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Does Hedge Fund Activism Create Value?

Assarsson, Henrik LU and Magnusson, Jacob LU (2019) NEKN02 20191
Department of Economics
Abstract
Using a data set of 139 events from 2006 to 2019, we demonstrate that announcements of hedge fund activism increases shareholder value in the short run. The abnormal return for the announcement of activism is approximately 6% over a [-10,+10] window. We find statistically significant abnormal returns both when the hedge fund purchases shares in the target firm, and when the hedge fund engages with the firm it owns a stake in. Further, we show that abnormal returns following hedge fund activism are higher in Britain and Ireland than in Continental Europe.
Popular Abstract
Using a data set of 139 events from 2006 to 2019, we demonstrate that announcements of hedge fund activism increases shareholder value in the short run. The abnormal return for the announcement of activism is approximately 6% over a [-10,+10] window. We find statistically significant abnormal returns both when the hedge fund purchases shares in the target firm, and when the hedge fund engages with the firm it owns a stake in. Further, we show that abnormal returns following hedge fund activism are higher in Britain and Ireland than in Continental Europe.
Please use this url to cite or link to this publication:
author
Assarsson, Henrik LU and Magnusson, Jacob LU
supervisor
organization
course
NEKN02 20191
year
type
H1 - Master's Degree (One Year)
subject
keywords
Hedge fund activism, abnormal returns, market efficiency, corporate governance
language
English
id
8979742
date added to LUP
2019-08-08 10:30:30
date last changed
2019-08-08 10:30:30
@misc{8979742,
  abstract     = {{Using a data set of 139 events from 2006 to 2019, we demonstrate that announcements of hedge fund activism increases shareholder value in the short run. The abnormal return for the announcement of activism is approximately 6% over a [-10,+10] window. We find statistically significant abnormal returns both when the hedge fund purchases shares in the target firm, and when the hedge fund engages with the firm it owns a stake in. Further, we show that abnormal returns following hedge fund activism are higher in Britain and Ireland than in Continental Europe.}},
  author       = {{Assarsson, Henrik and Magnusson, Jacob}},
  language     = {{eng}},
  note         = {{Student Paper}},
  title        = {{Does Hedge Fund Activism Create Value?}},
  year         = {{2019}},
}