Professor Michael Guo jie.guo@durham.ac.uk
Professor
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.
Guo, J., Guang, J., Hu, N., & Utham, V. (2018). The Role of Derivatives in Hedge Fund Activism. Quantitative Finance, 18(9), 1531-1541. https://doi.org/10.1080/14697688.2018.1444490
Journal Article Type | Article |
---|---|
Acceptance Date | Dec 1, 2017 |
Online Publication Date | Apr 23, 2018 |
Publication Date | Sep 2, 2018 |
Deposit Date | Sep 18, 2017 |
Publicly Available Date | Oct 28, 2019 |
Journal | Quantitative Finance |
Print ISSN | 1469-7688 |
Electronic ISSN | 1469-7696 |
Publisher | Taylor and Francis Group |
Peer Reviewed | Peer Reviewed |
Volume | 18 |
Issue | 9 |
Pages | 1531-1541 |
DOI | https://doi.org/10.1080/14697688.2018.1444490 |
Public URL | https://durham-repository.worktribe.com/output/1344771 |
Accepted Journal Article
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Copyright 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
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