Activism strategic trading and liquidity
23 Nov 2016 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 [10] “Activism, Strategic Trading, and Liquidity,” with Kerry Back, Pierre Collin- Dufresne, Tao Li, and Alexander Ljungquist Econometrica, Volume 86, Issue 4, Activism, Strategic Trading, and Liquidity. Posted by Vyacheslav Fos, Boston College, on. Thursday, January 5, 2017. Comments Off on Activism, Strategic Speaker: Pierre Collin-Dufresne - Ecole Polytechnique Fédérale de Lausanne and Swiss Finance Institute. Event date: Thursday, 05 October 2017 12:30 pm
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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. Two results that contrast with the previous literature are that (a) the relation 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. 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. Activism, Strategic Trading, and Liquidity 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. Two results that contrast with the previous literature are that (a) the relation 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 Request PDF | Activism, Strategic Trading, and Liquidity | We analyze dynamic trading by an activist investor who can expend costly effort to affect firm value. We obtain the equilibrium in closed Activism, Strategic Trading, and Market Liquidity Kerry.E.Back Rice University Pierre Collin-Dufresne EPFL, SFI and CEPR Vyacheslav (Slava) Fos Boston College Tao Li City University Hong Kong Alexander Ljungqvist NYU and NBER March 22, 2016 Activism, Strategic Trading, and Market Liquidity 1/ 28
investors typically make investments with an activist strategy already in mind. example, are suited to trading in highly liquid securities, while classic PE funds
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 Downloadable! 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 N°18-42: Activism, Strategic Trading, and Liquidity, P. Collin-Dufresne, K. Black, V. Fos, T. Li, and A. Ljungqvist 2018. Activism, Strategic Trading, and Liquidity. Kerry Back, Pierre Collin‐Dufresne, Vyacheslav Fos, Tao Li and Alexander Ljungqvist () . Econometrica, 2018, vol. 86, issue 4, 1431-1463 . Abstract: 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 We obtain the equilibrium in closed form for a general activism technology, including both binary and continuous outcomes. The optimal continuous trading strategy is independent of the activism technology. Activism, prices, and liquidity are jointly determined in equilibrium.
The effect of liquidity is positive and statistically significant. Looking at the bottom part of Table 5, where we estimate the change in the probability of activism when liquidity is changed from the 10th to 90th percentile, the estimated impact of liquidity on activism is smaller than the previously estimated effect. The magnitude is, however
to achieve better liquidity or to hide their information better (Back, 1993; Biais in activists' trading strategies (consistent with the wider option market bid-ask play a minor role in activists' trading strategies. That said, we find that liquidity, large number of analysts covering the stock, low book-to-market ratio, and. Partnoy and Thomas (2007) find that hedge funds tend to trade more which may translate into an aggressive activist strategy in their portfolio companies. preserve liquidity, hedge fund managers must be more short-term oriented ( Agarwal, 1 Jul 2019 relative short-termism of their strategies (Brav et al. of activism is relatively insensitive to the level of activist trading profits. (2017) provide evidence that hedge fund activists exploit liquidity sales to purchase stock in target 2 Jan 2020 Liquidity is based on the number of contracts available to trade at the best which were punished in 2019 during a fight with activist investor Carl Icahn. head of U.S. equity and quantitative strategy at Bank of America.
Journal of Financial and Quantitative Analysis 42 (03), 595-620, 2007. 28*, 2007. Activism, strategic trading, and liquidity. K Back, P Collin‐Dufresne, V Fos, T Li,
28 Dec 2018 These patterns are also largely consistent with strategic trading endogenous to the market and are Activism, Strategic Trading, and Liquidity. 30 May 2019 Uniformly-distributed liquidity trade allows us to solve In equilibrium, the activist employs a threshold strategy such that, conditional. to achieve better liquidity or to hide their information better (Back, 1993; Biais in activists' trading strategies (consistent with the wider option market bid-ask play a minor role in activists' trading strategies. That said, we find that liquidity, large number of analysts covering the stock, low book-to-market ratio, and. Partnoy and Thomas (2007) find that hedge funds tend to trade more which may translate into an aggressive activist strategy in their portfolio companies. preserve liquidity, hedge fund managers must be more short-term oriented ( Agarwal, 1 Jul 2019 relative short-termism of their strategies (Brav et al. of activism is relatively insensitive to the level of activist trading profits. (2017) provide evidence that hedge fund activists exploit liquidity sales to purchase stock in target 2 Jan 2020 Liquidity is based on the number of contracts available to trade at the best which were punished in 2019 during a fight with activist investor Carl Icahn. head of U.S. equity and quantitative strategy at Bank of America.
play a minor role in activists' trading strategies. That said, we find that liquidity, large number of analysts covering the stock, low book-to-market ratio, and.