The Impact of Hedge Funds on the Volatility of Seasoned Equity Offerings

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dc.contributor.authorWalker, Rosemary L.
dc.contributor.authorKwak, Sungkyu
dc.contributor.authorHull, Robert M.en_US
dc.dateAugust 2010en_US
dc.date.accessioned2018-11-02T14:38:40Z
dc.date.available2018-11-02T14:38:40Z
dc.date.issued2010-08-1
dc.description.abstractTo what extent can hedge funds influence stock price volatility surrounding the announcements of major corporate events? To answer this question, this paper examines one of the more common major corporate events: seasoned equity offerings (SEOs). We test the impact of hedge fund variables on idiosyncratic and systematic volatility for a variety of short-run and long-run periods around the initial announcement dates for SEOs. We find that stock price volatility decreases when (i) the total assets under management by the hedge fund industry increases, (ii) the number of hedge funds increase (iii) the size of individual hedge funds decreases, (iv) leverage is more likely to be used by a hedge fund, and (v) an arbitrage strategy (as opposed to an event-driven or equity hedge) strategy is used. We can find no consistent evidence that hedge funds performance during the SEO announcement month influences volatility.en_US
dc.description.sponsorshipKaw Valley Banken_US
dc.description.versionFinal version of Washburn University School of Business Working Paper Series, No. 116
dc.format.mediumPDFen_US
dc.identifier.urihttps://hdl.handle.net/10425/332
dc.language.isoen_USen_US
dc.publisherWashburn University. School of Businessen_US
dc.subjectStocksen_US
dc.subjectHedge fundsen_US
dc.subjectSeasoned equity offering (SEO)en_US
dc.subjectVolatilityen_US
dc.titleThe Impact of Hedge Funds on the Volatility of Seasoned Equity Offeringsen_US
dc.typeFinal paperen_US
washburn.identifier.cdm43en_US
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