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Shareholder activism and equity price reactions

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  • King, Timothy
  • Bozos, Konstantinos
  • Koutmos, Dimitrios

Abstract

Using a large dataset of 8,870 shareholder corporate social responsibility (CSR) proposals for US firms, we employ a novel methodological approach that allows for the estimation of dynamic share price and risk reactions. We show that formal activist shareholder recommendations can affect stock returns and risk. However, the direction and magnitude of these effects are conditional upon the nature of the proposal and the identity of the sponsor.

Suggested Citation

  • King, Timothy & Bozos, Konstantinos & Koutmos, Dimitrios, 2017. "Shareholder activism and equity price reactions," Economics Letters, Elsevier, vol. 160(C), pages 100-104.
    • Handle: RePEc:eee:ecolet:v:160:y:2017:i:c:p:100-104
    DOI: 10.1016/j.econlet.2017.09.012
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    References listed on IDEAS

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    4. Gustavo Grullon & Roni Michaely & Bhaskaran Swaminathan, 2002. "Are Dividend Changes a Sign of Firm Maturity?," The Journal of Business, University of Chicago Press, vol. 75(3), pages 387-424, July.
    5. Becchetti, Leonardo & Ciciretti, Rocco & Hasan, Iftekhar, 2015. "Corporate social responsibility, stakeholder risk, and idiosyncratic volatility," Journal of Corporate Finance, Elsevier, vol. 35(C), pages 297-309.
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    8. Fabrizio Ferri & David A. Maber, 2013. "Say on Pay Votes and CEO Compensation: Evidence from the UK," Review of Finance, European Finance Association, vol. 17(2), pages 527-563.
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    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Corporate social responsibility; Shareholder activism; Time-varying betas; Risk-return trade-off;
    All these keywords.

    JEL classification:

    • M14 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - Business Administration - - - Corporate Culture; Diversity; Social Responsibility
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models

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