This paper investigate the effects of investor protection on hedge fund activism. Using a parsimonious measure of investor protection constructed from fund organizational characteristics, we document that higher investor protection is strongly correlated with superior performance of activists....

The post-earnings-announcement drift is a longstanding anomaly that conflicts with market efficiency. This study documents that the post-earnings-announcement drift occurs mainly in highly illiquid stocks. A trading strategy that goes long high-earnings-surprise stocks and short...

The post-earnings-announcement drift is a longstanding anomaly that conflicts with market efficiency. This study documents that the post-earnings-announcement drift occurs mainly in highly illiquid stocks. A trading strategy that goes long high-earnings-surprise stocks and short...

This paper studies the relation between the media coverage of funds and their future performance. We classify news items about equity hedge funds over 1999--2008 into three source groups: General newspapers, Specialized magazines, and Corporate Communication. Examining post-exclusive-coverage...

This paper demonstrates that the cross-sectional variation of systematic risk and systematic liquidity have increased over the period 1963-2008. Both have increased signi ficantly for large-cap firms, but declined signifi cantly for small-cap fi rms. Several implications for investment managers...