Systematic Share Price Fluctuations after Bankruptcy Filings and the Investors Who Drive Them
研究1993-2003年美国公司申请破产后股价的系统性反转现象，发现破产公告期跌幅越大，随后短期回报越高，且主要由大交易者驱动，但该模式在牛市与熊市中表现不同。
Abstract Beginning in the 1990s, firms often continue to trade on the major national exchanges after Chapter 11 bankruptcy filings. For bankruptcies filed from 1993–2003, we find that the more negative the filing period price reaction, the more favorable the immediate post-filing returns, on average. This reversal is not attributable to bid-ask bounce, it holds after controlling for other factors associated with post-filing returns, and it appears more attributable to the activities of large traders than to small traders. Supplementary tests reveal that the pattern of post-filing returns differs significantly for bankruptcies filed in bull versus bear markets. Bankruptcies filed during the 1993 to 1999 bull market enjoy substantial but short-lived reversals averaging one-third of the filing period price plunge. These reversals are inconsistent with efficient assimilation of the bankruptcy information. In contrast, we find no evidence of post-filing reversals for bankruptcies filed from 2000 to 2003.