Tri-Valley Corp (fka TVLYQ)

[jonesieatl]

Interesting opinion/analysis here LOL

http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1101341

"Predatory Trading Around Russell Reconstitution

ZHAN M. ONAYEV
State Street Global Advisors
VOLODYMYR M. ZDOROVTSOV
State Street Global Advisors January 15, 2008


Abstract:

Using eight years of recent reconstitution history, we study the behavior of Russell 3000 additions and deletions on the day when the benchmark composition and weights are determined.

We document evidence of strategic predatory trading, whereby closing prices of some securities on this day appear to be manipulated with the objective of influencing the resulting membership weight in the index.

Specifically, we find that for the securities most likely to be targets of such trading (additions that are closer to the bottom of the newly formed Russell 3000 list and thus more likely to have been pushed into the index), the last day of May contributes a disproportionate share of the monthly return and the last minutes of the trading session contribute disproportionately to the return of this day.

Smaller additions also show a greater commonality in their intraday returns on the event day. Perhaps most importantly, we show that smaller additions experience considerably higher event-day order flow imbalances and particularly so towards the end of the trading session.

Lastly, we show that these securities do not experience an immediate post-event reversal, as is expected given the liquidity pressure and as is observed for the control group."

re: TIV , that last part has certainly been a variable LOL

In 2005 'boneheads' ran TIV up after the PPS cut-off date (lol) once TIV put out the 'Russell!!' PR , not knowing what to expect a month later on the 'effective date'. After the 'effective date' the reversal was fairly severe over the next month.

In 2006 a TIV pumper tried to game the Russell system , along with gaming TIV shareholders , but he had the good sense to run TIV up before the PPS cut-off date. Once 'most' realized the objective had not been reached , the reversal was immediate and severe.

In 2007 insider buying pressure moved the PPS in the right direction and again , before the PPS cut-off date. Once the reality sunk in that again TIV most likely would not be included , the reversal kicked in fairly quickly and was significant.

In 2008 we saw an early morning low of around $6.05 or so on the PPS cut-off date. But later in the day a string of mostly 100-share trades pushed TIV up to a close of $6.50 which , if Ms. Roberts' prediction is correct , will be sufficient.

Was that a good example of the author's "strategic predatory trading, whereby closing prices of some securities on this day appear to be manipulated"?

re: your comment "if TIV were going to be in the index, or it was even close, the stock would've risen by now" , take a look at my 2005 detail chart here:

http://investorshub.advfn.com/boards/read_msg.aspx?message_id=29759119

-- That was the first year the subject of Russell had even come up relative to TIV.

-- Most TIV-related folks didn't have much info on what to expect once Lynn put out that PR.

-- Arbitrageurs would have easily seen that TIV's PPS of $11.94 on 5/31/05 would beat their analytical estimates of what the minimum market cap. might require. (TIV only needed $8.25 that year to get in based on their outstanding share count.)

So , does TIV's price action between the cut-off date and the Russell effective date look like one might expect it to with some "arb" action going on?

Or does it look more like "bonehead" action going on in light of the subsequent fall-off in share price?

jonesie


Yorkville / Cornell Tracking Board #board-9964


"I can think of no more valuable commodity than information"