Jie (Michael) Guo,刚健华,Nan Hu,Vinay Utham——QUANTITATIVE FINANCE:The role of derivatives in hedge fund activism
时间:2018-04-23
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