Market manipulation: A comprehensive study of stock pools

• 成果类型: Article
• 署名作者: Jiang, GL; Mahoney, PG; Mei, JP
• 署名单位: University of Virginia; Shanghai University of Finance & Economics; New York University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2004.10.005
• 发表日期: 2005
• 页码: 147-170
• 关键词: MANIPULATION; Market regulation; politics of finance

摘要

Using a new hand collected data set, this paper examines in detail a classic account of stock market manipulation, the stock pools of the 1920s, which prompted the current antimanipulation rules in the United States. We examine abnormal turnover and returns and the relation between them, as well as the long-term performance of the selected stocks. We conclude that the evidence suggests informed trading rather than manipulation. Our findings have implications for regulatory policy as well as the investigation and prosecution of manipulation cases. (c) 2005 Elsevier B.V. All rights reserved.