Guo, J. and Guang, J. and Hu, N. and Utham, V. (2018) 'The role of derivatives in hedge fund activism.', Quantitative finance., 18 (9). pp. 1531-1541.
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.
|Full text:||(AM) Accepted Manuscript|
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|Publisher Web site:||https://doi.org/10.1080/14697688.2018.1444490|
|Publisher statement:||This is an Accepted Manuscript of an article published by Taylor & Francis in Quantitative finance on 23 April 2018 available online: https://doi.org/10.1080/14697688.2018.1444490|
|Date accepted:||01 December 2017|
|Date deposited:||19 September 2017|
|Date of first online publication:||23 April 2018|
|Date first made open access:||23 April 2019|
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