SMB HML and MOM are the estimates of factor loading on the Fama French size and

Smb hml and mom are the estimates of factor loading

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“SMB,” “HML,” and “MOM” are the estimates of factor loading on the Fama-French size and book-to-market factors, and the Carhart momentum factor. “R2” is the R-squared from the regressions. *and **indicate statistical significance at the 10% and 5% levels.
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24Table 4. Excess Returns to Activist Equity Hedge Funds, Equity Hedge Funds, and All Hedge Funds Panel A: All Activist Equity Hedge FundsAll sample 36-month rolling window Percentile One-Factor Alpha Four-Factor Alpha One-Factor Alpha Four-Factor Alpha 5% -0.05 -0.28 -0.57 -0.58 25% 0.38 0.33 0.38 0.26 50% 0.71 0.56 0.65 0.57 75% 1.19 0.94 0.99 0.96 95% 1.79 1.86 1.82 2.00 Average 0.82 0.70 0.67 0.63 Standard Dev. 0.62 0.70 0.66 0.75 Number of Funds 102 102 Panel B: All Hedge FundsAll sample 36-month rolling window Percentile One-Factor Alpha Four-Factor Alpha One-Factor Alpha Four-Factor Alpha 5% -0.54 -0.69 -0.94 -1.04 25% 0.09 0.01 0.02 -0.02 50% 0.37 0.28 0.32 0.29 75% 0.74 0.65 0.69 0.67 95% 1.98 1.84 1.88 2.10 Average 0.49 0.39 0.38 0.39 Standard Dev. 0.95 1.00 1.36 1.63 Number of Funds 10,530 10,384
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25Panel C: All Equity Hedge FundsAll sample 36-month rolling window Percentile One-Factor Alpha Four-Factor Alpha One-Factor Alpha Four-Factor Alpha 5% -0.77 -0.97 -1.28 -1.24 25% 0.09 -0.01 -0.03 -0.07 50% 0.46 0.38 0.40 0.38 75% 0.92 0.82 0.84 0.87 95% 2.34 2.16 2.25 2.65 Average 0.58 0.47 0.42 0.48 Standard Dev. 1.17 1.36 1.71 2.07 Number of Funds 3,986 3,563 Notes: The table reports the summary statistics of alpha estimates from the CAPM and the four-factor (defined in Table 3) models for the sample of self-reported activist hedge funds, all hedge funds, and equity-oriented hedge funds. In the “All-sample” column, alpha and beta loadings on the factors are estimated using the full sample. In the “36-month rolling window” column, the same beta loadings are estimated using the 36 months prior to the current month. Monthly alphas are calculated using the time-varying beta loadings, and then averaged at the fund level.
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26Table 5. Returns Based on 13F-Filed Holdings Most recently filed holdings Holdings filed at least 2 months ago Percentile Excess of Market One-Factor Alpha Four-Factor Alpha Excess of Market One-Factor Alpha Four-Factor Alpha 5% -0.53 -0.41 -0.59 -0.54 -1.12 -1.56 25% 0.55 0.49 0.27 0.24 0.13 -0.01 50% 0.99 0.88 0.66 0.65 0.54 0.26 75% 1.49 1.35 1.23 0.96 0.88 0.71 95% 2.82 2.98 2.22 2.13 2.13 1.58 Average 0.96 0.90 0.62 0.65 0.58 0.36 Standard Dev. 2.06 1.85 2.67 1.07 0.93 1.02 Num. of Funds 147 147 Notes: This table reports the summary statistics of abnormal returns (in terms of excess return over the market, one-factor alpha, and four-factor alpha) of the long-equity positions of sample hedge funds that report quarterly holdings to the Thomson Financial Spectrum database. In the first column, we construct the returns from the equity long-only position by assuming that the hedge funds hold their most recently disclosed positions. In the second column, the returns are imputed on the filings that are at least two months old.
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27Table 6. Cross-Sections of Activist Hedge Fund Returns Four-Factor Alpha One-Factor Alpha Avg. Announcement Ex. Return COEF t-stat COEF t-stat COEF t-stat Log(#Targets) 0.049 0.93 0.021 0.37 2.496**2.50 Hostile Tactics 0.060 0.41 0.087 0.5 -0.348 -0.10 Objective: Sale 0.089 0.46 0.063 0.28 9.085**2.83 Fund Age 0.002 -1.45 0.002 -1.41 -0.005**-1.99 Log(AUM) 0.05 0.95 0.076 1.33 1.002 1.02 Management Fee (%) 0.179*1.78 0.034 0.28 -5.444 -1.62 Incentive Fee (%) 0.052**3.90 0.062**3.98 0.364 0.91 Log(Min Invest) -0.11 -1.21 -0.208*-1.73 -1.293 -0.31 Watermark 0.042 0.15 -0.012 -0.04 4.687 1.07 Constant -0.33 -1.09 -0.056 -0.16 0.993 0.11 R-sqr and # of Obs 0.20 103 0.19 103 0.17 103 Notes:
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