Law on the Market? Abnormal Stock Returns and Supreme Court Decision-Making (Version 2.01 on arXiv)


Here is Version 2.01 of the Law on the Market Paper
From the AbstractWhat 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.  

Presentation at Legal Innovation Event with Kennedy Van Der Laan and European General Counsels


As my part of my final day in Amsterdam – it was my great pleasure to join with my friends from the Dutch Law Firm – Kennedy Van Der Laan (co-founded by the Mayor of Amsterdam Eberhard van der Laan) for a Legal Innovation Event.  The event combined sessions in data, technology and design thinking for a variety of European General Counsels.

Daniel Martin Katz Named Fellow Elect of the College of Law Practice Management – Ceremony at 2017 Futures Conference in Atlanta, Georgia

I am honored to be Elected as a Fellow of the College of Law Practice Management.  The College includes legal technologists, law firm leaders, corporate counsel, etc.  I am looking forward to joining many friends and colleagues who are members of the college …

A General Approach for Predicting the Behavior of the Supreme Court of the United States (PLOS One) – Final Version April 2017

Our SCOTUS Prediction Paper is now live in Plos One (one of my favorite journals) — very happy about this (thanks to Luís A. Nunes Amaral of Northwestern University for serving as our Editor).  #OpenSourceScience #SCOTUS #LegalAnalytics #LegalData #QuantitativeLegalPrediction

FutureLaw 2017 at Stanford CodeX

Yesterday was the 5th Annual Future Law Conference at Stanford CodeX.  As always, it was an exciting day to see the best in cutting edge technology (including chatbots, predictive analytics and rules based A.I.).  I moderated a morning panel entitled The Perils and Promise of Predictive Analytics in Law.  Overall – it is clear that the community is growing both domestically and abroad.

Artificial Intelligence and Law : 
A Six Part Primer – Professor Daniel Martin Katz (Updated Version 03.17.17)

An Updated Version of Artificial Intelligence and Law : 
A Six Part Primer