Uttal Report Of Dr. Adam Werner — Doc. 566-9
Summary
Exhibit 9 (Document 566-9) in Case 1:21-md-02989-CMA, entered on the FLSD docket June 7, 2023, is a 108-page re-filing of the Rebuttal Report of Dr. Adam Werner, relating to all actions concerning the federal securities laws. Its contents state that the Cammer and Krogman factors compel a conclusion of market efficiency for seven of nine Affected Companies, and that an examination of those factors for the January 4, 2021 through January 27, 2021 period demonstrates that the equity markets for the seven companies were efficient. The report closes by noting evidence that Interactive Brokers implemented PCO equity restrictions for BB, NOK, EXPR, KOSS, AMC, BBBY and GME on January 28, 2021 with no public announcement or news coverage seen.
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- Date
- 2023-06-07
Cite this document
“Uttal Report Of Dr. Adam Werner — Doc. 566-9.”
Original at archive.org, dated 2023-06-07. Archived at Pandemic Darlings, https://pandemicdarlings.com/source-documents/2023-06-07-covid-era-misc-f54cc0d9-1/
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Case 1:21-md-02989-CMA Document 566-9 Entered on FLSD Docket 06/07/2023 Page 1 of
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Exhibit 9
Case 1:21-md-02989-CMA Document 566-9 Entered on FLSD Docket 06/07/2023 Page 2 of
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UNITED STATES DISTRICT COURT
SOUTHERN DISTRICT OF FLORIDA
In Re: JANUARY 2021 SHORT SQUEEZE
TRADING LITIGATION Case No. 21-2989-MDL-
ALTONAGA/Damian
This Document Relates to: All Actions Concerning the Federal Securities Laws
REBUTTAL REPORT OF DR. ADAM WERNER
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TABLE OF CONTENTS
I. INTRODUCTION ...............................................................................................................1
II. SUMMARY OF OPINIONS ...............................................................................................3
III. THE CAMMER AND KROGMAN FACTORS COMPEL A CONCLUSION OF
MARKET EFFICIENCY FOR SEVEN OF NINE AFFECTED COMPANIES ................3
IV. AN EXAMINATION OF THE CAMMER AND KROGMAN FACTORS FOR
THE JANUARY 4, 2021 THROUGH JANUARY 27, 2021 PERIOD
DEMONSTRATES THAT THE EQUITY MARKETS FOR THE SEVEN
AFFECTED COMPANIES WERE EFFICIENT. ...............................................................6
A. Trading Volume .......................................................................................................8
B. Analyst Coverage .....................................................................................................9
C. Market Makers and Exchange Listings..................................................................11
D. S-3 Registration Eligibility ....................................................................................14
E. Empirical Demonstration of Price Reaction to Information ..................................16
F. Market Capitalization.............................................................................................22
G. Float .......................................................................................................................23
H. Bid-Ask Spread ......................................................................................................24
V. THE NARRATIVE CONSTRUCTED BY MR. FISCHEL AND DR.
GRENADIER TO EXPLAIN TRADING IN THE AFFECTED COMPANIES IN
JANUARY 2021 IS UNSCIENTIFIC AND INACCURATE...........................................25
1. The Affected Companies Were Held and Traded By Institutional
Investors .....................................................................................................26
2. Retail Investors Were Neither Unsophisticated Nor Uninformed .............27
3. The Narrative That a- Short Squeeze Was the Sole Driver (or Even
the Primary Driver) of the January 2021 Price Movements Has
Been Refuted by the SEC ..........................................................................30
4. Trading in Anticipation of a Short Squeeze is Not a Sign of Market
Inefficiency ................................................................................................32
5. An Informationally Efficiency Market is All That is Required .................35
VI. THE ANALYSES PRESENTED IN THE FISCHEL REPORT CANNOT
ESTABLISH MARKET INEFFICIENCY ........................................................................38
1. Mr. Fischel’s Claim That a Disconnect Between Analyst Price
Targets and the Actual Market Price Implies Market Inefficiency is
Erroneous ...................................................................................................38
VII. THE ANALYSES PRESENTED IN THE GRENADIER REPORT CANNOT
ESTABLISH MARKET INEFFICIENCY ........................................................................39
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1. Dr. Grenadier’s Reverse Event Study Analysis Does Not and Can
Not Establish Market Inefficiency .............................................................39
2. Dr. Grenadier’s Opinion that Robinhood’s Trading Restriction Had
No Impact, or Very Little Impact, is Erroneous ........................................41
VIII. DAMAGES IN THIS MATTER CAN BE COMPUTED USING A COMMON
METHODOLOGY ............................................................................................................49
A. The Market for the Seven Affected Companies Were Efficient At least
Until Robinhood’s Alleged Market Manipulation .................................................51
B. The Remainder of Mr. Fischel’s and Dr. Grenadier’s Concerns Will be
Addressed at the Appropriate Stage of the Case ....................................................52
IX. LIMITING FACTORS AND OTHER ASSUMPTIONS..................................................53
APPENDIX A ....................................................................................................................54
A. Examples of Retail Investor Analyses from Wallstreetbets ..................................54
B. Examples of Retail Investor Analyses from Twitter..............................................58
C. Examples of Retail Investor Analyses from the Congressional Testimony
of Mr. Keith Gill ....................................................................................................60
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I, Adam Werner, declare and state, under penalty of perjury, that the following is true and
correct to the best of my knowledge, information, and belief. If called to testify, I could and would
testify competently to the following facts.
I. INTRODUCTION
In my declaration dated February 16, 2023 (“Werner Declaration”), I examined
whether the securities of the Affected Companies, AMC Entertainment Holdings, Inc. (“AMC”),
BlackBerry Limited (“BB”), Express, Inc. (“EXPR”), GameStop Corp. (“GME”), Koss
Corporation (“KOSS”), Tootsie Roll Industries, Inc. (“TR”), Bed Bath & Beyond Inc. (“BBBY”),
and the American Depositary Shares of foreign-issuers Nokia Corporation (“NOK”) and trivago
N.V. (“TRVG”), traded in efficient markets during the period from January 28, 2020 through
January 27, 2021, inclusive.
In the Werner Declaration, I showed that each of the Cammer and Krogman factors
supports a finding that the markets for seven 1 of the nine Affected Companies’ stocks were
efficient (the “Seven Affected Companies”). For the Seven Affected Companies, the Cammer and
Krogman factors were satisfied, and I demonstrated – through collective empirical studies – that
the prices of these seven companies’ securities reacted to information, which is the hallmark of an
efficient market. The other two companies, KOSS and TR, while still satisfying many of the
Cammer and Krogman factors, were less consistent in their Cammer and Krogman results. To the
extent that not all Cammer and Krogman factors need to be satisfied for a finding of market
efficiency, the securities of KOSS and TR could be characterized as possessing some indicators of
trading in efficient markets.
1
These seven stocks were: AMC, BB, BBBY, EXPR, GME, NOK, and TRVG.
1
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In the Werner Declaration, I also explained how damages in this matter are subject
to a common methodology that can be calculated on a class-wide basis for all Class members in
connection with their claims under Sections 9(a)(2) and 10(b) of the Securities Exchange Act of
1934 (the “Exchange Act”) and U.S. Securities & Exchange Commission (“SEC”) Rule 10b-5
adopted thereunder.
I was subsequently asked by The Rosen Law Firm, counsel for the Plaintiffs, to
consider and evaluate the arguments and conclusions in the Report of Daniel R. Fischel, dated
February 16, 2023 (“Fischel Report”) and in the Expert Report of Professor Steven Grenadier,
dated February 16, 2023 (“Grenadier Report”), both submitted by the Defendants in this matter.
This declaration presents my analysis and conclusions relating to the arguments set
forth in the Fischel Report and the Grenadier Report.
I have not been asked to opine on loss causation or conduct a damages analysis,
although some of the analysis I conducted for this report bears on the issue of loss causation. I will
comprehensively address the issue of loss causation at the appropriate stage should I be asked to
do so. Similarly, I will compute damages at the appropriate stage should I be asked to do so.
Documents that I reviewed and relied upon in preparing this report aside from those
already cited in the Werner Declaration are listed in Exhibit-2. My credentials and compensation
are presented in the Werner Declaration, as is a list of previous testimony I provided. Testimony
that I have provided since the Werner Declaration is identified in Exhibit-1.
I reserve the right to amend, refine, or modify my opinion and report, including in
the event any new or additional information or analysis becomes available.
I understand that as an expert witness in this proceeding, my duty in providing my
declaration is to the Court and that this duty overrides any obligation to the parties who have
2
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engaged me, from whom I have received instructions or compensation. I confirm that I have
complied with this duty.
II. SUMMARY OF OPINIONS
OPINION 1: Neither the Fischel Report nor the Grenadier Report motivates
me to change my conclusion that seven of the nine Affected Companies’
stocks traded in efficient markets from January 28, 2020 through January
27, 2021.
OPINION 2: Both the Fischel Report and the Grenadier Report failed to
consider the Cammer and Krogman factors for the Affected Companies. This
oversight renders both experts’ opinions and conclusions unscientific.
OPINION 3: A focused examination of the Cammer and Krogman factors for
the periods that Mr. Fischel and Dr. Grenadier examined leads to a
conclusion of market efficiency.
OPINION 4: The narrative constructed by Mr. Fischel and Dr. Grenadier to
explain trading in the Affected Companies in January 2021 is unscientific
and inaccurate.
OPINION 5: The Fischel Report fails to levy any reliable scientific evidence
that shows the markets for the Affected Companies were inefficient prior to
Robinhood’s alleged market manipulation beginning on January 28, 2021.
OPINION 6: The Grenadier Report fails to levy any reliable scientific
evidence that shows the markets for the Affected Companies were inefficient
prior to Robinhood’s alleged market manipulation beginning on January 28,
2021.
OPINION 7: Neither the Fischel Report nor the Grenadier Report affects my
conclusion that, with expert assistance, the finder of fact in this matter will
be able to compute damages using a common class-wide methodology that
applies to the calculation of damages for each and every Class member.
III. THE CAMMER AND KROGMAN FACTORS COMPEL A CONCLUSION OF
MARKET EFFICIENCY FOR SEVEN OF NINE AFFECTED COMPANIES
Neither the Fischel Report nor the Grenadier Report examines the Cammer and
Krogman factors, which are often used by courts to determine market efficiency. In the Werner
Declaration, I examined the Cammer and Krogman factors for the one-year period prior to January
28, 2021. As I explained in the Werner Declaration, due to the short length of the Class Period,
3
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and the allegations of market manipulation that occurred during the Class Period, I used the one-
year period prior to the Class Period to test for the efficiency of the nine Affected Companies. I
chose to examine a one-year period so that any inferences made on data would be based on an
adequately large sample size. I chose to focus this one-year period on the year prior to the Class
Period as this is the period that had not yet been affected by the alleged market manipulation.
This analysis showed the following for the Seven Affected Companies:
a. The average weekly trading volume of all seven stocks as a percentage of shares
outstanding was higher than the 2% required to meet the strong-presumption-of-
efficiency benchmark set forth by the court in Cammer v. Bloom;2
b. Seven or more securities analysts followed each of the seven stocks and there were a
multitude of news stories, and press releases published about, and SEC filings
published by, each company;
c. All seven stocks traded on either the NYSE or the NASDAQ, and each had numerous
market makers;
d. A substantial portion of the shares of all seven companies were owned by institutional
investors;
e. All seven companies were either eligible to file a Form S-3 Registration Statement (a
Form F-3 Registration Statement for foreign issuers Nokia and Trivago), with the SEC
or did file a Form S-3 Registration Statement;
f. Empirical analyses that study the relationship between information flow and security
price movements demonstrate that a cause-and-effect relationship existed between
news flow and movements in the stock price of the seven companies;
2
Cammer v. Bloom, 711 F. Supp. 1264 (D.N.J. 1989).
4
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g. All seven companies had market capitalizations of at least $100 million;
h. All seven companies had float capitalizations of at least $75 million;
i. A review of data obtained from the Center for Research in Securities Prices (“CRSP”)
indicated that the bid-ask spreads for six of the seven stocks were narrower than market
average bid-ask spreads.3
Rather than performing an analysis of the individual Cammer and Krogman factors,
Mr. Fischel entirely ignored what he called a “well-known method used by courts to determine
market efficiency.” 4 Dr. Grenadier, on the other hand, appears to argue that the Cammer and
Krogman factors are unreliable when applied to “periods of unusual trading activity”.5 In other
words, neither expert performed a Cammer and Krogman analysis, which is the most common
analysis that courts employ to determine market efficiency for class certification in a securities
fraud class action.
While Dr. Grenadier at least provided a reason for why he did not examine the
Cammer and Krogman factors, the logic of his reasoning is circular. Dr. Grenadier assumes, prior
to running any tests, that the trading activity in the Affected Companies was “unusual”. 6 Dr.
Grenadier’s assumption, however, fails to establish a critical link between his assumed “unusual”
trading activity and market inefficiency. In fact, as I explore in more detail in Section V and
Section VII below, the alternative analyses Dr. Grenadier performed instead of a
3
The Center for Research in Security Prices is a widely-used and generally accepted database for
obtaining daily data on publicly-traded securities.
4
Fischel Report, FN 70.
5
Grenadier Report, ¶69.
6
Grenadier Report, ¶69.
5
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Cammer/Krogman analysis cannot test for market inefficiency. The only test Dr. Grenadier
performed that directly assessed market efficiency was an observational examination of Cammer
factor 5 for his chosen relevant period, an examination that violated fundamental principles of
event study methodology. Contrary to Dr. Grenadier’s conclusions, I show in Section IV.E below,
that, when examined correctly, the results of Cammer factor 5 support a conclusion of market
efficiency.
None of Mr. Fischel nor Dr. Grenadier’s opinions change my conclusion that the
Cammer and Krogman analysis compels a conclusion of market efficiency for the Seven Affected
Companies.
IV. AN EXAMINATION OF THE CAMMER AND KROGMAN FACTORS FOR THE
JANUARY 4, 2021 THROUGH JANUARY 27, 2021 PERIOD DEMONSTRATES
THAT THE EQUITY MARKETS FOR THE SEVEN AFFECTED COMPANIES
WERE EFFICIENT.
While both Mr. Fischel and Dr. Grenadier neglected to perform a Cammer and
Krogman analysis for the respective periods of their studies, I perform this analysis for the Seven
Affected Companies below. Both Mr. Fischel and Dr. Grenadier examined slightly different time
periods in their reports. Dr. Grenadier examined the period from January 28, 2021 through
February 4, 20217 as well as the period from January 21, 2021 through January 27, 2021.8 Mr.
Fischel examined the period from January 4, 2021 through January 27, 2021.9
As an initial matter, the period of study examined by both Mr. Fischel and Dr.
Grenadier is extraordinarily short. Mr. Fischel studies a period of only 17 trading days while Dr.
7
Grenadier Report, ¶4.
8
Grenadier Report, FN 1.
9
Fischel Report, FN 44.
6
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Grenadier studies a period of only 11 trading days. In statistical and economic analysis, it is
generally advised for scientific studies to examine at least 30 observations so that the size of the
sample is large enough to lead to robust conclusions.10 A low number of observations is more
likely to exhibit extreme outcomes simply due to random chance. Thus, while I do examine the
Cammer and Krogman factors for Mr. Fischel and Dr. Grenadier’s study periods, I place relatively
less weight on the results of this study due to the extraordinarily low number of trading days each
expert chose to examine.
Furthermore, because Plaintiffs allege that Robinhood manipulated the market for
the Affected Companies by imposing trading restrictions and impediments beginning on January
28, 2021, I do not examine the period from January 28, 2021 through February 4, 2021 for market
efficiency. Market manipulation and enforced trading impediments would very likely affect the
efficiency of said markets. It would be unsurprising if the efficiency of the market for the nine
Affected Companies waned following Robinhood’s interference; inclusion of this period would
therefore bias any test against a finding of market efficiency. Therefore, for purposes of the
Cammer and Krogman analysis I perform herein, I focus on the period from January 4, 2021
through January 27, 2021 (“the Immediate Pre-Class Period”), which is Mr. Fischel’s period of
choice and encompasses Dr. Grenadier’s pre class period. I chose to use Mr. Fischel’s period of
study as this is the relatively longer period of study. Given the small sample issues already
inherent in both Mr. Fischel’s and Dr. Grenadier’s work, a choice to study the relatively longer
period seemed reasonable.
10
Reference Manual on Scientific Evidence, 3rd ed., Washington: The National Academies Press,
2011, p. 255.
7
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My findings with respect to the Cammer and Krogman factors for the Seven
Affected Companies during the Immediate Pre-Class Period are presented next and in Exhibit-3.
A. Trading Volume
As I explained in the Werner Declaration, the first Cammer factor examines
whether a security’s “average weekly trading volume … [would be] in excess of a certain number
of shares.” 11 More specifically, the court credited Bromberg who recognized that “turnover
measured by average weekly trading of 2% or more of the outstanding shares would justify a strong
presumption that the market for the security is an efficient one; 1% would justify a substantial
presumption.”12
For the Seven Affected Companies, Table-1 below shows the average weekly
trading volume, the average weekly trading volume as a percentage of their stock outstanding, and
the Cammer benchmark that was satisfied, if any.
11
Cammer, 711 F. Supp. at 1286 (“the reason the existence of an actively traded market, as
evidenced by a large weekly volume of stock trades, suggests there is an efficient market is because
it implies significant investor interest …. Such interest, in turn, implies a likelihood that many
investors are executing trades on the basis of newly available or disseminated corporate
information”).
12
Cammer, 711 F. Supp. at 1293.
8
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Table-1: Weekly Trading Volumes During the Immediate Pre-Class Period
Average Weekly Average Weekly Trading
Affected Passes 1% Passes 2%
Trading Volume Volume as a % of Shares
Company Benchmark? Benchmark?
(Shares) Outstanding
AMC 864,247,514 500.83% Yes Yes
BB 431,331,110 76.66% Yes Yes
BBBY 124,418,120 102.64% Yes Yes
EXPR 222,677,428 342.86% Yes Yes
GME 288,253,812 413.29% Yes Yes
NOK 584,421,969 75.87% Yes Yes
TRVG 14,755,097 26.36% Yes Yes
Sources: CRSP and SEC filings of Affected Companies.
During the Immediate Pre-Class Period, for all Seven Affected Companies, the
level of average weekly trading volume exceeds the Cammer benchmark of 2% necessary for a
“strong presumption” of market efficiency and exceeds the benchmark of 1% necessary for a
“substantial presumption” of market efficiency. Thus, one can make a strong presumption of
market efficiency during the Immediate Pre-Class Period for all the Seven Affected Companies
based on average trading volume.
B. Analyst Coverage
I explained in the Werner Declaration that the Cammer Court found that “it would
be persuasive [if] a significant number of securities analysts followed and reported on a company’s
stock.” 13 If investment professionals were closely monitoring a firm’s information and
subsequently making buy/sell recommendations to their clients based on that information, “the
market price of the stock would be bid up or down to reflect the [company’s] financial
13
Cammer, 711 F. Supp. at 1286.
9
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information…as interpreted by the securities analysts.”14 This suggests that the more analysts who
followed a security, the greater the likelihood that a security traded in an efficient market. Barber
et al. [1994] found that coverage by one or two analysts strengthened the presumption of efficiency
for a publicly traded stock.15
Of the analysts that covered the Seven Affected Companies presented in the Werner
Declaration, Table-2 below shows the number of analyst firms that issued at least one report during
the Immediate Pre-Class Period.
Table-2: Analyst Coverage During the Immediate Pre-Class Period
Analyst Firms
Possessed Analyst
Affected Company Publishing
Coverage?
Reports
AMC 4 Yes
BB 5 Yes
BBBY 17 Yes
EXPR 2 Yes
GME 8 Yes
NOK 8 Yes
TRVG 1 Yes
Source: Refinitiv.
For all Seven Affected Companies, the analyst coverage supports a finding of
market efficiency. Importantly, that the period of study (January 4, 2021 through January 27, 2021)
is very short relative to typical examination periods (which are at least one-year long) heavily
biases this Cammer factor against finding any analyst reports. It is well-known that analyst reports
typically follow major Company-announcements and to expect a major company announcement
14
Cammer, 711 F. Supp. at 1286.
15
“The Fraud-on-the-Market Theory and the Indicators of Common Stocks’ Efficiency,” by Brad
M. Barber et al., The Journal of Corporation Law, 1994.
10
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of enough magnitude to warrant an analyst to issue a report in such a relatively short period of
time is highly conservative. However, that analysts did publish reports during this short period for
all Affected Companies highlights the dense information content of this time period. Clearly,
analysts warranted the information in January 2021 as being of enough importance to disseminate
their opinions for market participants.
In the Werner Declaration, I also considered news media coverage. News media
coverage facilitates the flow of material information to the marketplace, which promotes
efficiency. For all Seven Affected Companies, Table-3 below shows the number of news articles
published for each company during the Immediate Pre-Class Period.
Table-3: News Coverage During the Immediate Pre-Class Period
News Article Possessed News
Affected Company
Count Coverage?
AMC 211 Yes
BB 174 Yes
BBBY 303 Yes
EXPR 95 Yes
GME 652 Yes
NOK 450 Yes
TRVG 16 Yes
Source: Factiva.
For all Seven Affected Companies, the dissemination of information about these
companies from company press releases and from the news media supports a finding of market
efficiency.
C. Market Makers and Exchange Listings
In the Werner Declaration, I also examined the third Cammer factor. The third
factor considered by the Cammer court to indicate market efficiency is that a security had
11
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numerous market makers. 16 Specifically, the Cammer court stated, “the existence of market
makers and arbitrageurs would ensure completion of the market mechanism; these individuals
would react swiftly to company news and reported financial results by buying or selling stock and
driving it to a changed price level.”17 Citing Bromberg and Lowenfels, the Cammer court noted
that “[t]en market makers for a security would justify a substantial presumption that the market for
the security is an efficient one; five market makers would justify a more modest presumption.”18
Market making data from Bloomberg is available on a monthly basis. For all Seven
Affected Companies, Table-4 below shows the number of market makers that made a market in
each of the Seven Affected Companies’ stocks during the month of January 2021 and the exchange
each of the Seven Affected Companies traded on.
Table-4: Market Makers During January 2021
Possessed more
Affected Market Maker than Ten Market
Company Exchange Listing Count Makers?
AMC NYSE 108 Yes
BB NYSE 85 Yes
BBBY NASDAQ 99 Yes
EXPR NYSE 80 Yes
GME NYSE 111 Yes
NOK NYSE 106 Yes
TRVG NASDAQ 62 Yes
Source: Bloomberg.
16
See, e.g., “The Fraud-on-the-Market Theory and The Indicators of Common Stocks’
Efficiency,” by Brad M. Barber et al., The Journal of Corporation Law, 1994, p. 291.
17
Cammer, 711 F. Supp. at 1286-1287.
18
Cammer, 711 F. Supp at 1293 (quoting Bromberg & Lowenfels, Securities Fraud and
Commodities Fraud §8.6 (1988))
12
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All Seven Affected Companies satisfied the Cammer benchmark of at least ten
market makers required for a “substantial presumption” of market efficiency.
Furthermore, as the Cammer court considered market-making infrastructure as
indicative of the efficiency of a security’s market, that a stock trades on either the NYSE or
NASDAQ further supports a finding of market efficiency because these exchanges are some of the
most renowned, most liquid, and most efficient stock trading forums in the world.
The Cammer court explicitly acknowledged the importance of either a NASDAQ
or NYSE listing and the implications of such a listing for market efficiency, explaining that market
efficiency can reasonably be presumed for securities traded on these markets.
“We think that, at a minimum, there should be a presumption – probably conditional
for class determination – that certain markets are developed and efficient for
virtually all the securities traded there: the New York and American Stock
Exchanges, the Chicago Board Options Exchange and the NASDAQ National
Market System.”19
As shown in Table-4 above, all Seven Affected Companies traded on either the
NYSE or NASDAQ exchanges.
A related indication of market efficiency is the presence of institutional investors –
sophisticated and professional full-time investors – in the market, have long been presumed “to be
better informed about the securities they hold and better able to interpret new information than
individual investors.”20
19
Cammer, 711 F. Supp. at 1292 (quoting Bromberg and Lowenfels [1988], §8.6).
20
“The Fraud-On-The-Market Theory and The Indicators of Common Stocks’ Efficiency,” by
Brad M. Barber et al., The Journal of Corporation Law, 1994, p. 292. For discussion of the role of
institutional investors in incorporating information into equity prices, see, e.g., “The Influence of
Analysts, Institutional Investors, and Insiders on the Incorporation of Market, Industry, and Firm-
13
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For all Seven Affected Companies, Table-5 below shows the number of unique
institutional investors that held each company’s stock on both quarterly reporting dates: December
31, 2020, and March 31, 2021.
Table-5: Institutional Holdings as of December 31, 2020 and March 31, 2021
Unique Institutional Investors as of
Affected Held By
12/31/2020 &
Company Institutions?
12/31/2020 3/31/2021 3/31/2021
AMC 235 304 159 Yes
BB 450 464 370 Yes
BBBY 435 383 333 Yes
EXPR 97 120 78 Yes
GME 311 311 205 Yes
NOK 530 579 441 Yes
TRVG 42 57 27 Yes
Source: Refinitiv.
All Seven Affected Companies were held by institutional investors before and after
the Immediate Pre-Class Period. That the Seven Affected Companies all possessed numerous
market makers, traded on major stock exchanges, and were held by professional, institutional
investors supports a finding that the stocks of these companies traded in an efficient market during
the Immediate Pre-Class Period.
D. S-3 Registration Eligibility
The fourth Cammer factor is a firm’s ability to file a Form S-3 Registration
Statement, or for foreign issuers, a Form F-3 Registration Statement. For a company to be eligible
to file a Form S-3, which is simplified compared to a Form S-1 Registration Statement, the SEC
requires 12 months of filings and at least $75 million of float. A company with less than $75
million of float and 12 months of filings is eligible to file a Form S-3/F-3 registration so long as
Specific Information into Stock Prices,” by Joseph D. Piotroski and Darren T. Roulstone, The
Accounting Review, vol. 79, no. 4, 2004, pp. 1119-1151.
14
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the company has “a class of common equity securities listed and registered on a national securities
exchange, and the issuers do not sell more than the equivalent of one-third of their public float in
primary offerings over any period of 12 calendar months.”21 Despite the fact that the SEC has
loosened the $75 million float requirement, courts continue to focus on the $75 million float
benchmark when analyzing this Cammer factor.22
The Cammer court noted that Form S-3 Registration Statement eligibility is
indicative of market efficiency because the filing requirement ensured that financial data were
available to market participants, and the public float requirement indicated that many market
participants would have examined the information.23
“Proposed Form S-3 recognizes the applicability of the efficient market
theory to the registration statement framework with respect to those
registrants which usually provide high quality corporate reports, including
Exchange Act reports, and whose corporate information is broadly
disseminated, because such companies are widely followed by professional
analysts and investors in the market place. Because of the foregoing
observations made by the SEC, the existence of Form S-3 status is an
important factor weighing in favor of a finding that a market is efficient.”24
“The ‘public float’ aspect of the Form S-3 requirements ensures that enough
investors have in fact read the previously filed document.”25
21
“Revisions to The Eligibility Requirements for Primary Securities Offerings on Forms S-3 And
F-3,” SEC Release No. 33-8878, December 19, 2007.
22
See, e.g., Nguyen v. Radient Pharm. Corp., 287 F.R.D. 563, 573 (C.D. Cal. 2012).
23
Cammer, 711 F. Supp. at 1284-85.
24
Cammer, 711 F. Supp. at 1284-85.
25
Cammer, 711 F. Supp. at 1285.
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“Again, it is the number of shares traded and value of shares outstanding
that involve the facts which imply efficiency.”26
For all Seven Affected Companies, Table-6 below presents each company’s
average float, whether it had consistently filed its SEC filings for at least 12 months.
Table-6: S-3 Eligibility During the Immediate Pre-Class Period
Exceeds $75 12-Months of
Affected [1]
Average Float ($) Million Financial Information
Company
Benchmark? Available?
AMC $631,224,605 Yes Yes
BB $6,217,581,955 Yes Yes
BBBY $3,106,789,111 Yes Yes
EXPR $122,853,171 Yes Yes
GME $4,034,239,890 Yes Yes
NOK $3,296,147,434 Yes Yes
TRVG $117,143,520 Yes Yes
Source: SEC Filings and Refinitiv.
[1] The daily number of shares in float is calculated as: shares outstanding less
shares held by insiders. Float capitalization is calculated as: shares in float
multiplied by daily closing prices.
All Seven Affected Companies were eligible to file a Form S-3/F-3 and thus
possessed the characteristics associated with market efficiency for this Cammer factor.
E. Empirical Demonstration of Price Reaction to Information
While both Dr. Grenadier and Mr. Fischel performed event studies for the Affected
Companies, they also made the same error in conducting their studies. Both Dr. Grenadier and Mr.
Fischel conducted what is typically known as a “backwards event study.” In a backwards event
study, there is no a priori event selection. In other words, there are no specific events being
identified to be tested to determine whether a stock responds to new information about the
26
Cammer, 711 F. Supp. at 1287.
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company being studied. Rather, in a backwards event study, the regression analysis is performed
first, such that the expert already knows which days during their study period are statistically
significant (and which days are not) prior to examining any actual event. The issue with this form
of event study approach is that any event examined after the fact is biased by the expert’s prior
knowledge of the statistical results of their test, rendering the event study analysis unscientific and
meritless.
That both Dr. Grenadier and Mr. Fischel erred in applying a backwards event study
is evident in the absence of any a priori selection criteria explained or employed by either expert
prior to testing for statistical significance. I examined both the Grenadier Report and the Fischel
Report, and I was unable to identify anywhere in their reports where an event selection process or
methodology was provided, or even assumed. Rather, both experts first ran a regression analysis
to determine significant and non-significant days for the Affected Companies and then sought to
explain the significance or non-significance by looking for news. This is a textbook example of a
backwards event study, that is highly biased and does not comport with the proper event study
methodology.
The proper event study methodology must first select an event, or events, of interest
to test. The type of event selected is determined by the researcher and can vary depending on the
hypothesis being assessed but it is key to select the event(s) prior to running any statistical tests.
For example, in the Werner Declaration, the events I chose to examine were Company-specific
news articles disseminated by the news aggregator, Factiva. It was subsequent to this event
selection that I ran my regression analyses and then determined whether certain days were
statistically significant or non-significant. This proper event study methodology is supported by
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the academic literature (which is the same literature Mr. Fischel cites to in his documents reviewed
and relied upon):
“The initial task of conducting an event study is to define the event of interest and
identify the period over which the security prices of the firms involved in this event
will be examined – the event window. For example, if one is looking at the
information content of an earnings with daily data, the event will be the earnings
announcement and the event window will include the one day of the
announcement.”27
This proper event study methodology, of first selecting the events to be tested, is
also supported by legal authorities:
“2. Conducting a Proper Event Study Analysis.
For an event study to be admissible it has to be proper so as not to constitute junk
science. The traditional definition of an event study is ‘a statistical regression
analysis that examines the effect of an event, such as an allegedly fraudulent
statement or omission, on a dependent variable, such as a company’s stock price.’
Event study methodology is founded on the efficient market hypothesis, a
hypothesis endorsed by the Supreme Court. Under the efficient market hypothesis,
a security’s price reflects all publicly available information. Thus, in terms of an
event study, a change in stock price in light of a public announcement is owing to
the arrival of new information in the market provided by that announcement. A
proper event study consists of four general steps:
Step One. Identify the Event.
First, an event study must identify the ‘event’ that causes investors to change their
expectations about the value of the company.”28
27
“Event Studies in Economics and Finance,” by A. Craig MacKinlay, Journal of Economic
Literature, March 1997, p. 14.
28
“Regressing: The Troubling Dispositive Role of Event Studies in Securities Fraud Litigation.,”
by Michael J. Kaufman and John M. Wunderlich, 15 Stan. J.L. Bus. & Fin. 183, 190–93 (2009).
18
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Because Mr. Fischel and Dr. Grenadier’s event studies were not properly
conducted, neither of their event studies can be said to have tested any hypothesis. That is, their
event studies provide only anecdotal observations that cannot be extrapolated into meaningful
implications for the Seven Affected Companies.
Nevertheless, I attempt in this report to rectify Mr. Fischel and Dr. Grenadier’s
methodological errors by providing an actual testable hypothesis. Because their studies have
already been performed, selecting individual events to examine now would subject the analysis to
the same unscientific and biased backwards event study approach their studies suffer from. Instead,
I apply a broad selection criterion to Mr. Fischel and Dr. Grenadier’s methodology without
modifying the results of their study. To execute a more scientifically sound event study, I begin
by treating all days on which either Mr. Fischel or Dr. Grenadier identified as days on which a
news article was published as a “news day”. As long as either Mr. Fischel or Dr. Grenadier
identified a news day during the overlapping period of their study, I considered the day of that
article’s release as a “news day” for purposes of my study.
I identified news days considered by Mr. Fischel for each of the Seven Affected
Companies by including those news days that Mr. Fischel has identified in Appendix D of the
Fischel Report, titled “Summary of Company Specific News”.29 For Dr. Grenadier, I identified
news days for the Seven Affected Companies by including those news days that Dr. Grenadier has
identified in Appendix E of the Grenadier Report, titled “Potentially Value-Relevant Information
During the Run-Up Period 1/21/21 – 1/27/21.”30
29
Fischel Report, Appendix D.
30
Grenadier Report, Appendix E.
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Through this process, for the five trading days during the overlapping period of
January 21, 2021 through January 27, 2021, I am able to separate the trading days for each of the
Seven Affected Companies into two distinct categories of “news” and “no-news” events, thereby
generating a selection criteria that isolates a test sample of “news” days. Exhibit-4 presents the
“news days” that both Dr. Grenadier and Mr. Fischel identified for each Affected Company.
Notably, as shown in Exhibit-4, it appears that Mr. Fischel and Dr. Grenadier disagree as to which
days should be identified as news for five out of the Seven Affected Companies. For example, for
BBBY and for the period of January 21, 2021 through January 27, 2021, Dr. Grenadier identified
news being published on January 21th, January 25th, and January 27th. Mr. Fischel on the other
hand identified news being published on only January 26th and January 27th. That is, even for such
a short period, the event study methodology employed by Defendants’ experts produce vastly
different results. Such inconsistency is not limited to BBBY – it is also present in the experts’ news
analysis for BB, EXPR, GME, NOK, and TRVG. These inconsistencies highlight the importance
of conducting a proper event study as explained above.
To resolve this inconsistency, I included as news days, any days identified as news
days by either Mr. Fischel or Dr. Grenadier.
After the “news” days were identified, I utilized a statistical testing tool called a
binomial test to assess whether the security prices of the Seven Affected Company reacted more
often to new days than one would expect from a random sample of days. Under a null hypothesis
that a company’s stock does not behave any differently on dates with company-specific news
(equivalent to a null hypothesis of market inefficiency, generally), there would be only a 5%
chance that a seemingly statistically significant stock return would occur on a date when there was
company-specific news. If, alternatively, the market for the Seven Affected Companies are
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efficient, the security prices would reflect information, such that significant stock returns would
occur more frequently on dates with company-specific news. The binomial test is also particularly
useful in this case as it is a non-parametric test, meaning there are no underlying assumptions made
about the distribution of news days’ returns. This element of the binomial test is important due to
the extraordinarily short period of time being examined. Other statistical testing techniques that
rely on assumed distributions can yield unreliable results when the number of testing observations
is so low, as is the case here.
Table-7 below presents the results of the Binomial Test for all Seven Affected
Companies. Binomial Test P-Values equal to, or less than, 5.0% are statistically significant.
Table-7: Binomial Test Results
Statistically
Affected Binomial Test
Significant
Company P-Value
News Dates News Days
AMC 4 4 0.00%
BB 3 2 0.71%
BBBY 4 2 1.35%
EXPR 1 1 5.00%
GME 3 3 0.01%
NOK 4 2 1.35%
TRVG 1 0 95.00%
As shown in Table-7, for all Seven Affected Companies except TRVG, the
Binomial Test finds that the frequency of statistically significant price movements on days with
Company-specific news is too unlikely to be considered random. Thus, we can reject the null
hypothesis that the companies’ security prices behave no differently on days with company-
specific news than on days without company-specific news. Instead, we can conclude that for
AMC, BB, BBRY, GME, EXPR, and NOK, the prices of these companies’ securities did react to
company-specific information, demonstrating market efficiency. This is further evidence that the
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market for these companies did not ignore information but rather incorporated information into
their stock prices. This is the definition of an informationally efficient market.
While the test results for TRVG were inconclusive, one needs to take into
consideration that the period of study was extraordinarily short. As I explained above, when a data
sample is too low in the number of observations, the data is much more likely to exhibit extreme,
and potentially inaccurate, outcomes. Given that my empirical analysis of TRVG in the Werner
Declaration did find that TRVG’s stock price reacted to information when the data sample was
much larger, I am inclined to place more weight on the results of the more robust study performed
in the Werner Declaration.
F. Market Capitalization
As I explained in the Werner Declaration, the court in Krogman held that “[m]arket
capitalization, calculated as the number of shares multiplied by the prevailing share price, may be
an indicator of market efficiency because there is a greater incentive for stock purchasers to invest
in more highly capitalized corporations.”31 In addition, some investors such as pension funds are
often restricted to owning securities whose market capitalization is sufficiently high.
For all Seven Affected Companies, Table-8 below presents the average market
capitalizations, and the respective percentile ranks versus the market capitalizations of all publicly
traded companies during the Immediate Pre-Class Period.
31
Krogman, 202 F.R.D. 467 at 478.
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Table-8: Market Capitalization During the Immediate Pre-Class Period
Percentile vs. All Other
Affected Average Market
U.S. Stocks’ Market
Company Capitalization
Capitalizations
AMC $641,224,732 55.8%
BB $6,302,494,714 86.1%
BBBY $3,151,440,218 78.3%
EXPR $124,717,160 27.3%
GME $4,079,171,510 81.3%
NOK $3,298,465,669 78.9%
TRVG $127,475,296 27.7%
Sources: CRSP and SEC Filings of the Affected Companies.
The Seven Affected Companies’ market capitalizations ranged from sizable to
large. Consistent with the Krogman opinion, these companies’ market capitalizations throughout
the Immediate Pre-Class Period are further evidence of market efficiency.
G. Float
Float excludes shares held by insiders and affiliated corporate entities. For all Seven
Affected Companies, Table-9 below presents the average float and the respective percentile rank
versus the market capitalizations of all publicly traded companies during the Immediate Pre-Class
Period.32
32
As float capitalization is always lower than market capitalization, comparing the Affected
Companies’ float capitalization to the market capitalization of all other publicly traded companies
is conservative.
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Table-9: Float Capitalization During the Immediate Pre-Class Period
Percentile vs. All Other
Affected Average Float Above $75
U.S. Stocks’ Market
Company Capitalization Million?
Capitalizations
AMC $631,224,605 55.6% Yes
BB $6,217,581,955 85.9% Yes
BBBY $3,106,789,111 78.1% Yes
EXPR $122,853,171 27.0% Yes
GME $4,034,239,890 81.2% Yes
NOK $3,296,147,434 78.9% Yes
TRVG $117,143,520 26.2% Yes
Sources: CRSP and SEC Filings of the Affected Companies.
The magnitudes of these companies’ floats are indicative of the efficiency of the
market for their stock during the Immediate Pre-Class Period.
H. Bid-Ask Spread
As I had explained in the Werner Declaration, a narrow bid-ask spread for a
particular security is also often associated with efficiency because it implies that there is a large
number of investors willing to buy or sell a security, thus the cost of executing a trade is lower, all
else being equal.
For all Seven Affected Companies, Table-10 below shows the average bid-ask
spread during January 2021 in dollar and percentage terms. Table-10 also presents the average
month-end bid-ask spread over the course of January 2021 for all stocks in the CRSP database.33
33
This calculation is based upon averaged month-end data from CRSP for January 2021.
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Table-10: Bid-Ask Spreads During January 2021
Average Average Narrower Narrower
Affected
Bid-Ask Bid-Ask Than Than
Company
Spread (%) Spread ($) Market %? Market $?
AMC 0.39% $0.01 Yes Yes
BB 0.11% $0.01 Yes Yes
BBBY 0.05% $0.01 Yes Yes
EXPR 0.67% $0.01 No Yes
GME 0.10% $0.07 Yes Yes
NOK 0.25% $0.01 Yes Yes
TRVG 0.60% $0.01 No Yes
All CRSP
Stocks 0.50% $0.25
While only five of the Seven Affected Companies’ bid-ask spreads were narrower
than the market-wide bid-ask spread on a percentage basis, all Seven Affected Companies’ bid-
ask spreads were narrower than the market average on a dollar basis. Given the strength of the
other Cammer and Krogman factors for the Seven Affected Companies, it is my opinion that the
bid-ask spread measure favors a finding of market efficiency for the Immediate Pre-Class Period.
Notably, it is the dollar bid-ask spread that investors actually pay as a cost to their transactions.
Both companies that had a wider percentage bid-ask spread, EXPR and TRVG, had a dollar bid-
ask spread of only $0.01, which is an objectively low transaction cost.
V. THE NARRATIVE CONSTRUCTED BY MR. FISCHEL AND DR. GRENADIER
TO EXPLAIN TRADING IN THE AFFECTED COMPANIES IN JANUARY 2021
IS UNSCIENTIFIC AND INACCURATE
Both Mr. Fischel and Dr. Grenadier appear to adopt the popular media narrative
that the events of January 2021 and early February 2021 were driven by unsophisticated and
misinformed retail investors seeking to make an easy profit from short squeezes on the Affected
Companies. Both experts repeatedly reference media commentary labeling the Affected
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Companies as “meme stocks”, 34 media commentary categorizing the trading in the Affected
Companies as “extreme social media driven enthusiasm”35 or “coordinated trading through social
media”,36 and media commentary that attributed the price increases in the Affected Companies in
January 2021 to “short squeezes”.37 While both experts are correct in identifying that the news
media indeed disseminated these narratives, neither expert has proved that the underlying
assumptions of these narratives were accurate or that somehow information was prevented from
entering into the market prices of the Affected Companies’ stocks.
1. The Affected Companies Were Held and Traded By Institutional
Investors
As an initial matter, while both Mr. Fischel and Dr. Grenadier attribute the January
2021 price movements in the Affected Companies to retail investors, and more specifically
coordinated retail trading through social media, the fact remains that retail investors were only a
portion of the shareholders for the Affected Companies. The SEC examined the trading activity of
some of the Affected Companies prior to and during the class period, with a focus on GME.38 The
SEC was motivated to issue a report examining market structure conditions following the events
of January 2021.39 In this report, the SEC confirms that “In addition to individual investor activity,
34
See, e.g., Grenadier Report, ¶9 and Fischel Report, ¶9.
35
Fischel Report, ¶23.
36
Grenadier Report, ¶24.
37
See, e.g., Fischel Report, ¶23 and Grenadier Report, ¶73.
38
“Staff Report on Equity and Options Market Structure Conditions in Early 2021,” U.S.
Securities and Exchange Commission, October 14, 2021.
39
“Staff Report on Equity and Options Market Structure Conditions in Early 2021,” U.S.
Securities and Exchange Commission, October 14, 2021.p. 1
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there was significant participation by institutional investors, including several hedge funds that
purchased GME.”40 The SEC also noted that “quantitative and high-frequency hedge funds, joined
the market rally to trade profitably.”41
Mr. Fischel and Dr. Grenadier’s narrative of the events of January 2021 leaves out
the role institutional investors, hedge funds, and high-frequency traders played in those events.42
Attributing the January 2021 price movements solely to retail investors paints an inaccurate and
potentially misleading picture of why prices were moving as they did. Contrary to Mr. Fischel’s
and Dr. Grenadier’s opinions, sophisticated and well-informed market participants did transact in
the Affected Companies and therefore retail investor transactions could not have been the only
driver of the price movements in January 2021.
2. Retail Investors Were Neither Unsophisticated Nor Uninformed
While citing to a two-decade old article, Dr. Grenadier states in his report that “By
contrast [to institutional investors], academic research on individual retail investors suggests that
they are less informed.”43 While Mr. Fischel made no commentary on the characteristics of retail
investors in the Fischel Report, he has in the past referred to retail investors as “uninformed or
40
“Staff Report on Equity and Options Market Structure Conditions in Early 2021,” U.S.
Securities and Exchange Commission, October 14, 2021.p. 21
41
“Staff Report on Equity and Options Market Structure Conditions in Early 2021,” U.S.
Securities and Exchange Commission, October 14, 2021.p. 22
42
“Staff Report on Equity and Options Market Structure Conditions in Early 2021,” U.S.
Securities and Exchange Commission, October 14, 2021. pp. 21-22.
43
Grenadier Report, ¶109.
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noise traders.”44 Both Mr. Fischel’s and Dr. Grenadier’s depiction of retail investor characteristics
are outdated and erroneous.
More recent academic studies have found that with the increasing role that social
media plays in informing retail investors, retail investors “actively glean[] valuable information”
from investment research posts on social media “rather than trading quickly on report sentiment.”
“We examine whether social media enhances the informativeness of retail investor
trading. … The incremental information revealed by post-research retail trading is
largely orthogonal to the information revealed by report tone and contributor
investment position, consistent with retail investors actively gleaning valuable
information from [Seeking Alpha] research rather than trading quickly on report
sentiment. … These findings suggest that social media can play a positive role in
informing retail investors.”45
Other recent studies have noticed “suggestive evidence that retail marketable orders
might contain firm-level information that is not yet incorporated into prices.” That is, retail
transactions can improve the information content of market prices.
“We provide an easy method to identify marketable retail purchases and sales using
recent, publicly available U.S. equity transactions data. Individual stocks with net
buying by retail investors outperform stocks with negative imbalances by
approximately 10 bps over the following week. Less than half of the predictive power
of marketable retail order imbalance is attributable to order flow persistence, while the
rest cannot be explained by contrarian trading (proxy for liquidity provision) or public
news sentiment. There is suggestive, but only suggestive, evidence that retail
44
“Efficient Capital Market the Crash and the Fraud on the Market Theory,” by Daniel R. Fischel,
Cornell Law Review 907, 1989, p. 913.
45
”The Democratization of Investment Research and the Informativeness of Retail Investor
Trading,” by Michael Farrell, et al., Journal of Financial Economics, 145, 2022, p. 638.
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marketable orders might contain firm-level information that is not yet incorporated into
prices.”46
The accounting firm Deloitte has also done recent research into retail investors.
Deloitte noted the “gathering of like voices in communal hubs” (i.e., social media) “have had
profound effects, including the ability to improve market liquidity...” and provide a “stabilizing
force” during periods of market turmoil.
“Retail investors seem to have reached a watershed moment in which access to real-
time information and increasingly sophisticated investment tools have made them more
empowered than ever before. This new source of empowerment may increasingly stem
from the gathering of like voices in communal hubs, where flouting conventional
wisdom and the willingness to go against orthodox trading approaches isn’t just
suggested, it’s celebrated. These social forces have had profound effects, including the
ability to improve market liquidity, for instance. In fact, retail investors acted as a
stabilizing force when COVID-19 first disrupted markets in March 2020, since they
didn’t pull back when stock prices fell and more traditional investors balked.”47
Beyond the recent literature, there is also evidence of retail investor sophistication
directly related to this case. As evidence, I searched social media websites
www.reddit.com/r/wallstreetbets as well as Twitter for postings about the Affected Companies.
Appendix-A shows a sample of the posts social media users made regarding the Affected
Companies prior to Robinhood’s alleged market manipulation. Appendix-A also presents the
congressional testimony provided by Mr. Keith Gill, a retail investor asked to testify before
Congress on his understanding and involvement in the events of January 2021.
46
“Tracking Retail Investor Activity,” by Ekkehart Boehmer, et al, Journal of Finance, Vol 76,
No. 5, p. 2249.
47
“The Rise of Newly Empowered Retail Investors,” Report from the Deloitte Center for Financial
Services, p. 1.
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As can be seen in these posts and Mr. Gill’s testimony, the analyses and market
commentary that was disseminated through social media were far from unsophisticated or
uninformed. Rather, this group of retail investors employed widely-used and generally accepted
financial models to justify their valuations of the Affected Companies. While the degree of
sophistication in such analyses are not of the same magnitude or scope as the analyses employed
by institutional investors, labelling retail investors broadly as “unsophisticated” or “uninformed”
goes too far. Clearly, retail investors did consider a wide array of financial valuation tools when
transacting in the Affected Companies’ stocks, which included fundamental valuation analyses.
Furthermore, market participants, including retail investors, did attempt to ascertain
the “appropriate” value of the Affected Companies’ stocks. That retail investors did consider
typical valuation metrics when analyzing the Affected Companies demonstrates that information
was not ignored. That retail investors believed the Affected Companies’ stocks to be
fundamentally worth much more than the market prices at the time and then transacted on this
belief proves that information was incorporated into the securities’ prices. This is the definition of
an informationally efficient market.
3. The Narrative That a- Short Squeeze Was the Sole Driver (or Even the
Primary Driver) of the January 2021 Price Movements Has Been
Refuted by the SEC
Both Mr. Fischel and Dr. Grenadier argue that it was effectively a coordinated effort
by retail investors to short squeeze the Affected Companies which caused the observed price
movements during the Immediate Pre-Class Period. Dr. Grenadier’s support for his opinion is that
“analyst reports attributed the price movements to retail investor coordination and short squeezes
or attempted short squeezes” as well as a draft working paper by Franklin Allen.48 Mr. Fischel
48
Grenadier Report, ¶¶102 and 110.
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opines that “market commentary attributed the price increases in the affected stocks to short
squeezes and extreme social media driven enthusiasm.” 49 Other than news media, analyst
commentary, and an unpublished working paper, no other evidence was provided by either expert
in arguing that a short squeeze may have been the cause of the January 2021 price movements.
However, an actual examination of the market dynamics during the January 2021
period comes to a very different conclusion. In October 2021, the SEC released a report titled
“Staff Report on Equity and Options Market Structure Conditions in Early 2021”, which analyzed
in detail the market structures and market dynamics during January 2021. The SEC’s report made
specific references to the media’s narrative of “short squeezes,” explaining:
“Dynamics related to short selling are also an integral part of the GameStop story.
Stocks seen by parts of the market as overvalued tend to exhibit significant short
interest, and prior to January 2021, GameStop was no different in this respect.
However, some in the media directly linked trading activity to the presence of short
interest, characterizing trading in GameStop as an act of rebellion intended to humble
short-selling professional investors who had allegedly targeted the stock.”50
The SEC’s conclusion, however, is very different from that of Dr. Grenadier and
Mr. Fischel. Rather than simply parroting the media narrative, the SEC found that “a short squeeze
did not appear to be the main driver” of the January 2021 price movements.
“While a short squeeze did not appear to be the main driver of events, and a gamma
squeeze less likely, the episode highlights the role and potential impact of short selling
and short covering.”51
49
Fischel Report, Section 3.A.
50
“Staff Report on Equity and Options Market Structure Conditions in Early 2021,” Securities
Exchange Commission, dated October 14, 2021, pp. 30-31.
51
“Staff Report on Equity and Options Market Structure Conditions in Early 2021,” Securities
Exchange Commission, dated October 14, 2021, p. 44.
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The SEC report also explicitly cautioned against what Dr. Grenadier and Mr.
Fischel did - i.e. relying on media sources to draw the conclusion that a short squeeze drove the
market dynamics:
“While short selling and calls on social media for short squeezes received a great deal
of media attention, the interplay between shorting and price dynamics is more complex
than these narratives would suggest.”52
The narrative that a short squeeze was the sole cause, or even a primary cause, of
the price movements in January 2021 cannot be assumed based on market commentary alone. As
the SEC’s report shows, detailed market structure analysis is required to arrive at a reliable answer
to the role that short selling played during January 2021, and the answer to this question is not a
simple “yes” or “no”. The only clarity on this matter is offered by what the SEC ultimately
concluded, which is that “a short squeeze did not appear to be the main driver of events.”53
4. Trading in Anticipation of a Short Squeeze is Not a Sign of Market
Inefficiency
Perhaps aware of the inaccuracy inherent in the assumption that a short squeeze
was the driver of the January 2021 price movements, both Dr. Grenadier and Mr. Fischel also
make the argument that even an attempt to short squeeze is a sign of market inefficiency. For
example, Dr. Grenadier states:
“The retail coordination discussed in Section VI.C.2 above was often framed by
market commentators as a battle between Reddit users and short sellers, with retail
52
“Staff Report on Equity and Options Market Structure Conditions in Early 2021,” Securities
Exchange Commission, dated October 14, 2021, p. 44.
53
“Staff Report on Equity and Options Market Structure Conditions in Early 2021,” Securities
Exchange Commission, dated October 14, 2021, pp. 30-31.
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investors coordinating to target companies with high short interest to try to force
short squeezes.”54
Mr. Fischel similarly explains:
“The virtually certain awareness of many potential Class Members of the temporary
nature of market manipulations such as short squeezes as well as market
commentary attributing the Affected Stocks’ price declines during the Class Period
to the end of short squeezes again demonstrates that reliance on the integrity of the
market price cannot be determined on a class-wide basis but requires individualized
inquiry.”55
Dr. Grenadier and Mr. Fischel err in drawing the conclusion that an attempt by
investors to capitalize on a potential future short squeeze is a sign of market inefficiency. Indeed,
that retail investors did consider the possibility of a short squeeze demonstrates that these investors
did not ignore pertinent market information.
Trading based on expectations of future developments is a common practice in
efficient markets. For example, consider a hypothetical merger announcement. It is well
understood that in an efficient market, once a merger is announced, the subject companies of the
merger will begin to trade as a merged company (with a discount provided based on the probability
of merger consummation). Such examples are often cited by academics as evidence of market
efficiency – the price of the to-be merged securities move to reflect the possibility of a future
expected event.56 This pricing behavior has many parallels with Dr. Grenadier’s and Mr. Fischel‘s
54
Grenadier Report, ¶133.
55
Fischel Report, ¶30.
56
See, e.g., ”Merger Momentum and Investor Sentiment: The Stock Market Reaction to Merger
Announcements,” by Richard Rosen, The Journal of Business, 2006; and “Evidence on the
Capitalized Value of Merger Activity for Acquiring Firms,” by Katherine Schipper and Rex
Thompson, The Journal of Financial Economics, Vol. 11, 1983.
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concerns that it may be the anticipation of a short squeeze that drove the price movements of
January 2021.
Furthermore, the types of market participants that comprise the daily trading on
major exchanges reflect a far more diverse set of investors than those who trade only based on
fundamental value. It is not uncommon for market participants to trade based on something called
“technical analysis”. The CFA Institute defines technical analysis as: “a form of security analysis
that uses price data and volume data, typically displayed graphically in charts. The charts are
analyzed using various indicators in order to make investment recommendations.”57 Technical
analysis is based primarily on historical pricing and volume data, not the fundamentals of the
company. Such trading behavior pervades the market without making the market price any less
efficient. To posit, as Dr. Grenadier and Mr. Fischel have, that only trading that is based on an
analysis of fundamental value contributes to the efficiency of the market is far too restrictive.
In an analogous case where Mr. Fischel argued for market efficiency, the Honorable
Shira Scheindlin, U.S.D.J, accurately pointed out that “In an efficient market, prices reflect all
available information, including the information presented by tie-in trading, underwriter
compensation, and analyst reports.”58 Similarly here, market participants were certainly informed
that the media believed a short-squeeze was occurring. That investors traded on this belief
demonstrates that new information was not ignored, but rather incorporated into the market price.
The incorporation of information into the market price by market participants, rather than ignoring
or disregarding information, is the hallmark of informational efficiency.
57
https://www.cfainstitute.org/en/membership/professional-development/refresher-
readings/technical-analysis
58
In re: Initial Public Offering Securities Litigation, Opinion and Order, dated June 10, 2009, p.
30.
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5. An Informationally Efficiency Market is All That is Required
While neither expert explicitly admits this, Dr. Grenadier’s and Mr. Fischel’s
analyses inappropriately requires that all of the Affected Companies’ stocks be fundamentally
efficient in order to establish that the market prices of the Affected Companies’ stocks were
reasonable proxies for information. Fundamental efficiency means that a market is only considered
efficient if an asset’s price is, at all times, a perfect representation of the present value of that
asset’s expected future cash flows.59 That is, using fundamental efficiency as a standard means
that the market for a security is inefficient unless that security price matches a specific target price
derived from one specific valuation model. This is not the correct standard for evaluating market
efficiency.
Mr. Fischel has discussed this fundamental efficiency concept in his own research.
In fact, Mr. Fischel has also identified another standard for market efficiency, where “a market is
efficient if it is impossible to devise a trading rule that systematically outperforms the market (net
of transaction costs) absent possession of inside information.”60 Importantly, neither Mr. Fischel
nor Dr. Grenadier claims that investors were able to devise a trading rule for any of the Affected
Companies that would have outperformed the market. In his 1989 Article entitled “Efficient
Capital Markets, The Crash, and the Fraud on the Market Theory,” Mr. Fischel delineates between
these two efficiency standards as follows:
59
See, e.g. “How Efficient Is Sufficient: Applying the Concept of Market Efficiency in Litigation,”
by Bradford Cornell and John Huat, The Business Lawyer, vol. 74, 2019; and “Efficient Capital
Market the Crash and the Fraud on the Market Theory,” by Daniel R. Fischel, Cornell Law Review
907, 1989, p. 913.
60
“Efficient Capital Market the Crash and the Fraud on the Market Theory,” by Daniel R. Fischel,
Cornell Law Review 907, 1989, p. 913.
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“Much of the discussion of efficient capital markets suffers from ambiguity
concerning what characteristics capital markets must satisfy to be considered
‘efficient.’ At least two definitions of ‘efficient’ capital markets exist. The first, as
discussed in Part I, focuses on the speed with which market prices reflect publicly-
available information and whether the price reaction to new information is without
bias. Under this definition, a market is efficient if it is impossible to devise a trading
rule that systematically outperforms the market (net of transaction costs) absent
possession of inside information. In this essay, I refer to this definition as ‘trading-
rule efficiency.’ There is general consensus that capital markets that list actively-
traded securities are trading-rule efficient. The second definition of efficient capital
markets focuses on the extent to which security prices reflect the present value of
the net cash flows generated by a firm's assets. I refer to this definition of efficiency
as ‘value efficiency.’”61
In that same paper, Mr. Fischel also conceded the inseparability of value and price.
“Unfortunately, no direct method exists for testing how closely prices reflect value
because the ‘value’ of an asset cannot be measured apart from its price. ”62
Mr. Fischel concludes this discussion by explaining that:
“Value efficiency means that prices are typically the best indicators of underlying
values (at least absent inside information). No evidence demonstrates that a better
model exists for ascertaining the value of a publicly-traded firm's assets than
looking at the prices of its securities.”63
In this same paper, Mr. Fischel also expressed the opinion that the search for
mispriced securities by market participants – analogous to retail investors trading on anticipation
61
“Efficient Capital Market the Crash and the Fraud on the Market Theory,” by Daniel R. Fischel,
Cornell Law Review 907, 1989, p. 913.
62
“Efficient Capital Market the Crash and the Fraud on the Market Theory,” by Daniel R. Fischel,
Cornell Law Review 907, 1989, p. 914.
63
“Efficient Capital Market the Crash and the Fraud on the Market Theory,” by Daniel R. Fischel,
Cornell Law Review 907, 1989, p. 911.
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of a potential short squeeze – “is the mechanism whereby prices reflect information about
underlying values.”
“Indeed, the constant search by market professionals for mispriced securities is the
mechanism whereby prices reflect information about underlying values. And, to
emphasize again, the critical question is not whether market prices are always a
perfect proxy for the underlying value of assets but whether a better proxy exists
on a consistent basis. Thus far the answer to this critical question is no."64
The inappropriate standard that is fundamental efficiency has also been rejected by
the U.S. Supreme Court. The Court clarified in its Halliburton II decision that the correct standard
for market efficiency in a securities case is informational efficiency – whether prices react to, and
therefore reflect, new information.
“Even the foremost critics of the efficient-capital-markets hypothesis acknowledge
that public information generally affects stock prices. … Debates about the precise
degree to which stock prices accurately reflect public information are thus largely
beside the point. ‘That the...price [of a stock] may be inaccurate does not detract
from the fact that false statements affect it, and cause loss,’ which is ‘all that Basic
requires.’”65
“To recognize the presumption of reliance, the Court explained, was not
‘conclusively to adopt any particular theory of how quickly and completely publicly
available information is reflected in market price.’ The Court instead based the
presumption on the fairly modest premise that ‘market professionals generally
consider most publicly announced material statements about companies, thereby
affecting stock market prices.”66
64
“Efficient Capital Market the Crash and the Fraud on the Market Theory,” by Daniel R. Fischel,
Cornell Law Review 907, 1989, p. 915.
65
Halliburton Co. V. Erica P. John Fund, Inc., 573 U.S. 258 (2014).
66
Halliburton Co. v. Erica P. John Fund, Inc., 573 U.S. 258 (2014)
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VI. THE ANALYSES PRESENTED IN THE FISCHEL REPORT CANNOT
ESTABLISH MARKET INEFFICIENCY
1. Mr. Fischel’s Claim That a Disconnect Between Analyst Price Targets
and the Actual Market Price Implies Market Inefficiency is Erroneous
Mr. Fischel suggests that the market for the Affected Companies’ stocks may have
been inefficient during the Immediate Pre-Class Period because the trading prices exceeded
analysts’ target prices for the stock. Mr. Fischel’s suggestion is flawed and misleading.
Mr. Fischel’s analysis requires that, in an efficient market, the current market prices
of a given security will always match the analysts’ consensus price target for that security. This is
rarely the case. Analyst prices targets are typically substantially above or below contemporary
trading prices, depending on whether the analyst in question has a bullish or bearish view on the
stock. It is rare for an analyst to opine that their valuation of a given security is equal to its current
market price. This assumption alone renders Mr. Fischel’s analysis flawed.
Exhibit-5 presents analysts’ price targets for the Affected Companies based on the
analyst reports produced by both Mr. Fischel and Dr. Grenadier. As shown in this exhibit, the
analyst price targets Mr. Fischel observes are not for the same period of time as the market prices
they purportedly should reflect. Mr. Fischel’s analysis observes the trading prices of the Affected
Companies’ stocks from January 4, 2021 through January 27, 2021 – a 23 calendar day period.
Analysts do not typically offer a target price that they think the security price will correspond to
within 23 calendar days. Rather, as shown in Exhibit-5a through Exhibit-5g, analysts’ target prices
for the Affected Companies are all estimates of future prices between six and eighteen months out.
Thus, Mr. Fischel’s analysis is further flawed as it requires current market prices to comply with
projected values that analysts expect will only be reached over time.
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VII. THE ANALYSES PRESENTED IN THE GRENADIER REPORT CANNOT
ESTABLISH MARKET INEFFICIENCY
1. Dr. Grenadier’s Reverse Event Study Analysis Does Not and Can Not
Establish Market Inefficiency
Dr. Grenadier opines that the “extreme price runups and subsequent reversals that
the At-Issue Stocks collectively experienced over the Relevant Period cannot be explained by new,
value-relevant information,”67 and suggests that therefore, the market for those securities must be
inefficient. Dr. Grenadier supports his opinion by conducting a backwards event study on two
multi-day windows at the end of, or directly following, the Immediate Pre-Class Period. However,
his analysis is flawed and does not establish inefficiency of the markets for the Affected
Companies’ stocks during the Immediate Pre-Class Period.
As an initial matter, the Werner Declaration did demonstrate a “cause and effect”
relationship between the release of Company-specific information and movements in each
respective security price. As explained in the Werner Declaration, for each of the Affected
Companies’ stocks, there was a statistically significant difference in the incidence rates of
significant returns on days with high information flow compared to low information flow days.
More plainly, the empirical analysis in the Werner Declaration showed that when information
about the Affected Companies entered the market, the stock prices of those companies reacted.
This analysis demonstrated a cause (the new information) and effect (significant stock price
movements) relationship during the Relevant Period.
Dr. Grenadier takes the opposite approach, which is commonly referred to as a
“backwards” event study, which I have discussed above. He observes large stock price movements
67
Grenadier Report, ¶73.
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(the effect) and tries to determine what caused these movements (information or some other
factor). Dr. Grenadier purportedly supports this analysis with statements from the Affected
Companies and analysts that discuss the magnitude of the stock price movements compared to the
information released. However, these statements do not say that there was no information that
could have impacted the securities prices, they simply state that the stock price reaction exceeded
what the analysts and company would expect based on the information content. For example, in
paragraph 102 of his report, Dr. Grenadier cites the following commentary from Scotiabank
analysts:
Our view is that the move in BlackBerry’s shares appears to be overdone in the
short-term given fundamentals of the business relative to the movement in the
underlying share price.68
The premise of informational market efficiency dictates that information will be
incorporated into the trading price of a security; it does not mean that all market participants must
agree on the valuation implications of that information. Nor does it imply that the market must
have gotten it right. There are always traders and analysts that believe the market price is too high
or too low, or that the market reacted too much or too little to specific news.
While Dr. Grenadier did identify dates on which there was new information
associated with the significant price changes for at least five of the nine Affected Companies’
stocks, his concern is that the magnitude of the change was too large. Dr. Grenadier’s identification
and subsequent analysis on the magnitude of valuation impact associated with this information is
an exercise in applying the fundamental market efficiency standard. As I have discussed above,
68
Grenadier Report, ¶102, citing “Lowering Recommendation on Significant Market Move,”
Scotiabank, analyst report, January 27, 2021.
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Halliburton II held that this is not the correct standard of market efficiency to be applied in
securities cases – the correct standard being informational market efficiency. Applying the correct
market efficiency standard, Dr. Grenadier’s identification of new information being associated
with statistically significant price movements is additional evidence that the prices of the Affected
Companies’ stocks reacted to information.
Furthermore, although most of Dr. Grenadier’s report is dedicated to the premise
that the large stock price increases at the end of the Immediate Pre-Class Period were caused
exclusively by retail investor coordination and a short squeeze, he presents a contradictory opinion
in Section VII of the Grenadier Report. When evaluating Robinhood’s removal of the very same
retail investor demand for the Affected Companies’ stock by its millions of customers, Dr.
Grenadier writes, “I see no reason why restrictions on a subset of retail investors that account for
a fraction of the overall market would have ‘artificially distorted’ the stock price throughout the
proposed Class Period.” 69 If one were to accept Dr. Grenadier’s arguments, then it logically
follows that retail investors could not have impacted the prices of the Affected Companies’ stocks
during the Immediate Pre-Class Period via purported short squeezes as these retail investors also
did not account for the entirety of trading volume in the Affected Companies.
2. Dr. Grenadier’s Opinion that Robinhood’s Trading Restriction Had No
Impact, or Very Little Impact, is Erroneous
Dr. Grenadier’s opinion that restricting the trading of a subset of investors would
have no impact on securities prices is also at odds with the principles of finance. The equilibrium
price of any publicly traded security is a function of the aggregate buying and selling pressure of
all market participants and investors. By removing a portion of the buying interest and pressure,
69
Grenadier Report, ¶149.
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as Robinhood did, there will be an impact on the equilibrium price of a security. Whether 1% or
100% of potential buying volume is removed, there will be some impact. The magnitude of the
impact of trading restrictions on subsets of investors can be analyzed and debated (however, Dr.
Grenadier did not do this), but the presence of some unquantified impact when only buying interest
is removed (and selling interest is not equally impacted), is largely beyond debate. Thus, Dr.
Grenadier’s opinion that the Robinhood restrictions had no impact is incorrect and at odds with
financial principles.
This dynamic has been explored by recent research focusing on the January 2021
Robinhood trading restrictions. Jones, Reed and Waller [2021] 70 found that, “equity and options
trading restrictions ha[d] large and significant effects on the affected asset markets” and
specifically that, “in the equity markets, … the restrictions are associated with sharp price
declines.”71
70
“When Brokerages Restrict Retail Investors, Does the Game Stop?” by Charles M. Jones, Adam
V. Reed, and William Waller, Columbia Business School Research Paper Forthcoming, 2021,
https://ssrn.com/abstract=3804446.
71
See, also in Jones, Reed and Waller [2021] (at pp. 25-26): “The estimated return effects are large
and negative, which is likely consistent with expectations given that these restrictions are usually
designed to limit or prohibit equity purchases. For example, the imposition of a Robinhood-like
trading restriction by a Set 1 brokerage firm leads to a one-time daily return of -59.4%. The
imposition of TD Ameritrade-like margin restrictions by a Set 2 brokerage is associated with a
daily return of -24.9%, and when we include both Set 1 and Set 2 restrictions in the same
regression, both coefficients remain strongly significant. … The imposition of any sort of
restriction leads to an immediate 15-minute return of -0.64%, a Robinhood-like Set 1 trading
restriction is associated with a 15-minute return of -0.80%, and a TD Ameritrade-like Set 2 margin
restriction leads to an immediate 15-minute return of -0.64%. All are significant at the 1% level,
and both Set 1 and Set 2 restrictions are separately significant and negative when both dummies
are included in the same specification.”
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Consequently, Dr. Grenadier’s opinion that Robinhood’s enforced trading
restrictions did not cause any impact on the prices of the Affected Companies’ stocks is at odds
with both financial principles and recent academic research.
a. Dr. Grenadier Ignores that Investors Responded to the
Robinhood PCO Restrictions as New, Important Negative
News
Dr. Grenadier’s opinion that Robinhood’s restrictions had very little impact on the
prices of the Affected Companies’ stocks, if any, is erroneous because it fails to consider that
investors reacted to the announcement of Robinhood’s position closing only restrictions on
equities (the “Robinhood PCO Restrictions”) during the morning of January 28, 2021 as new,
important company-specific news. Below, I first clarify the distinction between PCO restrictions
and other types of restrictions placed on the Nine Affected Companies and clarify the timing of
the Robinhood PCO Restrictions relative to PCO Restrictions from other brokerage firms. Then, I
analyze how the market reacted to the Robinhood PCO restrictions. Together, this evidence
supports the conclusion that the impact from the announcement of the Robinhood PCO
Restrictions can be verified and quantified, contradicting both Dr. Grenadier’s and Mr. Fischel’s
opinions.
As background, the Robinhood PCO Restrictions are restrictions such that an
investor could not purchase an equity, or common stock and may only close their position (or, in
other words, sell current holdings). Relative to other types of trading restrictions implemented on
the Affected Companies’ stocks between January 13, 2021 and January 27, 2021, such as
increasing initial purchase or maintenance margins, the Robinhood PCO restrictions were far more
restrictive. Both the Grenadier Report and Fischel Report discuss these multiple types of
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restrictions from the relevant brokerages on the Affected Companies’ stocks, but do not analyze
investor reactions to any restrictions.72
In Table-12 below, I present an intraday price chart of an equal-weighted index of
the Affected Companies on January 28, 2021, annotated with the announcement of PCO
restrictions from all brokerages on that day, including the Robinhood PCO Restrictions:
Table-12: Equal-Weighted Index of Affected Companies’ Stocks
Indexed to $100 Annotated with PCO Equity Restrictions
January 28, 2021 4:00 AM - January 28, 2021 4:00 PM
$150
$130
$110
Stock Price $90
$70
$50
4:00 AM 5:00 AM 6:00 AM 7:00 AM 8:00 AM 9:00 AM 10:00 AM 11:00 AM 12:00 PM 1:00 PM 2:00 PM 3:00 PM 4:00
Robinhood PCO Restrictions (non-TR) Robinhood PCO Restriction (TR) Pre Market Open
Market Hours Trading 212 Webull
M1 Finance E* Trade
Sources: Tick Data, RHMDL00047970, and HFSC Report.
Table-12 summarizes that, beginning shortly after the first Robinhood restrictions
were imposed on AMC, BB, BBRY, EXPR, GME, KOSS, NOK, and TRVG starting at 8:03AM
72
Grenadier Report, ¶46-48; Fischel Report, ¶11-12.
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ET on January 28, 2021, the prices of the Affected Companies’ stocks declined prior to the market
open at 9:30AM ET on that day. 73 Then, following the final Robinhood PCO Restriction,
implemented on TR, at 9:54AM ET, the Affected Companies’ share prices continued to decline in
price into the late morning. Finally, the Nine Affected Companies reached an apparent end to their
decline shortly after 11:00AM ET, prior to the announcement of PCO restrictions on equity
purchases of AMC, GME, and KOSS announced by other brokerages, such as Webull at 11:30AM
ET and M1 Finance Restriction at 12:01PM ET, both through Twitter posts from brokerage
executives.74,75 Finally, almost seven hours after Robinhood’s PCO restriction were first imposed
on eight of the nine Affected Companies, E-Trade’s restriction of purchases for AMC and GME
occurred just before 3:00 PM on January 28, 2021.76
73
I note that Trading212 announced PCO equity restrictions prior to Robinhood on January 28,
2021 for only AMC and GME.
74
I note that Dr. Grenadier discusses the restrictions by Apex, which were communicated to
brokerages Webull and M1 Finance at 10:30AM ET. However, “GAME STOPPED: How the
Meme Stock Market Event Exposed Troubling Business Practices Inadequate Risk Management,
and the Need for Legislative and Regulatory Reform,” U.S. House Committee on Financial
Services, June 2022 (“HSFC Report”), cited by Dr. Grenadier, at ¶48 FN 72, states “Webull
complied with this instruction [received from Apex at 10:30AM ET] and at 11:30EST announced
the imposition of these instructions via posts on social media, specifically on Webull’s Facebook
page and via its Twitter account.[] Webull did not distribute notice of these restrictions in any other
manner.” (HSFC Report, pp. 78 and 80). Further, the HSFC Report, at page 81 and footnote 394,
states that “Functionally, it is the introducing broker that can permit or restrict trading for
individual trading clients and, therefore, once Apex communicated its directives to restrict trading
and then lift trading restrictions on the relevant stocks, each introducing broker would have
implemented such instructions in accordance with its own practices. As a result, each introducing
broker would have imposed and lifted restrictions at different times.”
75
Timing of Robinhood PCO Restrictions for each At-Issue Security per Grenadier Report,
Exhibit 2.
76
Grenadier Report, ¶48 citing: “E-Trade confirms it halted GameStop and AMC stock, will let
you buy some Friday,” The Verge, January 28, 2021.
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In Exhibit-6a through Exhibit-6i, I show intraday price charts annotated with PCO
restrictions for the same time period for each of the Nine Affected Companies. These exhibits
show that there was a negative stock price reaction following the announcement of the Robinhood
PCO Restrictions for each of the Nine Affected Companies. Indeed, as shown in the Grenadier
Report, each of the Affected Companies’ stocks experienced a negative, statistically significant
abnormal return on January 28, 2021.77
News coverage of the Affected Companies’ stocks on the morning of January 28,
2021 attributed the decline in their stock prices to the Robinhood PCO Restrictions. For example:
“Robinhood restricts trading in GameStop, other names involved in frenzy
Robinhood told clients in a blog post that it would close out some positions
automatically if the client was at risk of not having the necessary collateral. The
Menlo-Park, CA based said it plans to allow limited buys of these securities on
Friday. After the announcement, shares of GameStop initially reversed their gains,
sliding quickly into negative territory. The stock, which traded above $500 at one
point in premarket trading, closed down 44% on Thursday.”78
“Robinhood bans buying GameStop, AMC and other Reddit darlings
Citing ‘recent volatility,’ Robinhood said it will only allow users to close out their
positions in those stocks, which include Best Buy, Bed Bath & Beyond, Express
and Nokia. Following the move by Robinhood, shares of GameStop (GME) lost all
of their premarket gains and turned sharply negative.”79
77
Grenadier Report, Figure 7.
78
“Robinhood restricts trading in GameStop, other names involved in frenzy,” CNBC, dated
January 28, 2021 at 9:19 PM ET.
79
“Robinhood bans buying GameStop, AMC and other Reddit darlings,” CNN Business, dated
January 28, 2021 at 10:00 AM ET.
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Together, the evidence above indicates that investors, including arbitrageurs,
widely interpreted the Robinhood PCO Restrictions as news of an imposed endpoint to the stock
price increases from days prior. This context explains how the Robinhood PCO Restrictions
resulted in artificially distorted prices for the Nine Affected Companies’ stocks, as in the absence
of these restrictions there was some non-zero probability that the endpoint to the stock price
increases in the Nine Affected Companies would have continued into January 28, 2021 and
throughout the Class Period. This explanation contradicts Dr. Grenadier’s opinion that in an
efficient market he “see[s] no reason why restrictions on a subset of retail investors that account
for a fraction of the overall market would have ‘artificially distorted’ the stock price throughout
the proposed Class Period.”80
b. The Robinhood PCO Restrictions were the Only PCO
Restrictions Placed on Six of the Nine Affected
Companies
Both Dr. Grenadier and Mr. Fischel ignore the fact that the Robinhood PCO
Restrictions were the only PCO restrictions to be announced and implemented for six of the Nine
Affected Companies, namely BB, BBBY, EXPR, NOK, and TRVG. In Table-13 below, I show
the PCO restrictions by security for each restricting brokerage:
80
Grenadier Report, ¶149.
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Table-13: Equity PCO Restrictions Announced on January 28, 2021
For the Affected Companies
Pre-Market
Brokerage Open AMC BB BBBY EXPR GME KOSS NOK TR TRVG
[1] Trading 212 Yes X X
[2] Robinhood Yes X X X X X X X X X
[3] Webull No X X X
[4] M1 Finance No X X X
[5] Ally Financial No X X X
[6] SoFi No X X X
[7] E*TRADE No X X
Notes: TR is the only Robinhood restriction set after Market Open. The TR restriction was set at 9:54 AM. Additionally, I note there is evidence that Interactive
Brokers implemented PCO equity restrictions for BB, NOK, EXPR, KOSS, AMC, BBBY, and GME on January 28, 2021, but I have seen no public announcement
or news coverage of these restrictions, and therefore they could not be reflected in the stock prices of the At-Issue Securities. See HFSC Report, at footnote 478
and 479.
Sources: Brokerage list per Grenadier Report, ¶48 and Fischel Report, ¶40.
[1] "GameStop & AMC Entertainment In Reduce-Only Mode," Trading 212, January 28, 2021, at https://community.trading212.com/t/gamestop-amc-
entertainment-in-reduce-only-mode/41464.
[2] Grenadier Report, Exhibit 2.
[3] HFSC Report, p.79.
[4] M1 Finance Official Twitter, January 28, 2021, at https://twitter.com/M1Finance/status/1354837064072753152.
[5] Grenadier Report, ¶48; Fischel Report, ¶40; HCFS Report, p. 79.
[6] Grenadier Report, ¶48; HCFS Report, p. 79.
[7] HFSC Report, p.94; "E*Trade Restricts Purchases of Gamestop, AMC Shares," Bloomberg News, January 28, 2021, at
https://www.bloomberg.com/news/articles/2021-01-28/e-trade-restricts-purchases-of-gamestop-amc-shares.
Dr. Grenadier describes that to provide a reliable methodology to calculate class-
wide damages, Plaintiffs must provide a methodology that reliably estimates the but-for price of
the Nine Affected Companies assuming that “other retail brokers would have still imposed
restrictions.” 81 Table-13 illustrates how these “fundamental challenges” presented by Dr.
Grenadier to providing a reliable class-wide damages methodology are at least in part
disingenuous. In this case, the impact of the PCO restrictions for six of the Nine Affected
Companies can be reliably determined without any further steps, as no other PCO restrictions were
announced and implemented on January 28, 2021 and Robinhood’s various restrictions extended
beyond January 28, 2021. 82 Furthermore, as is common when assessing “confounding
information” in securities litigation, one could analyze elements and price reactions to each PCO
restriction to estimate the impact from each, and when that impact occurred.
81
Grenadier Report, ¶161.
82
Grenadier Report, ¶¶46-48.
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VIII. DAMAGES IN THIS MATTER CAN BE COMPUTED USING A COMMON
METHODOLOGY
Dr. Grenadier and Mr. Fischel raise concerns regarding the existence of a common
damages methodology in this case. While Mr. Fischel concludes that “Plaintiffs cannot provide a
common methodology to calculate damages,”83 Dr. Grenadier does not dispute that there is a
common damages methodology, but rather that “Plaintiffs face fundamental challenges in
providing a Class-wide damages methodology that is consistent with their theory of liability in this
action.”84 As explained in the Werner Declaration, damages can be computed using a common
class wide methodology.85 None of the concerns raised by Dr. Grenadier or Mr. Fischel provide
any reason to revise that conclusion.
Dr. Grenadier identifies four “fundamental challenges” that he opines will
complicate the implementation of a damages methodology in this case: (1) “Plaintiffs face
fundamental challenges in reliably determining the but-for price that would have prevailed had
Robinhood not imposed restrictions, if it is assumed that the markets for the At-Issue Stocks were
not efficient such that the trading restrictions could have affected stock prices”; (2) that any
damages methodology would purportedly have to “reconcile why the trading restrictions would
have affected the prices of the At-Issue Stocks (according to Plaintiffs’ allegations), but not the
prices of other stocks with similar restrictions”; (3) “that a damages methodology must be able to
account for an additional complicating factor in that Robinhood’s trading restrictions changed over
the proposed Class Period”; and (4) the damages methodology for Section 9(a) claims must “be
83
Fischel Report, Section IV.
84
Grenadier Report, Section VIII.
85
Werner Declaration, Sections III and IV.
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able to calculate the but-for prices where the subset of alleged actions specifically connected to
those claims were absent but the PCO restrictions and position limits were still in place.”86
Mr. Fischel supports his opinion that no common damages methodology exists with
three arguments: (1) “absent Robinhood’s and other brokers’ actions, there is no way to know in
the but-for world whether prices would have kept rising, how long they would have remained
artificially high, and how quickly they would have fallen to nonmanipulated levels”;87 (2) “small
changes in the timing of trades could alter whether or not an individual incurred a loss as a result
of a sale and therefore qualifies to be a potential Class Member”;88 and (3) “Plaintiffs also have no
way of disentangling the effects of confounding events.”89
I address these arguments below. There is considerable overlap between the
arguments of Dr. Grenadier and Mr. Fischel, and where that overlap occurs, I address the
arguments of both defense experts together.
As an initial matter, while I disagree with the foundations and relevance of Mr.
Fischel and Dr. Grenadier’s concerns, it is important to note that regardless of how such concerns
are resolved, any form of resolution would apply on a Class-wide basis. While Mr. Fischel and Dr.
Grenadier consider the potential valuation and computational complexities they raise to be
insurmountable, which they are not, it is nevertheless the case that any valuation or computation
86
Grenadier Report, ¶163 (emphasis added).
87
Fischel Report, ¶38. Of note, based off of his argument in paragraph 38 of his report, it appears
that Mr. Fischel considers Robinhood’s PCO restrictions to have impacted the prices of the
Affected Companies’ stocks.
88
Fischel Report, ¶39.
89
Fischel Report, ¶¶40-41.
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adjustment made to accommodate these potential issues would be made on a Class-wide basis, and
thus would not impact the class-wide applicability of the damages model.
A. The Market for the Seven Affected Companies Were Efficient At least Until
Robinhood’s Alleged Market Manipulation
Regarding market efficiency, I have demonstrated that Mr. Fischel’s and Dr.
Grenadier’s claims of market inefficiency are without merit and that the markets for the Seven
Affected Companies’ shares were efficient under the Cammer and Krogman criteria at least until
Robinhood’s alleged market manipulation commenced on January 28, 2021. As such, Dr.
Grenadier’s “fundamental challenge” to computing damages that relies on his “assumption” that
the markets for the Affected Companies’ stocks were inefficient are similarly without merit.
Because these markets were efficient during the Immediate Pre-Class Period, there
is no need to deviate from using market prices to establish the appropriate but-for price absent the
alleged market manipulation. Mr. Fischel’s speculation that prices may have continued to rise, or
perhaps fallen, absent Robinhood’s alleged manipulation is beside the point – the prices of the
Affected Companies’ stocks did fall from their January 27, 2021 closing prices following
Robinhood’s various restrictions, and any portion of that decline attributable to the allegedly
improper restrictions would serve as the basis (subject to adjustments) of damages.
Furthermore, Mr. Fischel suggests that some Plaintiffs would not have traded in the
but-for world and, therefore, “individualized inquiry is required”. This critique is irrelevant to the
existence of a common damages methodology. The but-for world focuses on the prices that the
Affected Companies’ stocks would have traded at absent any fraud or improper conduct, so that
damages can be assessed for investors who did transact in these stocks. The damages methodology
I presented in the Werner Declaration measures damages for Class members whose transactions
did occur in the real world.
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B. The Remainder of Mr. Fischel’s and Dr. Grenadier’s Concerns Will be
Addressed at the Appropriate Stage of the Case
The remainder of Dr. Grenadier’s and Mr. Fischel’s concern the potential valuation
complexities that may be encountered during the implementation of the damages methodology –
namely, potential complexities such as confounding information90 and time-varying inflation.91
Issues of confounding information and time-varying inflation are common in securities class
actions, and standard valuation tools are routinely applied to accommodate these potential
valuation complexities.
Each of the complexities that Defendants’ experts raise are appropriately addressed
in an analysis of loss causation and damages, and none are insurmountable. To detail precisely
how the implementation of the damage model will isolate damages attributable to the allegations,
separating out losses caused by potential other factors, necessarily requires the full development
of the record so that actionable allegations are confirmed and confounding information is
designated as such. What both Defendants’ experts state is necessary at the class certification stage
is in effect the full loss causation and damages analysis, which I understand is premature and not
required at this stage.
Dr. Grenadier also notes that “Robinhood imposed restrictions on 50 additional
stocks on January 29, 2021,”92 and that any damage methodology for the Affected Companies’
stocks should also analyze the price reaction to these 50 additional securities. I am unaware of,
90
Grenadier Report, ¶¶173-174 and Fischel Report, ¶¶40-41.
91
Grenadier Report, ¶¶171-172.
92
Grenadier Report, ¶170. While Dr. Grenadier states that Robinhood imposed restrictions on 50
additional stocks, it is my understanding that these 50 stocks are inclusive of the nine Affected
Companies.
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and Dr. Grenadier does not cite to any, legal or academic authority that requires a damages
methodology to take into account the security price changes for unrelated companies that are not
at issue in the instant case. As such, Dr. Grenadier’s argument about the “50 additional stocks” has
no relevance to the existence of a damages model that can measure damages commonly on a Class-
wide basis for the Affected Companies’ stocks.
IX. LIMITING FACTORS AND OTHER ASSUMPTIONS
My analyses and opinions are based on the information available as of the date of
this declaration. Should any additional data or information become available subsequent to the
submission of this report, I reserve the right to supplement or amend this declaration based on this
new information.
Dated: March 28, 2023
Adam Werner, PhD
Affiliated Expert,
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APPENDIX A
A. Examples of Retail Investor Analyses from Wallstreetbets
Below are a sample of posts from the social media website
www.reddit.com/r/wallstreetbets:
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B. Examples of Retail Investor Analyses from Twitter
Below are a sample of Twitter users’ posts about one or multiple Affected
Companies:
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C. Examples of Retail Investor Analyses from the Congressional Testimony of
Mr. Keith Gill
Below are a sample of Mr. Keith Gill’s congressional commentary:
“As an individual investor, I use publicly available information to study the market
and the value of specific companies. I consider a complex array of factors and track
hundreds of stocks - all in search of market inefficiencies. Like many people,
sometimes I post on social media my thoughts and analysis about individual stocks
and whether they are correctly valued.”93
“Between 2010 and 2014, I worked for a family friend at a start-up company in
New Hampshire, trying to build a software program that would help investors
analyze stocks and offer related research. We also tried to start an investment firm,
which dissolved not long after it was created. My salary never exceeded $40,000,
but I did learn something about investing. I learned how to do the tedious work of
digging through a company’s financials and focusing on its real long-term value,
not prevailing market sentiment or headlines.”94
“Two important factors, based entirely on publicly available information, gave me
and many others confidence that GameStop was undervalued in 2019 and 2020.
First, the market was underestimating the prospects of GameStop’s legacy business
and overestimating the likelihood of its going bankrupt. … Second, I believed –
and I continue to believe – that GameStop has the potential to reinvent itself as the
ultimate destination for gamers within the thriving $200 billion gaming industry.
The new console cycle provides GameStop a unique opportunity to pivot from a
traditionally brick- and-mortar mindset toward a technology-driven business that
excels in gaming products, experiences and services. By embracing the digital
economy, GameStop can pursue new revenues streams including larger gaming
catalogs, digital content and community experiences, online trade-ins, streaming
services, and Esports.”95
“The idea that I used social media to promote GameStop stock to unwitting
investors is preposterous. I was abundantly clear that my channel was for
93
https://www.washingtonpost.com/context/testimony-of-keith-patrick-gill-aka-roaring-
kitty/dbb18b2e-400c-4a10-8fc5-156e8856cfd1/
94
https://www.washingtonpost.com/context/testimony-of-keith-patrick-gill-aka-roaring-
kitty/dbb18b2e-400c-4a10-8fc5-156e8856cfd1/
95
https://www.washingtonpost.com/context/testimony-of-keith-patrick-gill-aka-roaring-
kitty/dbb18b2e-400c-4a10-8fc5-156e8856cfd1/
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educational purposes only, and that my aggressive style of investing was unlikely
to be suitable for most folks checking out the channel. Whether other individual
investors bought the stock was irrelevant to my thesis – my focus was on the
fundamentals of the business.”96
96
https://www.washingtonpost.com/context/testimony-of-keith-patrick-gill-aka-roaring-
kitty/dbb18b2e-400c-4a10-8fc5-156e8856cfd1/
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Exhibit-1
Curriculum Vitae
Adam Werner, Ph.D.
EDUCATION
1998 Northwestern University, Kellogg Graduate School of Management
Ph.D. in Finance
1992 Oberlin College
B.A. in Economics
TEACHING EXPERIENCE
2014 – Present Cal Poly San Luis Obispo
Orfalea College of Business
San Luis Obispo, CA
Lecturer in Economics
BUSINESS EXPERIENCE
2015 – Present Crowninshield Financial Research
2018 – 2021 Pismo Beach Planning Commission
2009 – 2015 Gnarus Advisors/Berkeley Economic Consulting
2008 – 2009 LitiNomics
2004 – 2008 CRA International
2000 – 2003 National Economic Research Associates, Inc.
1998 – 2000 Cornerstone Research
1992 – 1993 Federal Reserve Bank
PAPERS AND PUBLICATIONS
“The Impact of Underwriter Reputation on Equity Offering: An Empirical Study.”
Thesis, 1999.
“The Long-Run Performance of Underwriters and its Impact on Seasoned Equity
Offerings.” 1999.
“Dynamic Measures of Underwriter Reputation: A Study of IPO’s.” 1999.
“CAFE Economics: A Note on the Limits and Effectiveness of Fuel Economy
Regulation.” With Stephen Sheppard, 1992.
62
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Exhibit-1
Curriculum Vitae
Adam Werner, Ph.D.
“Trading Models Underestimate Securities Class Damages.” with Narinder Walia,
Law360, 2019.
“More ‘Dark Pools” Deepen Litigation Issues.” Law360, 2013.
“Recent Trends in Securities Class Action Litigation: Will Enron and Sarbanes-Oxley
Change the Tides.” with Elaine Buckberg, Todd Foster and Ronald Miller, 2003.
“The Effects of the PSLRA and Subsequent Events on Securities Litigation.” With Fred
Dunbar and Todd Foster, prepared for the New York City Bar Association, 2003.
“The Energy Tax: Who Pays?” joint with Mark Schweitzer, in Federal Reserve Bank of
Cleveland’s Economic Commentary, 1993.
PRESENTATIONS
“Cause or Effect: Are Settlement Statistics Driving Down Settlements?” Presentation to
Robbins Geller Rudman & Dowd, LLP in San Diego, CA on October 10, 2013, Wolf
Popper, LLP in New York, NY on September 18, 2013, Abraham, Fruchter & Twersky,
LLP in New York, NY on September 17, 2013, Robbins Geller Rudman & Dowd, LLP in
Melville, NY on September 11, 2013, Entwistle & Cappucci, LLP in New York, NY on
September 10, 2013, and Faruqi & Faruqi, LLP in New York, NY on September 10,
2013.
“The Economics of Securities Litigation.” Sidley & Austin in Los Angeles, CA on March
14, 2007.
“The Global Cost of Capital.” Panel discussion on valuing assets in foreign countries at
the University of Texas School of Law VALCON conference in Las Vegas on February
8, 2007.
“Economic Damages in Securities Fraud Matters.” NERA Luncheon Seminars with Alan
Cox given at the Fifth Avenue Suites Hotel in Portland, OR on November 19, 2002 and
at the W Hotel in Seattle, WA on November 20, 2002.
“Shareholder Class Actions: Calculation of Damages.” Presentation to Skadden, Arps,
Slate, Meagher & Flom, LLP in San Francisco, CA on October 30, 2002, Marsh FINPRO
in San Francisco, CA on September 18, 2002, Marsh Risk & Insurance Services in San
Diego, CA on September 17, 2002 and Marsh FINPRO in Los Angeles, CA on
September 13, 2002.
“Capital Formation: Class Action Litigation and Prevention.” Speech and panel
discussion focusing on securities class action litigation, which sometimes arise from
63
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Exhibit-1
Curriculum Vitae
Adam Werner, Ph.D.
initial public offerings and/or market volatility in the aftermarket. Presented at the 2002
CALBIO Summit in San Diego, CA on April 23, 2002.
“Shareholder Class Actions after the NASDAQ Bubble.” Speech given to the Securities
Litigation Sub-Committee of the Colorado Bar Association at Holland & Hart, LLP in
Denver, CO on April 17, 2002.
“Trends in Litigation: How Claims and Losses Are Valued.” Speech at the American
Bankers Association Insurance Risk Management Annual Conference in San Diego, CA
on February 4, 2002.
“Recent Trends in Securities Litigation.” “Basic Economic Analysis in Securities Class
Action” and “Challenging the Efficient Market Assumption in Securities Class Action
Matters.” presented to Cooley Godward in San Diego, CA on November 28, 2001.
“Recent Trends in Securities Litigation.” presentation with Marcia Mayer given at
Howard, Rice, Nemerovski, Canady, Falk & Rabkin in San Francisco, CA on November
27, 2001.
“Recent Trends in Securities Litigation.” presentation given to Marsh USA in Denver,
CO on November 8, 2001, and Thelen, Reid & Priest in Los Angeles, CA on November
6, 2001.
“Financial Economics in Litigation.” speech presented to Simpson, Thacher & Bartlett in
Palo Alto, CA on July 31, 2001, Baker & McKenzie in San Diego, CA on July 18, 2001,
Brobeck, Phleger & Harrison in San Francisco, CA on June 25, 2001 and to Latham &
Watkins in San Francisco, CA on June 26, 2001.
“Economic Analysis in Securities Fraud Cases.” Speech with Alan Cox delivered to
Morrison & Forester, San Francisco, CA on July 25, 2001.
“Recent Trends: Shareholder Class Actions Five Years After the PSLRA.” speech
presented to Shearman & Sterling in San Francisco, CA on May 23, 2001, O’Melveny &
Myers in Los Angeles, CA on May 30, 2001 and Gray, Cary, Ware & Freidenrich in San
Diego, CA on June 6, 2001.
EXPERT REPORTS AND TESTIMONY
In re XL Fleet Corp. Securities Litigation. Issued a declaration on market efficiency and
damages methodology in a securities class action (2023). (U.S.D.C. Southern District of
New York).
In re January 2021 Short Squeeze Trading Litigation. Issued a declaration on market
efficiency and damage methodology in a securities class action (2023). (U.S.D.C.
Southern District of Florida).
64
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Exhibit-1
Curriculum Vitae
Adam Werner, Ph.D.
In Re: NIO, Inc. Securities Litigation. Issued a declaration and provided deposition
testimony (2022) on market efficiency and issued a rebuttal declaration (2022) on market
efficiency and price impact in a securities class action. (Eastern District of New York).
Gelt Trading LTD. v. Co-Diagnostics, Inc., et al. Issued a declaration (2022) on market
efficiency and issued a rebuttal declaration (2022) on price impact in a securities class
action. ” (District of Utah, Central Division).
6D Global Technologies, Inc. Securities Litigation. Issued a declaration (2022) on loss
causation and damages in a securities class action. (Southern District of New York).
Securities and Exchange Commission v. Bradley C. Davis. Issued a report (2021), a
rebuttal report (2021), provided deposition testimony (2021), and provided trial testimony
(2022) on materiality in a case brought by the SEC (U.S.D.C. Central District of
California).
In Re: Omega Healthcare Investors, Inc. Securities Litigation. Issued a declaration
(2022), provided deposition testimony (2022), and issued a rebuttal declaration (2022) on
market efficiency in a securities class action. (Southern District of New York).
Andrew Trampe v. CD Projekt S.A. Issued a declaration (2022) on aggregate damages in
a securities class action. (Central District of California).
In re Global Brokerage, Inc. f/k/a/ FXCM Inc. Issued a report (2020), a rebuttal report
(2020), provided deposition testimony (2020) and testified (2020) on market efficiency in
a securities class action. Issued a report (2021), a rebuttal report (2021) and provided
deposition testimony (2021) on loss causation and damages (U.S.D.C. Southern District
of New York).
George Barney, et al. v. Nova Lifestyle, Inc., et al. Issued a report on market efficiency in
a securities class action (U.S.D.C. Central District of California, 2021).
Peter Voulgaris, et al. v. Array Biopharma Inc., et al. Issued a declaration on market
efficient in a securities class action (District of Colorado, 2021).
In re Innocoll Holdings Public Limited Company Securities Litigation. Issued a report
(2020), provided deposition testimony (2020) on market efficiency, and issued a rebuttal
report (2020) in a securities class action (U.S.D.C. Eastern District of Pennsylvania).
Michael Tietz, et al. v. Crytobloc Technologies Corp., et al. Issued a report on price
impact in a securities class action (Supreme Court of British Columbia, 2020).
65
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Exhibit-1
Curriculum Vitae
Adam Werner, Ph.D.
In re Horsehead Holding Corp. Securities Litigation. Issues a report (2020) and provided
deposition testimony (2020) on market efficiency in a securities class action (U.S.D.C.
District of Delaware).
Bing Li, et al. v. Aeterna Zentaris, Inc., et al. Issued a declaration (2016), a report (2017),
and provided deposition testimony (2017) on market efficiency in a securities class
action. Issued a declaration (2019) a reply report (2019), and provided deposition
testimony (2020) on loss causation and damages (U.S.D.C. District of New Jersey).
In re Patriot National Inc. Securities Litigation. Issued a declaration (2019) and a
supplemental declaration (2019) on damages in a securities class action (U.S.D.C.
Southern District of New York).
Hamza Ramzan, et al. v. GDS Holdings Limited, et al. Issued a declaration on NASDAQ
microstructure in a securities class action (U.S.D.C. Eastern District of Texas, Marshall
Division, 2019).
Ivan Nibur, et al. v. SandRidge Mississippian Trust I, et al. Issued a declaration (2018), a
reply declaration (2018), a supplemental reply declaration (2018), and provided
deposition testimony (2018) on market efficiency in a securities class action. Issued a
declaration (2019) a rebuttal declaration (2019), and provided deposition testimony
(2019) on loss causation and damages (U.S.D.C. Western District of Oklahoma).
In Re Insys Theraputics, Inc. Securities Litigation. Issued a report on market efficiency in
a securities class action (U.S.D.C. Southern District of New York, 2019).
In Re Spectrum Pharmaceuticals, Inc. Securities Litigation. Issued a declaration (2019)
and provided deposition testimony (2019) on market efficiency in a securities class action
(U.S.D.C. District of Nevada).
Amanda Beezley et al. v. Fenix Parts, Inc., et al. Issued a declaration on market
efficiency in a securities class action (U.S.D.C. Northern District of Illinois, Eastern
Division, 2019).
Michael Desta, et al. v. Volkswagen Aktiengesellschaft, et al. Issued a declaration
regarding benefits to firms that have ADRs listed in a securities class action (U.S.D.C.
Eastern District of New York, 2018).
Michael Desta, et al. v. Wins Finance Holdings Inc., et al. Issued a declaration (2018)
and provided deposition testimony (2018) on market efficiency in a securities class action
(U.S.D.C. Central District of California).
Andrew Meyer, et al. v. Concordia International Corp., et al. Issued a declaration (2018),
a reply declaration (2018), and provided deposition testimony (2018) on market
66
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Exhibit-1
Curriculum Vitae
Adam Werner, Ph.D.
efficiency in a securities class action. Issued a declaration (2018), a reply declaration
(2018), and provided deposition testimony (2018) on loss causation and damages
(U.S.D.C. Southern District of New York).
In re: K12 Securities Litigation. Issued a declaration (2018) and provided deposition
testimony (2018) on market efficiency in a securities class action (U.S.D.C. Northern
District of California).
Robert Colman, et al. v. Theranos, Inc., et al. Issued a declaration on damage
methodology and price impact in a securities class action (U.S.D.C. Northern District of
California, San Jose Division, 2018).
In re: CytRx Corporation Securities Litigation. Issued a declaration (2017) and provided
deposition testimony (2018) regarding market efficiency in a securities class action
(U.S.D.C. Central District of California).
Lord Abbett Affiliated Fund, Inc., et al. v. American International Group, Inc. Issued a
report regarding market efficiency, loss causation, and damages in a securities case
(U.S.D.C. Southern District of New York, 2017).
Xiaolin Chi, et al. v. Qiao Xing Universal Resources, Inc., et al. Issued a report on
damages in a securities class action (District Court of the Virgin Islands, St. Croix
Division, 2017).
John Hosey v. Twitter, Inc., et al. Issued a declaration (2017) and provided deposition
testimony (2017) regarding rebuttal to Defendants’ Motion for Summary Judgement in a
securities class action (Superior Court of the State of California, County of San Mateo).
Gwyn R. Hartman Revocable Living Trust v. Southern Michigan Bancorp, Inc. et al.
Issued a report on damages arising from alleged exclusions in a proxy solicitation
(U.S.D.C. Western District of Michigan, 2017).
Fred Kelsey, et al. v. Textura Corporation, et al. Issued a declaration (2017) and
provided deposition testimony (2017) on market efficiency in a securities class action
(U.S.D.C. Northern District of Illinois).
Dave Carlton, et al. v. Fred Cannon. Issued a declaration on market efficiency in a
securities class action (U.S.D.C. Southern District of Texas, Houston Division, 2016).
James Middlemiss v. Penn West Petroleum LTD., et al. Issued a report on damages in a
securities class action (Superior Court of Justice Ontario, Canada, 2016).
David Loritz, et al. v. Exide Technologies, et al. Issued a report on damages and loss
causation in a securities class action (U.S.D.C. Central District of California, 2015)
67
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Exhibit-1
Curriculum Vitae
Adam Werner, Ph.D.
Manishkumar Khunt, et al. v. Alibaba Group Holding Limited, et al. Issued a declaration
on potential investor damages in a securities class action (U.S.D.C. Southern District of
New York, 2015).
Biotechnology Value Fund, L.P. et al. v. Celera Corporation et al. Issued a report
(2014), a reply report (2014), a supplemental report (2014), and provided deposition
testimony (2014) on damages arising from a merger (U.S.D.C. Northern District of
California).
In re: Hi-Crush Partners L.P. Securities Litigation. Issued a declaration (2014), a
supplemental declaration (2014), and provided deposition testimony (2014) regarding
market efficiency in a securities class action (U.S.D.C. Southern District of New York).
Ian Mausner v. MarketByte LLC, et al. Issued a declaration about investment advisor
incentives and liquidity needs in a securities class action (U.S.D.C. Southern District of
California, 2014).
Artes Medical, Inc. v. Lemperle et al. Provided deposition testimony on behalf of
defendants about alleged damages caused by a proxy contest (Superior Court of the State
of California, County of San Diego, Central District, 2013).
In re: Ebix Inc. Securities Litigation. Issued a declaration (2012) and provided deposition
testimony (2013) regarding market efficiency in a securities class action (U.S.D.C.
Northern District of Georgia, Atlanta Division).
Erik Poole and William Rhody v. Alange Energy Corp., et al. Issued a report (2012) and a
reply report (2013) on market efficiency and damages in a securities class action
(Superior Court of Justice Ontario, Canada).
In re: Hecla Mining Securities Litigation. Issued a declaration on investor losses in a
securities class action (U.S.D.C. District of Idaho, 2012).
Mark Henning, Roman Zaretski and Chrisitan Stillmark v. Orient Paper, Inc. et al. Issued
a declaration (2011), a supplemental declaration (2012) and provided deposition
testimony (2012) regarding market efficiency in a securities class action (U.S.D.C.
Central District of California).
Carlos Munoz et al. v. China Expert Technology, Inc., et al. Issued a declaration (2012), a
supplemental declaration (2012) and provided deposition testimony (2012) in a securities
class action regarding market efficiency (U.S.D.C. Southern District of New York).
Theodore Dean, et al. v. China Agritech, Inc., et al. Issued a declaration (2012), a
supplemental declaration (2012) and provided deposition testimony (2012) in a case
68
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108
Exhibit-1
Curriculum Vitae
Adam Werner, Ph.D.
regarding market efficiency in a securities class action (U.S.D.C. Central District of
California).
Robert Michael Shenk, Derivatively on Behalf of Sirius XM Radio Inc. v. Melvin Alan
Karmazin, et al. Issued an expert report (2011), a supplemental expert report (2012) and
provided deposition testimony (2012) in a case involving damages in a shareholder
derivative matter (U.S.D.C. Southern District of New York).
Pathway Investments Pty Ltd and Doystoy Pty Ltd v. National Australia Bank Ltd.
Submitted a report on survey techniques, the efficient market hypothesis and liquidity in
a securities class action (Supreme Court of Victoria at Melbourne, Australia, Commercial
and Equity Division, Commercial Court, 2012).
Bruce Simmonds, Robert Grant and Gordon Moore v. Armtec Infrastructure Inc. et al.
Issued a report on market efficiency and damages in a securities class action (Superior
Court of Justice Ontario, Canada, 2011).
In re: BP plc. Securities Litigation. Issued a declaration regarding damages and
materiality in a securities class action (U.S.D.C. Southern District of Texas, Houston
Division, 2010).
In re: Tripath Technology Inc., Debtor. Issued a report (2009) and provided deposition
testimony (2010) regarding damages arising from Directors’ and Officers’ breach of
fiduciary duty in bankruptcy court (U.S.D.C. Northern District of California, San Jose
Division).
David Ainslie and Muriel Marentette v. CV Technologies et al. Issued a report estimating
damages in a securities class action (Superior Court of Justice, Ontario, Canada, 2010).
Harry Stackhouse, on Behalf of Himself and All Others Similarly Situated v. Toyota
Motor Corporation, et al. Issued a declaration regarding the relationship between
Toyota’s U.S. stock price and Japanese stock price in a securities class action (U.S.D.C.
Central District of California, 2010).
Phillip Elliot and William Kormos v. NovaGold Resources Inc., et al. Issued a declaration
in a securities class action regarding trading volume in the U.S. versus Canada. (Superior
Court of Justice, Ontario, Canada, 2010).
International Arbitration between a private equity firm and Chinese biotech company.
Issued a report (2008) and testified (2009) before an International Arbitration Committee
regarding the value of a private equity investment.
69
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108
Exhibit-1
Curriculum Vitae
Adam Werner, Ph.D.
Arbitration between Albert Richards and Old Republic Title Insurance. Deposed
regarding estimated damages incurred by plaintiff as a result of a forced sale of Russian
securities due to Old Republic’s breach of contract (2008).
Californians United for a Responsible Budget, et al., v. California State Public Works
Board, et al. Issued a report on the cost of issuing revenue bonds to fund California
prison expansion (The Superior Court for the State of California, County of Sacramento,
2008).
Arbitration between Daniel Lyons and Morgan Lyons, and Chinese Hospital Association
and Sam English. Deposed regarding plaintiffs’ calculated damages arising from asbestos
exposure for plaintiff (2003).
70
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Exhibit-2
Documents Considered
In Addition to Those Cited in the Werner Declaration
CASE DOCUMENTS
Declaration of Dr. Adam Werner, dated February 16, 2023.
Report of Daniel R. Fischel, dated February 16, 2023.
Expert Report of Professor Steven Grenadier, dated February 16, 2023.
NEWS ARTICLES AND PRESS RELEASES
“Robinhood restricts trading in GameStop, other names involved in frenzy,” CNBC,
dated January 28, 2021 at 9:19 PM ET.
“Robinhood bans buying GameStop, AMC and other Reddit darlings,” CNN
Business, dated January 28, 2021 at 10:00 AM ET.
ACADEMIC AND PROFESSIONAL LITERATURE
Boehmer, Ekkehart, Charles M. Jones, Xiaoyan Zhang, and Xinran Zhang, “Tracking
Retail Investor Activity,”, Journal of Finance, Vol 76, No. 5.
Farrell, Michael, T. Clifton Green, Russell James, and Stanimir Markov, “The
Democratization of Investment Research and the Informativeness of Retail Investor
Trading,”, Journal of Financial Economics, 145, 2022.
Fischel, Daniel R., “Efficient Capital Market the Crash and the Fraud on the Market
Theory,”, Cornell Law Review 907, 1989.
Jones, Charles M., Adam V. Reed, and William Waller, “When Brokerages Restrict
Retail Investors, Does the Game Stop?”, Columbia Business School Research Paper
Forthcoming, 2021, https://ssrn.com/abstract=3804446.
Kaufman, Michael J., “Regressing: The Troubling Dispositive Role of Event Studies
in Securities Fraud Litigation.,” 15 Stan. J.L. Bus. & Fin. 183(2009).
MacKinlay, A. Craig, “Event Studies in Economics and Finance,”, Journal of
Economic Literature, March 1997.
Piotroski, Joseph D. and Darren T. Roulstone, “The Influence of Analysts,
Institutional Investors, and Insiders on the Incorporation of Market, Industry, and
Firm-Specific Information into Stock Prices,”, The Accounting Review, vol. 79, no. 4,
2004.
Reference Manual on Scientific Evidence, 3rd ed., Washington: The National
Academies Press, 2011.
Rosen, Richard “Merger Momentum and Investor Sentiment: The Stock Market
Reaction to Merger Announcements,”, The Journal of Business, 2006.
Schipper, Katherine and Rex Thompson, “Evidence on the Capitalized Value of
Merger Activity for Acquiring Firms,”, The Journal of Financial Economics, Vol. 11,
1983.
71
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108
Exhibit-2
Documents Considered
In Addition to Those Cited in the Werner Declaration
LEGAL CASES
In re: Initial Public Offering Securities Litigation, Opinion and Order, dated June 10,
2009.
BATE STAMPED DOCUMENTS
RHMDL00047970
OTHER
www.twitter.com
www.reddit.com/r/wallstreetbets/
“The Rise of Newly Empowered Retail Investors,” Report from the Deloitte Center
for Financial Services.
“GAME STOPPED: How the Meme Stock Market Event Exposed Troubling
Business Practices, Inadequate Risk Management, and the Need for Legislative and
Regulatory Reform,” U.S. House Committee on Financial Services, June 2022
(“HFSC Report”).
“Staff Report on Equity and Options Market Structure Conditions in Early 2021,”
U.S. Securities and Exchange Commission, October 14, 2021.
https://www.washingtonpost.com/context/testimony-of-keith-patrick-gill-aka-roaring-
kitty/dbb18b2e-400c-4a10-8fc5-156e8856cfd1/
72
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Exhibit-3a
AMC Market Efficiency Statistics
January 4, 2021 through January 27, 2021
Closing Average
Log Closing Closing Bid/Ask Bid/Ask Outstanding Market
Date Closing Price Dividend Return Volume Bid Ask Spread Spread % Shares Capitalization
[a] [b] [b] [c] [d] [e] [f] [g]
1/4/2021 $2.01 $0.00 -5.33% 29,873,796 $2.01 $2.02 $0.01 0.50% 172,563,249 $346,852,130
1/5/2021 $1.98 $0.00 -1.50% 28,148,314 $1.98 $1.99 $0.01 0.50% 172,563,249 $341,675,233
1/6/2021 $2.01 $0.00 1.50% 67,363,337 $2.01 $2.02 $0.01 0.50% 172,563,249 $346,852,130
1/7/2021 $2.05 $0.00 1.97% 26,150,489 $2.05 $2.06 $0.01 0.49% 172,563,249 $353,754,660
1/8/2021 $2.14 $0.00 4.30% 39,553,343 $2.13 $2.14 $0.01 0.47% 172,563,249 $369,285,353
1/11/2021 $2.20 $0.00 2.77% 41,695,836 $2.19 $2.20 $0.01 0.46% 172,563,249 $379,639,148
1/12/2021 $2.29 $0.00 4.01% 41,784,333 $2.28 $2.29 $0.01 0.44% 172,563,249 $395,169,840
1/13/2021 $2.18 $0.00 -4.92% 45,847,659 $2.17 $2.18 $0.01 0.46% 172,563,249 $376,187,883
1/14/2021 $2.18 $0.00 0.00% 49,638,794 $2.17 $2.18 $0.01 0.46% 172,563,249 $376,187,883
1/15/2021 $2.33 $0.00 6.65% 162,356,375 $2.32 $2.33 $0.01 0.43% 172,563,249 $402,072,370
1/19/2021 $3.06 $0.00 27.25% 256,276,010 $3.05 $3.06 $0.01 0.33% 172,563,249 $528,043,542
1/20/2021 $2.97 $0.00 -2.99% 181,862,210 $2.96 $2.97 $0.01 0.34% 172,563,249 $512,512,850
1/21/2021 $2.98 $0.00 0.34% 64,823,844 $2.97 $2.98 $0.01 0.34% 172,563,249 $514,238,482
1/22/2021 $3.51 $0.00 16.37% 268,273,367 $3.51 $3.52 $0.01 0.28% 172,563,249 $605,697,004
1/25/2021 $4.42 $0.00 23.05% 443,238,115 $4.40 $4.41 $0.01 0.23% 172,563,249 $762,729,561
1/26/2021 $4.96 $0.00 11.53% 456,850,232 $4.94 $4.95 $0.01 0.20% 172,563,249 $855,913,715
1/27/2021 $19.90 $0.00 138.93% 1,253,254,000 $19.83 $19.89 $0.06 0.30% 172,563,249 $3,434,008,655
Average $3.72 $0.00 13.17% 203,352,356 $3.70 $3.72 $0.01 0.39% 172,563,249 $641.2 million
Median $2.29 $0.00 2.77% 64,823,844 $2.28 $2.29 $0.01 0.44% 172,563,249 $395.2 million
High $19.90 $0.00 138.93% 1,253,254,000 $19.83 $19.89 $0.06 0.50% 172,563,249 $3,434.0 million
Low $1.98 $0.00 -5.33% 26,150,489 $1.98 $1.99 $0.01 0.20% 172,563,249 $341.7 million
Sources: CRSP & SEC Filings.
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Exhibit-3b
BB Market Efficiency Statistics
January 4, 2021 through January 27, 2021
Closing Average
Log Closing Closing Bid/Ask Bid/Ask Outstanding Market
Date Closing Price Dividend Return Volume Bid Ask Spread Spread % Shares Capitalization
[a] [b] [b] [c] [d] [e] [f] [g]
1/4/2021 $6.58 $0.00 -0.76% 11,139,231 $6.58 $6.59 $0.01 0.15% 562,634,092 $3,702,132,325
1/5/2021 $6.77 $0.00 2.85% 9,108,900 $6.77 $6.78 $0.01 0.15% 562,634,092 $3,809,032,803
1/6/2021 $6.71 $0.00 -0.89% 11,022,286 $6.71 $6.72 $0.01 0.15% 562,634,092 $3,775,274,757
1/7/2021 $7.06 $0.00 5.08% 13,062,758 $7.06 $7.07 $0.01 0.14% 562,634,092 $3,972,196,690
1/8/2021 $7.56 $0.00 6.84% 23,039,275 $7.55 $7.56 $0.01 0.13% 562,634,092 $4,253,513,736
1/11/2021 $7.65 $0.00 1.18% 15,749,559 $7.64 $7.65 $0.01 0.13% 562,634,092 $4,304,150,804
1/12/2021 $7.63 $0.00 -0.26% 9,416,014 $7.62 $7.63 $0.01 0.13% 562,634,092 $4,292,898,122
1/13/2021 $7.44 $0.00 -2.52% 8,345,519 $7.43 $7.44 $0.01 0.13% 562,634,092 $4,185,997,644
1/14/2021 $9.11 $0.00 20.25% 65,231,338 $9.09 $9.10 $0.01 0.11% 562,634,092 $5,125,596,578
1/15/2021 $9.84 $0.00 7.71% 153,854,663 $9.83 $9.84 $0.01 0.10% 562,634,092 $5,536,319,465
1/19/2021 $12.35 $0.00 22.72% 112,483,169 $12.34 $12.35 $0.01 0.08% 562,634,092 $6,948,531,036
1/20/2021 $12.79 $0.00 3.50% 130,140,695 $12.77 $12.79 $0.02 0.16% 562,634,092 $7,196,090,037
1/21/2021 $12.85 $0.00 0.47% 63,464,952 $12.83 $12.84 $0.01 0.08% 562,634,092 $7,229,848,082
1/22/2021 $14.04 $0.00 8.86% 120,473,629 $14.03 $14.04 $0.01 0.07% 562,634,092 $7,899,382,652
1/25/2021 $18.03 $0.00 25.01% 363,829,082 $18.03 $18.04 $0.01 0.06% 562,634,092 $10,144,292,679
1/26/2021 $18.92 $0.00 4.82% 242,740,763 $18.80 $18.81 $0.01 0.05% 562,634,092 $10,645,037,021
1/27/2021 $25.10 $0.00 28.26% 372,222,608 $25.03 $25.04 $0.01 0.04% 562,634,092 $14,122,115,709
Average $11.20 $0.00 7.83% 101,489,673 $11.18 $11.19 $0.01 0.11% 562,634,092 $6,302.5 million
Median $9.11 $0.00 4.82% 63,464,952 $9.09 $9.10 $0.01 0.13% 562,634,092 $5,125.6 million
High $25.10 $0.00 28.26% 372,222,608 $25.03 $25.04 $0.02 0.16% 562,634,092 $14,122.1 million
Low $6.58 $0.00 -2.52% 8,345,519 $6.58 $6.59 $0.01 0.04% 562,634,092 $3,702.1 million
Sources: CRSP & SEC Filings.
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Exhibit-3c
BBBY Market Efficiency Statistics
January 4, 2021 through January 27, 2021
Closing Average
Log Closing Closing Bid/Ask Bid/Ask Outstanding Market
Date Closing Price Dividend Return Volume Bid Ask Spread Spread % Shares Capitalization
[a] [b] [b] [c] [d] [e] [f] [g]
1/4/2021 $18.03 $0.00 1.51% 13,929,307 $18.03 $18.05 $0.02 0.11% 121,214,724 $2,185,501,474
1/5/2021 $19.76 $0.00 9.16% 13,642,795 $19.76 $19.77 $0.01 0.05% 121,214,724 $2,395,202,946
1/6/2021 $21.03 $0.00 6.23% 19,048,259 $21.02 $21.03 $0.01 0.05% 121,214,724 $2,549,145,646
1/7/2021 $18.73 $0.00 -11.58% 39,271,433 $18.72 $18.73 $0.01 0.05% 121,214,724 $2,270,351,781
1/8/2021 $18.94 $0.00 1.11% 11,184,462 $18.93 $18.94 $0.01 0.05% 121,214,724 $2,295,806,873
1/11/2021 $20.49 $0.00 7.87% 16,114,142 $20.48 $20.49 $0.01 0.05% 121,214,724 $2,483,689,695
1/12/2021 $21.53 $0.00 4.93% 8,796,418 $21.52 $21.53 $0.01 0.05% 121,214,724 $2,609,146,934
1/13/2021 $23.02 $0.00 6.71% 18,978,990 $23.03 $23.04 $0.01 0.04% 121,214,724 $2,790,362,946
1/14/2021 $27.34 $0.00 17.20% 29,152,145 $27.33 $27.34 $0.01 0.04% 121,214,724 $3,314,010,554
1/15/2021 $25.60 $0.00 -6.60% 13,639,220 $25.59 $25.60 $0.01 0.04% 121,214,724 $3,102,490,861
1/19/2021 $25.03 $0.00 -2.23% 9,006,910 $25.02 $25.03 $0.01 0.04% 121,214,724 $3,034,004,542
1/20/2021 $24.97 $0.00 -0.24% 7,010,945 $24.98 $24.99 $0.01 0.04% 121,214,724 $3,026,731,658
1/21/2021 $26.87 $0.00 7.33% 16,623,258 $26.85 $26.86 $0.01 0.04% 121,214,724 $3,257,039,634
1/22/2021 $30.21 $0.00 11.72% 38,905,657 $30.18 $30.21 $0.03 0.10% 121,214,724 $3,661,896,812
1/25/2021 $30.68 $0.00 1.54% 88,702,345 $30.67 $30.68 $0.01 0.03% 121,214,724 $3,718,867,732
1/26/2021 $36.87 $0.00 18.38% 63,881,930 $36.81 $36.86 $0.05 0.14% 121,214,724 $4,469,186,874
1/27/2021 $52.89 $0.00 36.08% 89,784,262 $52.94 $52.95 $0.01 0.02% 121,214,724 $6,411,046,752
Average $26.00 $0.00 6.42% 29,274,852 $25.99 $26.01 $0.01 0.05% 121,214,724 $3,151.4 million
Median $24.97 $0.00 6.23% 16,623,258 $24.98 $24.99 $0.01 0.05% 121,214,724 $3,026.7 million
High $52.89 $0.00 36.08% 89,784,262 $52.94 $52.95 $0.05 0.14% 121,214,724 $6,411.0 million
Low $18.03 $0.00 -11.58% 7,010,945 $18.03 $18.05 $0.01 0.02% 121,214,724 $2,185.5 million
Sources: CRSP & SEC Filings.
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Exhibit-3d
EXPR Market Efficiency Statistics
January 4, 2021 through January 27, 2021
Closing Average
Log Closing Closing Bid/Ask Bid/Ask Outstanding Market
Date Closing Price Dividend Return Volume Bid Ask Spread Spread % Shares Capitalization
[a] [b] [b] [c] [d] [e] [f] [g]
1/4/2021 $0.93 $0.00 2.67% 3,238,164 $0.94 $0.94 $0.00 0.01% 64,947,502 $60,699,935
1/5/2021 $0.96 $0.00 2.98% 2,300,439 $0.97 $0.97 $0.00 0.24% 64,947,502 $62,537,950
1/6/2021 $1.00 $0.00 3.78% 2,407,674 $1.00 $1.01 $0.01 1.00% 64,947,502 $64,947,502
1/7/2021 $1.02 $0.00 1.98% 2,548,946 $1.02 $1.03 $0.01 0.98% 64,947,502 $66,246,452
1/8/2021 $1.04 $0.00 1.94% 2,587,059 $1.03 $1.04 $0.01 0.97% 64,947,502 $67,545,402
1/11/2021 $1.00 $0.00 -4.20% 3,595,967 $1.00 $1.00 $0.00 0.01% 64,947,502 $64,765,649
1/12/2021 $1.05 $0.00 5.16% 3,438,177 $1.04 $1.05 $0.01 0.96% 64,947,502 $68,194,877
1/13/2021 $1.03 $0.00 -1.92% 2,056,567 $1.03 $1.04 $0.01 0.97% 64,947,502 $66,895,927
1/14/2021 $1.28 $0.00 21.73% 50,952,900 $1.27 $1.28 $0.01 0.78% 64,947,502 $83,132,803
1/15/2021 $1.26 $0.00 -1.57% 8,498,349 $1.25 $1.26 $0.01 0.80% 64,947,502 $81,833,853
1/19/2021 $1.21 $0.00 -4.05% 3,768,030 $1.20 $1.21 $0.01 0.83% 64,947,502 $78,586,477
1/20/2021 $1.16 $0.00 -4.22% 3,213,601 $1.16 $1.17 $0.01 0.86% 64,947,502 $75,339,102
1/21/2021 $1.17 $0.00 0.86% 5,279,111 $1.16 $1.17 $0.01 0.86% 64,947,502 $75,988,577
1/22/2021 $1.79 $0.00 42.52% 77,272,988 $1.78 $1.79 $0.01 0.56% 64,947,502 $116,256,029
1/25/2021 $4.15 $0.00 84.09% 358,630,191 $4.15 $4.16 $0.01 0.24% 64,947,502 $269,532,133
1/26/2021 $3.04 $0.00 -31.13% 73,344,309 $3.03 $3.04 $0.01 0.33% 64,947,502 $197,440,406
1/27/2021 $9.55 $0.00 114.47% 287,577,238 $9.55 $9.64 $0.09 0.94% 64,947,502 $620,248,644
Average $1.92 $0.00 13.83% 52,394,689 $1.92 $1.93 $0.01 0.67% 64,947,502 $124.7 million
Median $1.16 $0.00 1.98% 3,595,967 $1.16 $1.17 $0.01 0.83% 64,947,502 $75.3 million
High $9.55 $0.00 114.47% 358,630,191 $9.55 $9.64 $0.09 1.00% 64,947,502 $620.2 million
Low $0.93 $0.00 -31.13% 2,056,567 $0.94 $0.94 $0.00 0.01% 64,947,502 $60.7 million
Sources: CRSP & SEC Filings.
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Exhibit-3e
GME Market Efficiency Statistics
January 4, 2021 through January 27, 2021
Closing Average
Log Closing Closing Bid/Ask Bid/Ask Outstanding Market
Date Closing Price Dividend Return Volume Bid Ask Spread Spread % Shares Capitalization
[a] [b] [b] [c] [d] [e] [f] [g]
1/4/2021 $17.25 $0.00 -8.82% 10,022,474 $17.24 $17.25 $0.01 0.06% 69,746,960 $1,203,135,060
1/5/2021 $17.37 $0.00 0.69% 4,961,457 $17.37 $17.38 $0.01 0.06% 69,746,960 $1,211,504,695
1/6/2021 $18.36 $0.00 5.54% 6,056,248 $18.38 $18.39 $0.01 0.05% 69,746,960 $1,280,554,186
1/7/2021 $18.08 $0.00 -1.54% 6,129,276 $18.09 $18.12 $0.03 0.17% 69,746,960 $1,261,025,037
1/8/2021 $17.69 $0.00 -2.18% 6,481,960 $17.68 $17.69 $0.01 0.06% 69,746,960 $1,233,823,722
1/11/2021 $19.94 $0.00 11.97% 14,927,612 $19.92 $19.94 $0.02 0.10% 69,746,960 $1,390,754,382
1/12/2021 $19.95 $0.00 0.05% 7,060,665 $19.93 $19.94 $0.01 0.05% 69,746,960 $1,391,451,852
1/13/2021 $31.40 $0.00 45.36% 144,501,736 $31.38 $31.40 $0.02 0.06% 69,746,960 $2,190,054,544
1/14/2021 $39.91 $0.00 23.98% 93,717,410 $39.91 $39.92 $0.01 0.03% 69,746,960 $2,783,601,174
1/15/2021 $35.50 $0.00 -11.71% 46,866,358 $35.49 $35.50 $0.01 0.03% 69,746,960 $2,476,017,080
1/19/2021 $39.36 $0.00 10.32% 74,721,924 $39.51 $39.52 $0.01 0.03% 69,746,960 $2,745,240,346
1/20/2021 $39.12 $0.00 -0.61% 33,471,789 $39.12 $39.13 $0.01 0.03% 69,746,960 $2,728,501,075
1/21/2021 $43.03 $0.00 9.53% 57,079,754 $43.01 $43.03 $0.02 0.05% 69,746,960 $3,001,211,689
1/22/2021 $65.01 $0.00 41.26% 197,157,946 $64.75 $65.00 $0.25 0.39% 69,746,960 $4,534,249,870
1/25/2021 $76.79 $0.00 16.65% 177,874,000 $76.74 $76.78 $0.04 0.05% 69,746,960 $5,355,869,058
1/26/2021 $147.98 $0.00 65.60% 178,587,974 $145.43 $146.00 $0.57 0.39% 69,746,960 $10,321,155,141
1/27/2021 $347.51 $0.00 85.37% 93,396,666 $344.88 $345.01 $0.13 0.04% 69,746,960 $24,237,766,767
Average $58.49 $0.00 17.15% 67,824,426 $58.17 $58.24 $0.07 0.10% 69,746,960 $4,079.2 million
Median $35.50 $0.00 9.53% 46,866,358 $35.49 $35.50 $0.01 0.05% 69,746,960 $2,476.0 million
High $347.51 $0.00 85.37% 197,157,946 $344.88 $345.01 $0.57 0.39% 69,746,960 $24,237.8 million
Low $17.25 $0.00 -11.71% 4,961,457 $17.24 $17.25 $0.01 0.03% 69,746,960 $1,203.1 million
Sources: CRSP & SEC Filings.
77
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Exhibit-3f
NOK Market Efficiency Statistics
January 4, 2021 through January 27, 2021
Closing Average
Log Closing Closing Bid/Ask Bid/Ask Outstanding Market
Date Closing Price Dividend Return Volume Bid Ask Spread Spread % Shares Capitalization
[a] [b] [b] [c] [d] [e] [f] [g]
1/4/2021 $3.89 $0.00 -0.51% 30,281,398 $3.88 $3.89 $0.01 0.26% 770,246,104 $2,996,257,345
1/5/2021 $4.04 $0.00 3.78% 38,446,227 $4.03 $4.04 $0.01 0.25% 770,246,104 $3,111,794,260
1/6/2021 $4.04 $0.00 0.00% 37,467,360 $4.04 $4.05 $0.01 0.25% 770,246,104 $3,111,794,260
1/7/2021 $3.99 $0.00 -1.25% 25,317,959 $3.99 $4.00 $0.01 0.25% 770,246,104 $3,073,281,955
1/8/2021 $3.93 $0.00 -1.52% 23,978,662 $3.93 $3.94 $0.01 0.25% 770,246,104 $3,027,067,189
1/11/2021 $3.87 $0.00 -1.54% 37,059,417 $3.87 $3.88 $0.01 0.26% 770,246,104 $2,980,852,422
1/12/2021 $4.01 $0.00 3.55% 26,064,982 $4.01 $4.02 $0.01 0.25% 770,246,104 $3,088,686,877
1/13/2021 $3.98 $0.00 -0.75% 33,763,393 $3.97 $3.98 $0.01 0.25% 770,246,104 $3,065,579,494
1/14/2021 $4.09 $0.00 2.73% 93,198,577 $4.08 $4.09 $0.01 0.24% 770,246,104 $3,150,306,565
1/15/2021 $4.08 $0.00 -0.24% 36,639,348 $4.09 $4.10 $0.01 0.24% 770,246,104 $3,142,604,104
1/19/2021 $4.13 $0.00 1.22% 40,539,361 $4.12 $4.13 $0.01 0.24% 770,246,104 $3,181,116,410
1/20/2021 $4.20 $0.00 1.68% 43,924,067 $4.20 $4.21 $0.01 0.24% 770,246,104 $3,235,033,637
1/21/2021 $4.22 $0.00 0.48% 22,054,873 $4.22 $4.23 $0.01 0.24% 770,246,104 $3,250,438,559
1/22/2021 $4.20 $0.00 -0.48% 29,126,724 $4.19 $4.20 $0.01 0.24% 770,246,104 $3,235,033,637
1/25/2021 $4.85 $0.00 14.39% 296,379,275 $4.84 $4.85 $0.01 0.21% 770,246,104 $3,735,693,604
1/26/2021 $4.73 $0.00 -2.51% 379,387,253 $4.72 $4.73 $0.01 0.21% 770,246,104 $3,643,264,072
1/27/2021 $6.55 $0.00 32.55% 1,144,059,000 $6.61 $6.63 $0.02 0.30% 770,246,104 $5,045,111,981
Average $4.28 $0.00 3.03% 137,511,052 $4.28 $4.29 $0.01 0.25% 770,246,104 $3,298.5 million
Median $4.08 $0.00 0.00% 37,059,417 $4.08 $4.09 $0.01 0.25% 770,246,104 $3,142.6 million
High $6.55 $0.00 32.55% 1,144,059,000 $6.61 $6.63 $0.02 0.30% 770,246,104 $5,045.1 million
Low $3.87 $0.00 -2.51% 22,054,873 $3.87 $3.88 $0.01 0.21% 770,246,104 $2,980.9 million
Sources: CRSP & SEC Filings.
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108
Exhibit-3g
TRVG Market Efficiency Statistics
January 4, 2021 through January 27, 2021
Closing Average
Log Closing Closing Bid/Ask Bid/Ask Outstanding Market
Date Closing Price Dividend Return Volume Bid Ask Spread Spread % Shares Capitalization
[a] [b] [b] [c] [d] [e] [f] [g]
1/4/2021 $2.27 $0.00 -6.40% 1,575,836 $2.26 $2.27 $0.01 0.44% 55,967,976 $127,047,306
1/5/2021 $2.29 $0.00 0.88% 799,447 $2.28 $2.29 $0.01 0.44% 55,967,976 $128,166,665
1/6/2021 $2.20 $0.00 -4.01% 927,331 $2.21 $2.22 $0.01 0.45% 55,967,976 $123,129,547
1/7/2021 $2.24 $0.00 1.80% 628,257 $2.24 $2.26 $0.02 0.89% 55,967,976 $125,368,266
1/8/2021 $2.35 $0.00 4.79% 1,048,039 $2.34 $2.35 $0.01 0.43% 55,967,976 $131,524,744
1/11/2021 $2.32 $0.00 -1.28% 808,612 $2.30 $2.31 $0.01 0.43% 55,967,976 $129,845,704
1/12/2021 $2.30 $0.00 -0.87% 459,663 $2.30 $2.31 $0.01 0.43% 55,967,976 $128,726,345
1/13/2021 $2.26 $0.00 -1.75% 987,595 $2.24 $2.25 $0.01 0.45% 55,967,976 $126,487,626
1/14/2021 $2.23 $0.00 -1.34% 589,697 $2.23 $2.24 $0.01 0.45% 55,967,976 $124,808,586
1/15/2021 $2.16 $0.00 -3.19% 1,001,722 $2.16 $2.17 $0.01 0.46% 55,967,976 $120,890,828
1/19/2021 $2.15 $0.00 -0.46% 1,219,669 $2.14 $2.18 $0.04 1.85% 55,967,976 $120,331,148
1/20/2021 $2.11 $0.00 -1.88% 1,094,513 $2.11 $2.13 $0.02 0.94% 55,967,976 $118,092,429
1/21/2021 $2.18 $0.00 3.26% 689,571 $2.17 $2.18 $0.01 0.46% 55,967,976 $122,010,188
1/22/2021 $2.19 $0.00 0.46% 776,106 $2.18 $2.19 $0.01 0.46% 55,967,976 $122,569,867
1/25/2021 $2.18 $0.00 -0.46% 1,178,420 $2.18 $2.19 $0.01 0.46% 55,967,976 $122,010,188
1/26/2021 $2.10 $0.00 -3.74% 1,305,030 $2.10 $2.11 $0.01 0.48% 55,967,976 $117,532,750
1/27/2021 $3.19 $0.00 41.81% 43,930,881 $3.17 $3.19 $0.02 0.63% 55,967,976 $178,537,843
Average $2.28 $0.00 1.63% 3,471,788 $2.27 $2.28 $0.01 0.60% 55,967,976 $127.5 million
Median $2.23 $0.00 -0.87% 987,595 $2.23 $2.24 $0.01 0.46% 55,967,976 $124.8 million
High $3.19 $0.00 41.81% 43,930,881 $3.17 $3.19 $0.04 1.85% 55,967,976 $178.5 million
Low $2.10 $0.00 -6.40% 459,663 $2.10 $2.11 $0.01 0.43% 55,967,976 $117.5 million
Sources: CRSP & SEC Filings.
79
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Exhibit-4a
AMC News Dates
January 21, 2021 through January 27, 2021
News Identified in News Identified in
Date Fischel Report? Grenadier Report? News Days?
1/21/2021 - - -
1/22/2021 Yes Yes Yes
1/25/2021 Yes Yes Yes
1/26/2021 Yes Yes Yes
1/27/2021 Yes Yes Yes
Sources: Fischel Report, Appendix D and Grenadier Report, Appendix E.
80
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108
Exhibit-4b
BB News Dates
January 21, 2021 through January 27, 2021
News Identified in News Identified in
Date Fischel Report? Grenadier Report? News Days?
1/21/2021 - - -
1/22/2021 - Yes Yes
1/25/2021 Yes - Yes
1/26/2021 Yes Yes Yes
1/27/2021 - - -
Sources: Fischel Report, Appendix D and Grenadier Report, Appendix E.
81
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108
Exhibit-4c
BBBY News Dates
January 21, 2021 through January 27, 2021
News Identified in News Identified in
Date Fischel Report? Grenadier Report? News Days?
1/21/2021 - Yes Yes
1/22/2021 - - -
1/25/2021 - Yes Yes
1/26/2021 Yes - Yes
1/27/2021 Yes Yes Yes
Sources: Fischel Report, Appendix D and Grenadier Report, Appendix E.
82
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108
Exhibit-4d
EXPR News Dates
January 21, 2021 through January 27, 2021
News Identified in News Identified in
Date Fischel Report? Grenadier Report? News Days?
1/21/2021 - - -
1/22/2021 - - -
1/25/2021 - - -
1/26/2021 Yes - Yes
1/27/2021 - - -
Sources: Fischel Report, Appendix D and Grenadier Report, Appendix E.
83
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108
Exhibit-4e
GME News Dates
January 21, 2021 through January 27, 2021
News Identified in News Identified in
Date Fischel Report? Grenadier Report? News Days?
1/21/2021 - - -
1/22/2021 Yes - Yes
1/25/2021 - - -
1/26/2021 Yes - Yes
1/27/2021 Yes - Yes
Sources: Fischel Report, Appendix D and Grenadier Report, Appendix E.
84
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108
Exhibit-4f
NOK News Dates
January 21, 2021 through January 27, 2021
News Identified in News Identified in
Date Fischel Report? Grenadier Report? News Days?
1/21/2021 - Yes Yes
1/22/2021 - - -
1/25/2021 Yes Yes Yes
1/26/2021 Yes Yes Yes
1/27/2021 Yes Yes Yes
Sources: Fischel Report, Appendix D and Grenadier Report, Appendix E.
85
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Exhibit-4g
TRVG News Dates
January 21, 2021 through January 27, 2021
News Identified in News Identified in
Date Fischel Report? Grenadier Report? News Days?
1/21/2021 - - -
1/22/2021 - Yes Yes
1/25/2021 - - -
1/26/2021 - - -
1/27/2021 - - -
Sources: Fischel Report, Appendix D and Grenadier Report, Appendix E.
86
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108
Exhibit-5a
AMC Analyst Recommendations
December 2020 and January 2021
Price
Price Target Current
Date Analyst Firm Target Horizon Market Price
12/5/2020 CFRA $2.50 12 Months $3.51
12/12/2020 CFRA $2.50 12 Months $3.92
12/19/2020 CFRA $2.50 12 Months $2.80
12/26/2020 CFRA $2.50 12 Months $2.51
1/2/2021 CFRA $2.50 12 Months $2.12
1/9/2021 CFRA $2.50 12 Months $2.14
1/16/2021 CFRA $2.50 12 Months $2.33
1/23/2021 CFRA $2.50 12 Months $3.51
1/26/2021 Loop Capital Markets $1.00 12 Months $4.42
1/26/2021 Credit Suisse $1.55 12 Months $4.42
1/26/2021 Barrington Research NA NA $4.42
1/30/2021 CFRA $2.50 12 Months $13.26
Sources: Analyst Reports produced by Mr. Fischel and Dr. Grenadier
87
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Exhibit-5b
BB Analyst Recommendations
December 2020 and January 2021
Price Price Target Current
Date Analyst Firm Target Horizon Market Price
12/1/2020 CIBC $8.00 12-18 Months $7.00
12/1/2020 Raymond James NA NA $7.00
12/1/2020 RBC Capital Markets $5.00 12 Months $8.46
12/1/2020 TD Securities $5.50 12 Months $5.87
12/2/2020 Scotiabank $5.00 12 Months $7.00
12/2/2020 Scotiabank $5.00 12 Months $7.00
12/5/2020 CFRA $5.00 12 Months $8.52
12/12/2020 CFRA $5.00 12 Months $8.16
12/14/2020 Raymond James $7.50 NA $8.17
12/14/2020 TD Securities $5.50 12 Months $8.16
12/15/2020 RBC Capital Markets $7.50 12 Months $8.25
12/17/2020 Canaccord Genuity $8.00 NA $8.26
12/18/2020 CFRA $8.00 12 Months $8.26
12/18/2020 CFRA $8.00 12 Months $7.05
12/18/2020 CIBC $9.00 12-18 Months $8.26
12/18/2020 Raymond James $8.00 NA $8.26
12/18/2020 RBC Capital Markets $7.50 12 Months $8.26
12/18/2020 Scotiabank $8.50 12 Months $8.26
12/18/2020 TD Securities $8.50 12 Months $8.26
12/24/2020 CFRA $8.00 12 Months $7.09
12/26/2020 CFRA $8.00 12 Months $7.06
1/2/2021 CFRA $8.00 12 Months $6.63
1/9/2021 CFRA $8.00 12 Months $7.56
1/15/2021 TD Securities $8.50 12 Months $9.11
1/16/2021 CFRA $8.00 12 Months $9.84
1/23/2021 CFRA $8.00 12 Months $14.04
1/25/2021 RBC Capital Markets $7.50 12 Months $18.03
1/27/2021 Scotiabank $8.50 12 Months $18.92
1/30/2021 CFRA $8.00 12 Months $14.10
Sources: Analyst Reports produced by Mr. Fischel and Dr. Grenadier
88
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Exhibit-5c
BBBY Analyst Recommendations
December 2020 and January 2021
Price Price Target Current
Date Analyst Firm Target Horizon Market Price
12/5/2020 CFRA $8.00 12 Months $19.70
12/12/2020 CFRA $8.00 12 Months $19.17
12/14/2020 Bank of America $31.00 12 Months $19.17
12/14/2020 Raymond James NA NA $18.74
12/14/2020 Telsey Advisory Group $28.00 12 Months $19.17
12/14/2020 UBS $22.00 12 Months $19.17
12/14/2020 Wedbush $27.00 12 Months $19.17
12/15/2020 Guggenheim NA NA $19.53
12/15/2020 Telsey Advisory Group $28.00 12 Months $19.17
12/19/2020 CFRA $8.00 12 Months $18.72
12/21/2020 UBS $22.00 12 Months $19.26
12/26/2020 CFRA $8.00 12 Months $18.60
1/2/2021 CFRA $8.00 12 Months $17.76
1/4/2021 Wedbush $27.00 12 Months $17.76
1/5/2021 JPMorgan $21.00 12 Months $18.03
1/6/2021 Wells Fargo $18.00 12 Months $19.76
1/7/2021 CFRA $13.00 12 Months $21.03
1/7/2021 CFRA $13.00 12 Months $18.07
1/7/2021 Guggenheim NA NA $18.73
1/7/2021 Jefferies $20.00 12 Months $21.03
1/7/2021 JPMorgan $23.00 12 Months $18.73
1/7/2021 Loop Capital Markets $18.00 12 Months $18.73
1/7/2021 Raymond James $26.00 NA $18.73
1/7/2021 Raymond James NA NA $18.75
1/7/2021 Telsey Advisory Group $27.00 12 Months $18.73
1/7/2021 UBS $22.00 12 Months $21.03
1/7/2021 UBS $20.00 12 Months $18.73
1/7/2021 Wells Fargo $18.00 12 Months $18.72
1/8/2021 Bank of America $31.00 12 Months $19.12
1/8/2021 Wedbush $27.00 12 Months $18.73
1/11/2021 Argus NA NA $18.94
1/11/2021 CFRA $13.00 12 Months $18.94
1/11/2021 Wells Fargo $18.00 12 Months $20.49
1/16/2021 CFRA $13.00 12 Months $25.60
1/21/2021 Jefferies $24.00 12 Months $24.97
1/23/2021 CFRA $13.00 12 Months $30.21
89
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Exhibit-5c
BBBY Analyst Recommendations
December 2020 and January 2021
Price Price Target Current
Date Analyst Firm Target Horizon Market Price
1/25/2021 Loop Capital Markets $30.00 12 Months $30.21
1/25/2021 UBS $20.00 12 Months $20.68
1/26/2021 Raymond James NA NA $30.68
1/27/2021 Wedbush $33.00 12 Months $36.87
1/28/2021 Bank of America $55.00 12 Months $52.89
1/28/2021 Telsey Advisory Group $40.00 12 Months $52.89
1/30/2021 CFRA $13.00 12 Months $35.33
Sources: Analyst Reports produced by Mr. Fischel and Dr. Grenadier
90
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Exhibit-5d
EXPR Analyst Recommendations
December 2020 and January 2021
Price
Price Target Current
Date Analyst Firm Target Horizon Market Price
12/3/2020 CL King NA NA $1.24
12/3/2020 CL King NA NA $1.68
12/3/2020 MKM Partners $1.50 12 Months $1.58
12/4/2020 MKM Partners $1.25 12 Months $1.17
12/4/2020 Wedbush $1.50 12 Months $1.17
1/14/2021 CL King NA NA $1.03
1/25/2021 Wedbush $1.50 12 Months $3.67
Sources: Analyst Reports produced by Mr. Fischel and Dr. Grenadier
91
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Exhibit-5e
GME Analyst Recommendations
December 2020 and January 2021
Price Target Current
Date Analyst Firm Price Target Horizon Market Price
12/2/2020 Telsey Advisory Group $19.00 12 Months $15.80
12/2/2020 Telsey Advisory Group $19.00 12 Months $15.80
12/4/2020 Wedbush $16.00 12 Months $16.12
12/5/2020 CFRA $3.00 12 Months $16.90
12/8/2020 Jefferies $15.00 12 Months $16.94
12/9/2020 Benchmark $5.00 6-12 Months $16.94
12/9/2020 Bank of America $1.60 12 Months $16.94
12/9/2020 CFRA $5.00 12 Months $14.02
12/9/2020 CFRA $5.00 12 Months $16.35
12/9/2020 Credit Suisse $3.50 12 Months $16.94
12/9/2020 Loop Capital Markets $10.00 12 Months $13.66
12/9/2020 Telsey Advisory Group $18.00 12 Months $16.94
12/9/2020 Wedbush $16.00 12 Months $16.94
12/10/2020 Bank of America $1.60 12 Months $14.12
12/10/2020 CFRA $5.00 12 Months $13.66
12/12/2020 CFRA $5.00 12 Months $13.31
12/14/2020 Ascendiant $12.00 12 Months $13.31
12/14/2020 Benchmark $5.00 6-12 Months $13.31
12/19/2020 CFRA $5.00 12 Months $15.63
12/26/2020 CFRA $5.00 12 Months $20.15
1/2/2021 CFRA $5.00 12 Months $18.84
1/9/2021 CFRA $5.00 12 Months $17.69
1/11/2021 Benchmark $5.00 6-12 Months $17.69
1/11/2021 Credit Suisse $3.50 12 Months $17.69
1/11/2021 Jefferies $15.00 12 Months $17.69
1/11/2021 Loop Capital Markets Dropping Coverage 12 Months $19.94
1/11/2021 Wedbush $16.00 12 Months $19.60
1/12/2021 Telsey Advisory Group $22.00 12 Months $19.94
1/13/2021 Bank of America $1.60 12 Months $19.95
1/14/2021 Bank of America $1.60 12 Months $39.91
1/15/2021 CFRA $9.00 12 Months $39.91
1/15/2021 CFRA $9.00 12 Months $36.51
1/16/2021 CFRA $9.00 12 Months $35.50
1/23/2021 CFRA $9.00 12 Months $65.01
1/25/2021 Telsey Advisory Group $33.00 12 Months $65.01
1/25/2021 Telsey Advisory Group $33.00 12 Months $65.01
92
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Exhibit-5e
GME Analyst Recommendations
December 2020 and January 2021
1/27/2021 Bank of America $10.00 12 Months $147.98
1/30/2021 CFRA $9.00 12 Months $325.00
Sources: Analyst Reports produced by Mr. Fischel and Dr. Grenadier
93
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Exhibit-5f
NOK Analyst Recommendations
December 2020 and January 2021
Price Price Target Current
Date Analyst Firm Target Horizon Market Price
12/5/2020 CFRA $4.00 12 Months $4.03
12/9/2020 Raymond James NA NA $4.21
12/12/2020 CFRA $4.00 12 Months $4.06
12/14/2020 Credit Suisse €2.95 12 Months €3.30
12/16/2020 ABG Sundal Collier €4.00 6 Months €3.30
12/16/2020 ABG Sundal Collier €4.00 6 Months €3.30
12/16/2020 Barclays €2.90 12 Months €3.33
12/16/2020 Credit Suisse €2.95 12 Months €3.33
12/16/2020 JPMorgan €3.80 12 Months €3.33
12/16/2020 Kepler Cheuvreux €3.80 12 Months €3.33
12/16/2020 Morgan Stanley €3.65 12-18 Months €3.33
12/16/2020 Raymond James NA NA $4.01
12/16/2020 SEB €3.50 6-12 Months €3.27
12/16/2020 UBS €4.10 12 Months €3.33
12/17/2020 Cowen $4.00 12 Months $3.99
12/17/2020 Credit Suisse €2.95 12 Months €3.27
12/17/2020 Kepler Cheuvreux €3.80 12 Months €3.27
12/17/2020 Northland $5.00 12 Months $3.99
12/17/2020 Societe Generale €3.90 12 Months €3.33
12/19/2020 CFRA $4.00 12 Months $4.00
12/26/2020 CFRA $4.00 12 Months $3.89
1/2/2021 CFRA $4.00 12 Months $3.91
1/5/2021 Bank of America $4.29 12 Months $3.89
1/6/2021 Credit Suisse €2.95 12 Months €3.16
1/9/2021 CFRA $4.00 12 Months $3.93
1/15/2021 Kepler Cheuvreux €3.80 12 Months €3.38
1/16/2021 CFRA $4.00 12 Months $4.08
1/18/2021 DNB Markets €4.00 12 Months €3.35
1/23/2021 CFRA $4.00 12 Months $4.20
1/25/2021 SEB €3.80 6-12 Months €3.39
1/28/2021 DNB Markets €4.00 12 Months €5.50
1/28/2021 ABG Sundal Collier €4.00 6 Months €4.40
1/30/2021 CFRA $4.00 12 Months $4.56
Sources: Analyst Reports produced by Mr. Fischel and Dr. Grenadier
94
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Exhibit-5g
TRVG Analyst Recommendations
December 2020 and January 2021
Price Price Target Current
Date Analyst Firm Target Horizon Market Price
1/21/2021 Truist $2.00 12-18 Months $2.18
Sources: Analyst Reports produced by Mr. Fischel and Dr. Grenadier
95
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Exhibit-6a
AMC Stock Price
Annotated with PCO Equity Restrictions
January 28, 2021 4:00 AM - January 28, 2021 4:00 PM
$25
$20
Stock Price
$15
$10
$5
$0
4:00 AM 5:00 AM 6:00 AM 7:00 AM 8:00 AM 9:00 AM 10:00 AM 11:00 AM 12:00 PM 1:00 PM 2:00 PM 3:00 PM 4:00 PM
Trading 212 Restriction Robinhood PCO Restriction Webull Restriction M1 Finance Restriction E*Trade Restriction Pre Market Open Market Hours
Sources: Tick Data; RHMDL00047970; "GameStop & AMC Entertainment In Reduce-Only Mode," Trading 212, January 28, 2021, at https://community.trading212.com/t/gamestop-amc-entertainment-in-reduce-only-mode/41464; HFSC
Report, p.79; M1 Finance Official Twitter, January 28, 2021, at https://twitter.com/M1Finance/status/1354837064072753152; HFSC Report, p.94; "E*Trade Restricts Purchases of Gamestop, AMC Shares," Bloomberg News, January 28, 2021,
at https://www.bloomberg.com/news/articles/2021-01-28/e-trade-restricts-purchases-of-gamestop-amc-shares.
Notes: PCO equity restrictions announced related to Trading212 and E* Trade were only for AMC and GME. PCO equity restrictions announced related to Webull and M1 Finance were only for AMC, GME, and KOSS. The restrictions
announced by Webull and M1 finance were implemented at the instruction of Apex Finance. I understand that Ally Financial and SoFi also received instruction from APEX to restrict AMC, GME, and KOSS, but have seen no public
announcement or news coverage of these restrictions until after trading hours on January 28, 2021. Additionally, I note there is evidence that Interactive Brokers implemented PCO equity restrictions for BB, NOK, EXPR, KOSS, AMC, BBBY,
and GME on January 28, 2021, but I have seen no public announcement or news coverage of these restrictions, and therefore they could not be reflected in the stock prices of the At-Issue Securities. See HFSC Report, at footnote 478 and 479.
96
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Exhibit-6b
BB Stock Price
Annotated with PCO Equity Restriction
January 28, 2021 4:00 AM - January 28, 2021 4:00 PM
$30
$28
$26
$24
$22
Stock Price
$20
$18
$16
$14
$12
$10
4:00 AM 5:00 AM 6:00 AM 7:00 AM 8:00 AM 9:00 AM 10:00 AM 11:00 AM 12:00 PM 1:00 PM 2:00 PM 3:00 PM 4:00 PM
Robinhood PCO Restriction Pre Market Open Market Hours
Sources: Tick Data and RHMDL00047970.
Notes: PCO equity restrictions announced related to Trading212 and E* Trade were only for AMC and GME. PCO equity restrictions announced related to Webull and M1 Finance were only for AMC, GME, and KOSS. The restrictions
announced by Webull and M1 finance were implemented at the instruction of Apex Finance. I understand that Ally Financial and SoFi also received instruction from APEX to restrict AMC, GME, and KOSS, but have seen no public
announcement or news coverage of these restrictions until after trading hours on January 28, 2021. Additionally, I note there is evidence that Interactive Brokers implemented PCO equity restrictions for BB, NOK, EXPR, KOSS, AMC, BBBY,
and GME on January 28, 2021, but I have seen no public announcement or news coverage of these restrictions, and therefore they could not be reflected in the stock prices of the At-Issue Securities. See HFSC Report, at footnote 478 and 479.
97
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Exhibit-6c
BBBY Stock Price
Annotated with PCO Equity Restriction
January 28, 2021 4:00 AM - January 28, 2021 4:00 PM
$65
$60
$55
$50
Stock Price
$45
$40
$35
$30
$25
4:00 AM 5:00 AM 6:00 AM 7:00 AM 8:00 AM 9:00 AM 10:00 AM 11:00 AM 12:00 PM 1:00 PM 2:00 PM 3:00 PM 4:00 PM
Robinhood PCO Restriction Pre Market Open Market Hours
Sources: Tick Data and RHMDL00047970.
Notes: PCO equity restrictions announced related to Trading212 and E* Trade were only for AMC and GME. PCO equity restrictions announced related to Webull and M1 Finance were only for AMC, GME, and KOSS. The restrictions
announced by Webull and M1 finance were implemented at the instruction of Apex Finance. I understand that Ally Financial and SoFi also received instruction from APEX to restrict AMC, GME, and KOSS, but have seen no public
announcement or news coverage of these restrictions until after trading hours on January 28, 2021. Additionally, I note there is evidence that Interactive Brokers implemented PCO equity restrictions for BB, NOK, EXPR, KOSS, AMC, BBBY,
and GME on January 28, 2021, but I have seen no public announcement or news coverage of these restrictions, and therefore they could not be reflected in the stock prices of the At-Issue Securities. See HFSC Report, at footnote 478 and 479.
98
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Exhibit-6d
EXPR Stock Price
Annotated with PCO Equity Restriction
January 28, 2021 4:00 AM - January 28, 2021 4:00 PM
$14
$12
$10
Stock Price
$8
$6
$4
$2
4:00 AM 5:00 AM 6:00 AM 7:00 AM 8:00 AM 9:00 AM 10:00 AM 11:00 AM 12:00 PM 1:00 PM 2:00 PM 3:00 PM 4:00 PM
Robinhood PCO Restriction Pre Market Open During Market Hours
Sources: Tick Data and RHMDL00047970.
Notes: PCO equity restrictions announced related to Trading212 and E* Trade were only for AMC and GME. PCO equity restrictions announced related to Webull and M1 Finance were only for AMC, GME, and KOSS. The restrictions
announced by Webull and M1 finance were implemented at the instruction of Apex Finance. I understand that Ally Financial and SoFi also received instruction from APEX to restrict AMC, GME, and KOSS, but have seen no public
announcement or news coverage of these restrictions until after trading hours on January 28, 2021. Additionally, I note there is evidence that Interactive Brokers implemented PCO equity restrictions for BB, NOK, EXPR, KOSS, AMC, BBBY,
and GME on January 28, 2021, but I have seen no public announcement or news coverage of these restrictions, and therefore they could not be reflected in the stock prices of the At-Issue Securities. See HFSC Report, at footnote 478 and 479.
99
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Exhibit-6e
GME Stock Price
Annotated with PCO Equity Restrictions
January 28, 2021 4:00 AM - January 28, 2021 4:00 PM
$500
$400
$300
Stock Price
$200
$100
$0
4:00 AM 5:00 AM 6:00 AM 7:00 AM 8:00 AM 9:00 AM 10:00 AM 11:00 AM 12:00 PM 1:00 PM 2:00 PM 3:00 PM 4:00 PM
Trading 212 Restriction Robinhood PCO Restriction Webull Restriction M1 Finance Restriction E*Trade Restriction Pre Market Open Market Hours
Sources: : Tick Data; RHMDL00047970; "GameStop & AMC Entertainment In Reduce-Only Mode," Trading 212, January 28, 2021, at https://community.trading212.com/t/gamestop-amc-entertainment-in-reduce-only-mode/41464; HFSC
Report, p.79; M1 Finance Official Twitter, January 28, 2021, at https://twitter.com/M1Finance/status/1354837064072753152; HFSC Report, p.94; "E*Trade Restricts Purchases of Gamestop, AMC Shares," Bloomberg News, January 28, 2021,
at https://www.bloomberg.com/news/articles/2021-01-28/e-trade-restricts-purchases-of-gamestop-amc-shares.
Notes: PCO equity restrictions announced related to Trading212 and E* Trade were only for AMC and GME. PCO equity restrictions announced related to Webull and M1 Finance were only for AMC, GME, and KOSS. The restrictions
announced by Webull and M1 finance were implemented at the instruction of Apex Finance. I understand that Ally Financial and SoFi also received instruction from APEX to restrict AMC, GME, and KOSS, but have seen no public
announcement or news coverage of these restrictions until after trading hours on January 28, 2021. Additionally, I note there is evidence that Interactive Brokers implemented PCO equity restrictions for BB, NOK, EXPR, KOSS, AMC, BBBY,
and GME on January 28, 2021, but I have seen no public announcement or news coverage of these restrictions, and therefore they could not be reflected in the stock prices of the At-Issue Securities. See HFSC Report, at footnote 478 and 479.
100
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Exhibit-6f
KOSS Stock Price
Annotated with PCO Equity Restrictions
$180 January 28, 2021 4:00 AM - January 28, 2021 4:00 PM
$160
$140
$120
$100
Stock Price
$80
$60
$40
$20
$0
4:00 AM 5:00 AM 6:00 AM 7:00 AM 8:00 AM 9:00 AM 10:00 AM 11:00 AM 12:00 PM 1:00 PM 2:00 PM 3:00 PM 4:00 PM
Robinhood PCO Restriction Webull Restriction M1 Finance Restriction Pre Market Open Market Hours
Sources: : Tick Data; RHMDL00047970; "GameStop & AMC Entertainment In Reduce-Only Mode," Trading 212, January 28, 2021, at https://community.trading212.com/t/gamestop-amc-entertainment-in-reduce-only-mode/41464; HFSC
Report, p.79; M1 Finance Official Twitter, January 28, 2021, at https://twitter.com/M1Finance/status/1354837064072753152; HFSC Report, p.94; "E*Trade Restricts Purchases of Gamestop, AMC Shares," Bloomberg News, January 28, 2021,
at https://www.bloomberg.com/news/articles/2021-01-28/e-trade-restricts-purchases-of-gamestop-amc-shares.
Notes: PCO equity restrictions announced related to Trading212 and E* Trade were only for AMC and GME. PCO equity restrictions announced related to Webull and M1 Finance were only for AMC, GME, and KOSS. The restrictions
announced by Webull and M1 finance were implemented at the instruction of Apex Finance. I understand that Ally Financial and SoFi also received instruction from APEX to restrict AMC, GME, and KOSS, but have seen no public
announcement or news coverage of these restrictions until after trading hours on January 28, 2021. Additionally, I note there is evidence that Interactive Brokers implemented PCO equity restrictions for BB, NOK, EXPR, KOSS, AMC, BBBY,
and GME on January 28, 2021, but I have seen no public announcement or news coverage of these restrictions, and therefore they could not be reflected in the stock prices of the At-Issue Securities. See HFSC Report, at footnote 478 and 479.
101
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Exhibit-6g
NOK Stock Price
Annotated with PCO Equity Restriction
January 28, 2021 4:00 AM - January 28, 2021 4:00 PM
$7
$6
$5
$4
Stock Price
$3
$2
$1
$0
4:00 AM 5:00 AM 6:00 AM 7:00 AM 8:00 AM 9:00 AM 10:00 AM 11:00 AM 12:00 PM 1:00 PM 2:00 PM 3:00 PM 4:00 PM
Robinhood PCO Restriction Pre Market Open Market Hours
Sources: Tick Data and RHMDL00047970.
Notes: PCO equity restrictions announced related to Trading212 and E* Trade were only for AMC and GME. PCO equity restrictions announced related to Webull and M1 Finance were only for AMC, GME, and KOSS. The restrictions
announced by Webull and M1 finance were implemented at the instruction of Apex Finance. I understand that Ally Financial and SoFi also received instruction from APEX to restrict AMC, GME, and KOSS, but have seen no public
announcement or news coverage of these restrictions until after trading hours on January 28, 2021. Additionally, I note there is evidence that Interactive Brokers implemented PCO equity restrictions for BB, NOK, EXPR, KOSS, AMC, BBBY,
and GME on January 28, 2021, but I have seen no public announcement or news coverage of these restrictions, and therefore they could not be reflected in the stock prices of the At-Issue Securities. See HFSC Report, at footnote 478 and 479.
102
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Exhibit-6h
TR Stock Price
Annotated with PCO Equity Restriction
January 28, 2021 4:00 AM - January 28, 2021 4:00 PM
$60
$50
$40
Stock Price
$30
$20
$10
$0
4:00 AM 5:00 AM 6:00 AM 7:00 AM 8:00 AM 9:00 AM 10:00 AM 11:00 AM 12:00 PM 1:00 PM 2:00 PM 3:00 PM 4:00 PM
Robinhood PCO Restrictions Pre Market Open Market Hours
Sources: Tick Data and RHMDL00047970.
Notes: PCO equity restrictions announced related to Trading212 and E* Trade were only for AMC and GME. PCO equity restrictions announced related to Webull and M1 Finance were only for AMC, GME, and KOSS. The restrictions
announced by Webull and M1 finance were implemented at the instruction of Apex Finance. I understand that Ally Financial and SoFi also received instruction from APEX to restrict AMC, GME, and KOSS, but have seen no public
announcement or news coverage of these restrictions until after trading hours on January 28, 2021. Additionally, I note there is evidence that Interactive Brokers implemented PCO equity restrictions for BB, NOK, EXPR, KOSS, AMC, BBBY,
and GME on January 28, 2021, but I have seen no public announcement or news coverage of these restrictions, and therefore they could not be reflected in the stock prices of the At-Issue Securities. See HFSC Report, at footnote 478 and 479.
103
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Exhibit-6i
TRVG Stock Price
Annotated with PCO Equity Restriction
January 28, 2021 4:00 AM - January 28, 2021 4:00 PM
$5
$4
$3
Stock Price
$2
$1
$0
4:00 AM 5:00 AM 6:00 AM 7:00 AM 8:00 AM 9:00 AM 10:00 AM 11:00 AM 12:00 PM 1:00 PM 2:00 PM 3:00 PM 4:00 PM
Robinhood PCO Restriction Pre Market Open Market Hours
Sources: Tick Data and RHMDL00047970.
Notes: PCO equity restrictions announced related to Trading212 and E* Trade were only for AMC and GME. PCO equity restrictions announced related to Webull and M1 Finance were only for AMC, GME, and KOSS. The restrictions
announced by Webull and M1 finance were implemented at the instruction of Apex Finance. I understand that Ally Financial and SoFi also received instruction from APEX to restrict AMC, GME, and KOSS, but have seen no public
announcement or news coverage of these restrictions until after trading hours on January 28, 2021. Additionally, I note there is evidence that Interactive Brokers implemented PCO equity restrictions for BB, NOK, EXPR, KOSS, AMC, BBBY,
and GME on January 28, 2021, but I have seen no public announcement or news coverage of these restrictions, and therefore they could not be reflected in the stock prices of the At-Issue Securities. See HFSC Report, at footnote 478 and 479.
104
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