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The Role of Derivatives in Hedge Fund Activism

Guo, J.; Guang, J.; Hu, N.; Utham, V.

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Authors

J. Guang

N. Hu

V. Utham



Abstract

Using a hand-collected sample of hedge fund activist engagements from 1994 to 2014, this study analysed the role of derivatives in the hedge fund activism. Evidence shows abnormal returns of targets of hedge fund activists who did not use derivatives exceeded the abnormal returns of targets of hedge fund activists who employed derivatives around the activist engagement disclosure period. We also find that idiosyncratic volatility of the targets of hedge fund activists who did not use derivatives was more reduced than that of the targets of hedge fund activists who used derivatives. Finally, the probability of takeovers increases for hedge fund activists who did not use derivatives.

Citation

Guo, J., Guang, J., Hu, N., & Utham, V. (2018). The Role of Derivatives in Hedge Fund Activism. Quantitative Finance, 18(9), 1531-1541. https://doi.org/10.1080/14697688.2018.1444490

Journal Article Type Article
Acceptance Date Dec 1, 2017
Online Publication Date Apr 23, 2018
Publication Date Sep 2, 2018
Deposit Date Sep 18, 2017
Publicly Available Date Mar 28, 2024
Journal Quantitative Finance
Print ISSN 1469-7688
Electronic ISSN 1469-7696
Publisher Taylor and Francis Group
Peer Reviewed Peer Reviewed
Volume 18
Issue 9
Pages 1531-1541
DOI https://doi.org/10.1080/14697688.2018.1444490
Public URL https://durham-repository.worktribe.com/output/1344771

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