The role of derivatives in hedge fund activism

Guo, J. (M.), Gang, J., Hu, N. and Utham, V. (2018) The role of derivatives in hedge fund activism. Quantitative Finance, 18(9), pp. 1531-1541. (doi:10.1080/14697688.2018.1444490)

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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.

Item Type:Articles
Status:Published
Refereed:Yes
Glasgow Author(s) Enlighten ID:Hu, Dr Nan and Guo, Dr Jie
Authors: Guo, J. (M.), Gang, J., Hu, N., and Utham, V.
College/School:College of Social Sciences > Adam Smith Business School > Accounting and Finance
Journal Name:Quantitative Finance
Publisher:Taylor and Francis
ISSN:1469-7688
ISSN (Online):1469-7696
Published Online:23 April 2018
Copyright Holders:Copyright © 2018 Informa UK Limited, trading as Taylor and Francis Group
First Published:First published in Quantitative Finance 18(9): 1531-1541
Publisher Policy:Reproduced in accordance with the publisher copyright policy

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