Value creation in shareholder activism

• 成果类型: Article
• 署名作者: Albuquerque, Rui; Fos, Vyacheslav; Schroth, Enrique
• 署名单位: Boston College; Universite Catholique de Lille; EDHEC Business School; European Corporate Governance Institute; Centre for Economic Policy Research - UK
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2021.09.007
• 发表日期: 2022
• 页码: 153-178
• 关键词: SHAREHOLDER ACTIVISM; VALUE CREATION; Passive investors; Stock picking; structural estimation

摘要

We measure value creation by activist investors via structural estimation of a model of the choice between passive investment and activism. Our estimates imply that average returns following activist intent announcements consist of 74.8% expected value creation, or treatment, 13.4% stock picking, and 11.8% sample selection effects. Higher treatment values predict improvements in firm performance and lower proxy contest probabilities, whereas abnormal announcements returns do not, suggesting that our estimate identifies more effective activism campaigns. The evidence demonstrates the importance of using the joint distribution of investment strategies and announcement returns to recover the expected returns and costs of activism. (C) 2021 The Authors. Published by Elsevier B.V.