We perform a microstructure analysis of trading activities pre- and post-class period end-dates of securities class action lawsuits. We posit that these events are likely to significantly impact the spreads of affected firms, in addition to the well documented market capitalization loss that spurs the legal action. We detect neither meaningful widening of spreads nor change in put-call ratios ahead of the class period end-date, suggesting no microstructure or option open interest signal of the upcoming event. However, we present strong evidence of a significant degradation in market quality post the class period end-date based on widening spreads lasting for at least 60 trading days. We also document a trading volume spike and share price decline around the event date. Our research shows the impact on shareholders extends beyond the capitalization loss through wider spreads for defendant firms, while the same is not true for a control sample.

我们对证券集体诉讼的集体诉讼前后的交易活动进行微观结构分析。我们认为，这些事件可能会大大影响受影响公司的价差，此外，有据可查的可诱使法律诉讼的市值损失也很大。在上课期结束日期之前，我们既未检测到价差的显着扩大，也未检测到看涨期权比率的变化，这表明没有即将发生的事件的微观结构或期权未平仓头寸信号。然而，基于至少持续60个交易日的价差扩大，我们提供了有力的证据表明，在上课期结束后，市场质量会显着下降。我们还记录了活动日期前后交易量激增和股价下跌的情况。