Activism, Strategic Trading, and Liquidity

• 成果类型: Article
• 署名作者: Back, Kerry; Collin-Dufresne, Pierre; Fos, Vyacheslav; Li, Tao; Ljungqvist, Alexander
• 署名单位: Rice University; Rice University; Swiss Federal Institutes of Technology Domain; Ecole Polytechnique Federale de Lausanne; Swiss Finance Institute (SFI); Center for Economic & Policy Research (CEPR); Boston College; City University of Hong Kong; Swedish House of Finance; Stockholm School of Economics; National Bureau of Economic Research
• 刊物名称: ECONOMETRICA
• ISSN/ISSBN: 0012-9682
• DOI: 10.3982/ECTA14917
• 发表日期: 2018
• 页码: 1431-1463
• 关键词: HEDGE FUND ACTIVISM; corporate governance; SHAREHOLDER ACTIVISM; CONTINUOUS AUCTIONS; market liquidity; intervention; BLOCKHOLDERS; investor; trades

摘要

We analyze dynamic trading by an activist investor who can expend costly effort to affect firm value. We obtain the equilibrium in closed form for a general activism technology, including both binary and continuous outcomes. Variation in parameters can produce either positive or negative relations between market liquidity and economic efficiency, depending on the activism technology and model parameters. Two results that contrast with the previous literature are that (a) the relationship between market liquidity and economic efficiency is independent of the activist's initial stake for a broad set of activism technologies, and (b) an increase in noise trading can reduce market liquidity because it increases uncertainty about the activist's trades (the activist trades in the opposite direction of noise traders) and thereby increases information asymmetry about the activist's intentions.