRA accounts, and other self-directed investment vehicles have become the most important pool of retirement savings, leaving retirees exposed to the risk of outliving their assets, a hazard largely absent from traditional...

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...

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...

The Clustering of Extreme Movements: Stock Prices and the Weather

A robust finding in this paper is that extreme movements in stock prices and temperature are usually preceded by large average daily movements during the preceding three-day period. This suggests that investors might fashion a market timing strategy, switching from...

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...

Why Do Hedge Funds Stop Reporting Their Performance?

It is well known that the voluntary reporting of hedge funds may cause biases in estimates of their investment returns. But wide disagreements exist in explaining why hedge funds stop reporting to the data-gathering services. Academic studies have suggested that poor...

Hedge Funds: Risk and Return

Since the early 1990s, hedge funds have become an increasingly popular asset class. The amount invested globally in hedge funds rose from approximately $50 billion in 1990 to approximately $1 trillion by the end of 2004.1 And because these funds characteristically use...