TAILIEUCHUNG - Stock Market Manipulation — Theory and Evidence

One prominent set of patterns from the cross-section has to do with medium-term momentum and post-earnings drift in returns. These describe the tendency for stocks that have had unusually high past returns or good earnings news to continue to deliver relatively strong returns over the subsequent six to twelve months (and vice-versa for stocks with low past returns or bad earnings news). Early work in this area includes Jegadeesh and Titman (1993) on momentum and Bernard and Thomas (1989, 1990) on post-earnings drift. Another well-established pattern is longer-run fundamental reversion—the tendency for “glamour” stocks with high ratios. | Stock Market Manipulation - Theory and Evidence Rajesh K. Aggarwal Tuck School of Business Dartmouth College and Guojun Wu University of Michigan Business School March 11 2003 We thank Sugato Bhattacharyya Charles Dale Amy Edwards Bruno Gerard Charles Hadlock Toshiki Honda Gautam Kaul Nejat Seyhun Tyler Shumway Jonathan Sokobin Anjan Thakor Luigi Zingales and seminar participants at . Securities and Exchange Commission China Securities Regulatory Commission Hitotsubashi University Norwegian School of Management Shanghai Stock Exchange Tilburg University and University of Michigan for discussion and comments. We thank Qin Lei Kai Petainen and Patrick Yeung for outstanding research assistance. We are responsible for all remaining errors. Wu gratefully acknowledges financial support from the Mitsui Life Financial Research Center. 100 Tuck Hall Tuck School of Business Dartmouth College Hanover NH 03755. Phone 603 646-2843. Fax 603 646-1308. Email University of Michigan Business School 701 Tappan Street Ann Arbor MI 48109 . Phone 734 936-3248. Fax 734 936-0274. Email gjwu@. Abstract In this paper we present a theory and some empirical evidence on stock price manipulation in the United States. Extending the framework of Allen and Gale 1992 we consider what happens when a manipulator can trade in the presence of other traders who seek out information about the stock s true value. In a market without manipulators these information seekers unambiguously improve market efficiency by pushing prices up to the level indicated by the informed party s information. In a market with manipulators the information seekers play a more ambiguous role. More information seekers imply greater competition for shares making it easier for a manipulator to enter the market and potentially worsening market efficiency. This suggests a strong role for government regulation to discourage manipulation while encouraging greater competition for .

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