市场上的法律？异常股票收益与最高法院决策
Law on the Market? Abnormal Stock Returns and Supreme Court Decision-Making
摘要：
当美国最高法院对影响一家或多家上市公司的案件做出裁决时，会发生什么？虽然许多人已经观察到将决定或口头辩论与异常股票回报联系起来的轶事证据，但很少有人严格或系统地调查最高法院行动周围的股票行为。在这项研究中，我们提出了第一个全面的，纵向研究的主题，跨越15年，数百个案例和公司。使用两个日内和日间数据的决定和口头辩论，我们评估的频率和幅度的显著异常回报事件后，最高法院的行动。在每个期限的基础上，我们发现5.3个案例和7.8只股票在决策后表现出异常收益。总的来说，在我们检查的案例中，我们发现211个案例中有79个（37%）在两个会话窗口内表现出4.4%的平均异常回报率，平均$|t|$ -统计量为2.9。最后，我们观察到，最高法院判决后的异常回报在几个小时和几天内实现，而不是几分钟，在这种情况下，对市场效率产生了强烈的影响。虽然我们不能从因果关系上将实质性的法律影响与仅仅是信念的修正分开，但我们确实发现了强有力的证据，证明确实存在一种“市场法则”效应，这是通过异常回报事件的频率来衡量的，而且这些异常回报并没有立即纳入价格。
英文摘要：
What happens when the Supreme Court of the United States decides a case impacting one or more publicly-traded firms? While many have observed anecdotal evidence linking decisions or oral arguments to abnormal stock returns, few have rigorously or systematically investigated the behavior of equities around Supreme Court actions. In this research, we present the first comprehensive, longitudinal study on the topic, spanning over 15 years and hundreds of cases and firms. Using both intra- and interday data around decisions and oral arguments, we evaluate the frequency and magnitude of statistically-significant abnormal return events after Supreme Court action. On a per-term basis, we find 5.3 cases and 7.8 stocks that exhibit abnormal returns after decision. In total, across the cases we examined, we find 79 out of the 211 cases (37%) exhibit an average abnormal return of 4.4% over a two-session window with an average $|t|$-statistic of 2.9. Finally, we observe that abnormal returns following Supreme Court decisions materialize over the span of hours and days, not minutes, yielding strong implications for market efficiency in this context. While we cannot causally separate substantive legal impact from mere revision of beliefs, we do find strong evidence that there is indeed a "law on the market" effect as measured by the frequency of abnormal return events, and that these abnormal returns are not immediately incorporated into prices.
机构、总结、中文摘要均由AI分析而来，可能存在错误，请以论文正文为准。
