Beyond identifying whether a security's price reacted to a disclosure, many matters require measuring the economic magnitude of the effect that particular information had, or would have had, on the price of a security (for example, stock price or bond price). This is the case, for example, with accounting restatements, where the question is how the market would have priced the security had the correct information been known, and in matters where confounding information must be separated from the information at issue.
We have the expertise and experience to measure the effect of information on security prices using a range of accepted techniques. These include earnings-restatement analyses based on the earnings response coefficient (the empirical relationship between unexpected earnings and price), value-relevance regression analysis, and analysis of price reactions to the same or similar economic events that occurred without confounding information, from which a but-for price reaction can be estimated. Our work is based on widely-accepted and standard methodologies, frameworks, and analyses and we have been engaged by both plaintiffs and defendants in a wide range of industries in such matters.