Hedge Fund Activism and Information Disclosure: the Case of Germany


  • The authors are grateful for the financial support provided by the WWZ Förderverein under project number B-116. Yakov Amihud and Philippe Mangold provided helpful comments and useful discussions. The suggestions of an anonymous referee have substantially improved the paper. Moreover, Peter Weber acknowledges the generous award ‘Nachwuchsförderpreis der Basler Privatbanquiers 2010’ sponsored by Baumann & Cie. Banquiers, E. Gutzwiler & Cie. Banquiers and La Roche & Co. Banquiers.


Based on the German regulatory framework, we provide a more detailed picture of the information disclosure process surrounding the announcement of major shareholdings of hedge funds in listed companies. We separate price and volume effects between three event dates: the transaction date when the investor reaches a notification threshold, the announcement date when potential insiders (the target firm and the regulator) receive advance information, and the publication date when the information is officially released to the public. This separation makes it possible to analyse information and price pressure effects in some detail. The paper also documents the extent and nature of delays in hedge funds’ notification behaviour.