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My bibliography Save this paperHedge fund activism, voice, and value creation
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More about this item
Keywords
We construct a novel hand-collected large data set of 205 U.S. hedge funds and 1031 activist events over the period 2005-2013; which records both the Schedule 13D filing date and the voicing date; and explore the role of voicing in value creation. We employ alternative inferential statistical approaches; including parametric; non-parametric; and heteroscedasticity-robust tests along with bootstrapping. We reveal that the voice date is important in creating short-term firm value; and provide strong evidence that voicing is associated with positive abnormal returns. These abnormal returns are approximately 1.11%; and are higher than the abnormal returns around the Schedule13D date by approximately 64%. There is also evidence of positive voice abnormal returns for voicing events which lead Schedule 13D events. The results are robust to models of abnormal returns allowing for leverage effects; and to alternative inferential statistical procedures. These findings suggest that voicing leads to information revelation; with implications for U.S. stock market arbitrage and the regulation for hedge fund activism information disclosure.;All these keywords.
JEL classification:
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors
- G3 - Financial Economics - - Corporate Finance and Governance
NEP fields
This paper has been announced in the following NEP Reports:- NEP-FMK-2019-03-18 (Financial Markets)
- NEP-RMG-2019-03-18 (Risk Management)
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