Prof. Dr. Daniel Rettl (Assistenz Professor für Finanzen, Universität Georgia) spricht im Rahmen des Finance and Insurance Seminars zum Thema:

Hedge Fund Activities‘ Skill

Abstract: Hedge fund activism generates persistent performance, but heterogeneity in performance suggests that some hedge fund activists are more skilled than others. We use a Markov Chain Monte Carlo Bayesian estimation algorithm to isolate a time-invariant activist-specific skill component from cumulative abnormal returns. We find considerable differences in this skill component of cumulative abnormal announcement returns of up to 13 - 20 percentage points between the top and bottom skill quintile of hedge fund activists. Out-of-sample tests confirm that our skill estimates are informative about future performance. Differences in skill are also evident in hedge fund activists' campaign characteristics. The most skilled activists are associated with higher target firm takeover premiums, improved long-term target performance, and more versatile use of campaign tactics.

Im Wintersemester 2023 wird das Finance and Insurance Seminar in Präsenz durchgeführt. Für Interessenten wird ein Zoom Meeting angeboten. Die Zugangsdaten werden auf Anfrage mitgeteilt. Bitte senden Sie hierfür eine Nachricht bis zum 05.12.2023, 12:00 Uhr an alvia.runge@wiwi.uni-muenster.de.