Massey Documents by Type

Permanent URI for this communityhttps://mro.massey.ac.nz/handle/10179/294

Browse

Filters

2018 - 201912020 - 20211

Settings

Has files: YesSubject: search.filters.subject.Hedge funds

Search Results

Now showing 1 - 2 of 2
  • Thumbnail Image
    Item
    Emerging aspects of shareholder activism : a dissertation presented in partial fulfillment of the requirements for the degree of Doctoral of Philosophy in Finance at Massey University, Manawatu (Turitea), New Zealand
    (Massey University, 2021) Hafeez, Bilal
    This thesis consists of one comprehensive literature review and two empirical essays on shareholder activism. The literature review on shareholder activism provides a brief discussion on shareholder activism’s evolution, highlighting the potential of retail investors’ participation in tipping the balance between the activist and the firm. Furthermore, it provides evidence on the activist institutional investors, including the traditional institutional investors such as pension funds and mutual funds, and hedge funds as the latest emerging activists. The literature review identifies some potential for research areas in light of the growing interest in shareholder activism. This thesis further includes two empirical studies on retail investors and activist hedge funds, respectively. The first essay examines retail investors’ attention and participation during shareholder activism with the proliferation of internet from 1990s. This study finds a significant increase in retail investors’ attention before the annual general meetings, leading to a subsequent increase in retail investors’ participation in the voting process, especially among proposals that resonate with retail investors’ preferences. This increase is more pronounced for less transparent firms than transparent firms. Empirical evidence also suggests that retail investors’ attention has a more pronounced increase for proposals with a more controversial tone. Overall, this study provides new insights into information technology’s role in mitigating retail investors’ apathy issues. The second essay focuses on hedge fund activism, and it is the first study to document the impact of hedge fund activism on firm risk-taking behaviors. This study provides evidence that firms targeted by activist hedge funds, which tend to maximize short-term profits, experience a significant reduction in risk-taking in the long-term. This reduction in risk-taking is more pronounced for myopic and opaque firms. This study also provides new evidence on the impact of target’s response on activism outcomes. Management’s hostile resistance would offset the initial effect of activism on target firms. Overall, this study provides important implications that activist hedge funds might not fulfil the role of monitoring as suggested in existing corporate governance literature. The results provide new insights to academics and regulators by adding to the debate on the costs and benefits of activism for the economy.
  • Thumbnail Image
    Item
    Essays in hedge fund performance : a thesis presented in fulfilment of the requirement for the degree of Doctor of Philosophy in Finance at Massey University, Palmerston North, New Zealand
    (Massey University, 2018) Yuen, Mui Kuen
    Over the last decade, hedge funds domiciled in the Asia Pacific has been one of the fastest growing sectors in the global hedge fund universe both in terms of the number of funds and assets under management (AUM). The issue of the sustainability of hedge fund risk-adjusted performance (alpha) has become more relevant given the rapidly increasing inflows in hedge funds in this region. The first part of this thesis investigates the alpha generating of the hedge funds domiciled in the Asia Pacific based on a recent sample compiled from the Eurekahedge, TASS, and Morningstar databases covering both the up and down markets and including the latest financial crisis. I find a positive average alpha in the cross-section for the majority of strategies and a positive and significant alpha for roughly half of all funds. Moreover, the alpha of three-quarter of the strategy indices is positive and significant in the time series. A comparison of the stepwise regression factor model and the widely used factor model proposed by Fung and Hsieh (2004a) reveals that the estimated alpha is robust with respect to the choice of the factor model. In contrast to prior research I find little evidence of a decreasing hedge fund alpha over time except dedicated short bias strategy. The second part of this thesis examines the issue of performance persistence in relation hedge funds domiciled in the Asia Pacific. Evidence of performance persistence indicates active selection is likely to enhance the expected return, particularly relevant for hedge fund investors. The second sub period that includes the global financial crisis of 2007 to 2010 result only weak evidence of performance. Over the full sample period, the results illustrate only weak evidence of persistence. Lastly, the thesis relates the survival of hedge funds domiciled in the Asia Pacific to the hedge fund characteristics. Given certain hedge fund characteristics such as age, size, performance, standard deviation, leverage, management and performance fees, high water mark provisions, redemption frequency, lockup provisions, minimum investment requirements, and whether the fund is listed on an exchange, I question whether attrition of hedge funds can be predicted. The results show larger, better performing funds with lower redemption frequency has a higher likelihood of survival irrespective of the model used.