Quantifying securities market losses caused by information failures

This study analyzes the parameters for quantifying the losses suffered by investors who purchased shares of public companies during information failures. The obligation of the company and its directors to disclose material information in a timely manner is a common feature of capital market regulation in different jurisdictions. Failure to comply with this duty can result in damage to investors trading shares without the necessary information. The calculation of such damages is uncertain due to the different assumptions used. This uncertainty seems incompatible with the dynamics of capital markets, where legal certainty is highly valued. In an efficient market, the effects of available information are incorporated into stock pricing. This issue is crucial because calculating damages is closely related to the existence of civil liability arising from disclosure failures. This study aims to establish clearer parameters for quantifying these damages, analyzing the issue from a Brazilian perspective with inputs from Italian and French law, and comparing them with discussions and parameters present in US and Chinese law. Our goal is to propose a new framework to calculate these damages.