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The Devil is in the Details: Firm-Specific or Market Information in Shareholder Activism

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Title:The Devil is in the Details: Firm-Specific or Market Information in Shareholder Activism
Authors:Duo Pei
Keywords:Shareholder Activism
Price Response
Investor Attention
Firm-Specific Information
Private Information
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Date Issued:16 Aug 2020
Abstract:This study measures how shareholder activism may change market participants' processing and incorporation of different types of information. Specifically, I examine the earnings response coefficient (ERC), price delay, and probability of informed trading (PIN), which capture the usage of firm-specific public information, public market-wide information, and firm-specific private information, respectively. I find an increase in ERC, price delay, and PIN during shareholder activism. I also find an influx of attention-based trading in the 2 quarters immediately after 13D filing, which is subsequently replaced by information-based trading. The findings are consistent with a slower reflection of publicly available market-wide information and investors engaging in more firm-specific information processing. Investors appear to substitute more general information with focused information about activist targets in their trading decisions.
Appears in Collections: 09 Financial Accounting 2: Disclosure

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