COLUMBUS, Ohio – Some hedge funds manipulate stock prices at the end of the month to improve the returns that they report to their investors, a new study suggests.
In a study of 10 years of hedge fund data, researchers found evidence that some funds run up prices on specific stocks they hold on the last day of the month and quarter – especially the last 20 minutes of trading – before they report their returns for the period. But the prices usually fall back the next day, after the abnormally large returns have already been reported to investors. (more…)
ANN ARBOR, Mich.— Companies involved in merger talks manipulate their stock prices during negotiations by releasing more news than usual, according to a University of Michigan study.
“Media coverage has a significant effect on stock trading and returns,” said Kenneth Ahern, assistant professor of finance at U-M’s Ross School of Business. “Even stale news, if widely publicized, can dramatically raise short-term returns and influence prices of large and widely followed stocks in the S&P 500.”
In their study, “Who Writes the News? Corporate Press Releases during Merger Negotiations,” Ahern and Ross School colleague Denis Sosyura examined more than 500 completed stock mergers of large U.S. publicly traded firms from 2000 to 2008. They studied the frequency and content of news releases issued by acquiring firms, and analyzed more than 617,000 articles in 421 newspapers and newswires worldwide. (more…)
An article written by Robert J. Shiller, the Arthur M. Okun Professor of Economics, was recently named one of the “top 20” articles in the 100-year history of the American Economic Review (AER), the premier journal in the field of economics.
“Do Stock Prices Move Too Much to Be Justified by Subsequent Changes in Dividends?” was published in the June 1981 edition of the AER and became a focal point of debate and research over the question of whether changes in stock market prices are driven by rational expectations — what’s called the efficient markets hypothesis — or by other forces. (more…)
