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1 IX Short List of Figures List of Tables Abbreviations XIX XXI XXIII Introduction 1 Part I. Hedge Funds as an Individual Investment and from a Portfolio Perspective 8 Chapter I. Hedge Funds and their Trading Strategies 10 Chapter II. The Portfolio Benefits of Hedge Funds as an Alternative Asset Class 24 Chapter III. Hedge Funds and other Alternative Investments in Portfolio Construction 65 Chapter IV. Empirical Analysis - Hedge Funds in Multi-Asset Portfolios in Different Financial Market Environments 95 Part II. The Impact of Hedge Funds on Corporate Governance System 123 Chapter I. Hedge Fund Activism and Corporate Governance 124 Chapter II. Corporate Governance Systems and the Influence of Hedge Funds Part IN. Empirical Analysis - The Impact of Hedge Funds on German Target Firms 181 Chapter I. Data Description and Methodology 183 Chapter II. Hedge Fund Activism in Good Times 208 Chapter III. Hedge Fund Investments in the Down-Market 290 Chapter IV. Robustness Checks 347 Part IV. Conclusion and Outlook 364 Bibliography 369 Bibliografische Informationen digitalisiert durch
2 XI List of Figures List of Tables Abbreviations XIX XXI XXIII Introduction 1 Part I. Hedge Funds as an Individual Investment and from a Portfolio Perspective 8 Chapter I. Hedge Funds and their Trading Strategies 10 A. The Legal and Contractual Structure of Hedge Funds 10 I. Regulation and Legal Structure 10 II. Incentive Structure 11 III. Lock-Up Arrangements 13 IV. Prime Brokerage 14 B. The Trading Strategies of Hedge Funds 15 I. Directional strategies 15 II. Relative Value Strategies 18 III. Event-Driven Strategies 21 C. Summary 23 Chapter II. The Portfolio Benefits of Hedge Funds as an AlternativeAsset Class 24 A. The Statistical Properties of Hedge Fund Returns 25 I. The Distribution of Hedge Fund Returns 25 II. Biases in Hedge Fund Data 28 B. Methods for Analyzing Hedge Funds' Performance 31 I. Investor Preferences for Higher Order Moments 32 II. Multi-Factor Models Trading-Factors and Dynamic Trading Strategies Market Timing vs. Security Selection Skills 39
3 XII 3. Style Drift 39 III. Performance Measurement Ratios 40 IV. Measurement of Performance Persistence 43 C. Risk-Adjusted Performance of Hedge Funds 45 I. Investment Skills of Hedge Fund Managers compared to Mutual Fund Managers Alpha in Individual Hedge Funds Performance Persistence - Skill or Luck? Funds of Hedge Funds and Hedge Fund Indices 48 II. Determinants of the Cross-Section of Hedge Funds Performance Trading Strategies Fund Design Crowded Trades, Competition and Capacity Effects 53 III. Summary 55 D. Diversification, Correlation Risk and Exposures to Alternative Risk Factors 56 I. Analysis for Individual Strategies Directional strategies Relative Value Strategies Event-Driven Strategies 59 II. Analysis for the Aggregate Hedge Fund Universe 60 III. Summary and Conclusion 62 E. Summary and Conclusion 63 Chapter III. Hedge Funds and other Alternative Investments in Portfolio Construction 65 A. Alternative Methods for Portfolio Construction 66 I. Mean Variance Analysis 67 II. Higher-Moment Asset Allocation Models 70 B. Optimal Allocations to Hedge Funds and other Alternative Investments 73
4 XIII I. Optimal Allocations to Hedge Funds based on Mean-Variance Analysis 73 II. Optimal Allocations to Hedge Funds and Higher Order Moments 75 III. Comparison of Optimal Allocations with other Alternative Investments 77 IV. Summary and Conclusion 78 C. Strategic Asset Allocations for Long-Term Investors and Hedge Funds 80 I. Strategic vs. Tactical Asset Allocation 81 II. Strategic Allocations of Hedge Funds 82 III. Tactical Asset Allocation with Hedge Funds 84 IV. Summary and Conclusion 86 D. Hedge Fund Investments from the Perspective of Different Investor Types 86 I. Suitability for different Types of Institutional Investors Asset Allocations for Institutional Investors University Endowment Funds Pension Funds and Life Insurance Companies 90 II. Suitability for Retail Investors 93 E. Conclusion 94 Chapter IV. Empirical Analysis - Hedge Funds in Multi-Asset Portfolios in Different Financial Market Environments 95 A. Methodology 97 I. Bayesian Asset Allocation Framework 97 II. Mean-Variance Spanning Tests 98 B. Data 99 I. Asset Classes 99 II. Definition of Different Market Environments 102 C. Optimal Allocation in Hedge Funds - Full Period 103 I. Risk and Return over the Full Sample Period 104 II. Efficient Frontiers and Optimal Asset Allocations 106
5 XrV III. Spanning Tests 107 D. Hedge Fund Investments in Different Market Environments 109 I. Risk and Return over Time - Time-Varying Investment Opportunities II. Efficient Frontiers and Optimal Allocations in Up- and Down-Markets The First Sub-Period: The Second Sub-Period: The Third Sub-Period: The Fourth Sub-Period: III. Spanning Tests for different Market Environments 118 IV. Summary 120 E. Conclusion 122 Part II. The Impact of Hedge Funds on Corporate Governance System 123 Chapter I. Hedge Fund Activism and Corporate Governance 124 A. An Overview of Corporate Governance Mechanisms 124 B. Hedge Funds' Approaches to Corporate Control 126 I. Comparative Advantages in Activism and Monitoring 127 II. Hedge Funds' Approaches to exert Control 129 C. Monitoring of Managerial Moral Hazard 131 I. Adjustments of Firm-level Corporate Governance 132 II. Financial Restructurings Corporate Financial Policies and Firm Value Hedge Fund Interference and Disgorgement of Free Cash Flows 136 III. Corporate Restructurings Boundaries of the Firm, Synergies and Firm Value Break-Ups and Corporate Refocusing Mergers & Acquisitions 144 a. Prevention of Mergers & Acquisitions 144 b. Support of Mergers & Acquisitions 146 IV. Conclusion 149
6 XV D. Wealth Transfers and Conflicts of Interests with other Stakeholders 150 I. Risk Shifting and Wealth Transfers from Debtholders 151 II. Myopia and Wealth Transfers from Long-Term Shareholders 154 E. Empirical Evidence 156 F. Conclusion 158 Chapter II. Corporate Governance Systems and the Influence of Hedge Funds A. The Traditional German Insider-based Corporate Governance System 160 I. The Old Governing Coalition in the German Corporate Governance System 161 II. Limited Influence of Capital Markets on German Corporate Governance 165 III. Conclusion 167 B. Activist Hedge Funds in the German Corporate Governance System 168 I. Reforms of the German Corporate Governance and the Emergence of Hedge Funds Activism Dissolution of the Old Governing Coalition Opportunities for Activist Hedge Funds 171 II. Ability of Hedge Funds to Restructure German Firms Controlling German Target Firms Implementation of Hedge Funds' Restructuring Plans 174 a. Financial Restructuring 175 b. Asset Restructuring and Mergers & Acquisitions 176 III. Agency Problems between Hedge Funds and other Shareholders 177 IV. Empirical Evidence 178 C. Summary and Conclusion 180 Part HI. Empirical Analysis - The Impact of Hedge Funds on German Target Firms 181 Chapter I. Data Description and Methodology 183 A. Sample Selection Approach 183 B. Decription of Dataset of Hedge Fund Engagements 185
7 XVI I. Distribution of Events over Time, Industries and Market Segments 185 II. Hedge Funds' Trading Approaches and Behavior vis-à-vis Target Firms 190 C. Methodology 193 I. Measuring Short-term Valuation Effects Cumulative Abnormal Returns Abnormal Trading Volume 198 II. Measuring Long-term Abnormal Performance Buy-and-Hold Abnormal Returns Calendar-Time Portfolio Approach Generalized Calendar Time Approach 205 III. Operating Performance 206 Chapter II. Hedge Fund Activism in Good Times 208 A. Characteristics of Target Companies 208 I. Financial Policies, Profitability and Diversification 209 II. Market Valuation of Target Companies 213 III. Ownership Structure of Target Firms 221 B. Short-term Valuation Effects 223 I. Results for the Full Sample 224 II. Results for Subsamples Acquisition Method Characteristics of Target Firms - Size and Technology Valuation of Target Firms Aggressiveness 238 III. Cross-Sectional Regressions 241 A. Long-Run Performance 245 I. Buy-and-Hold Abnormal Returns Analysis of the Full Sample Analysis of Subsamples 252 a. Acquisition Method 252
8 XVII b. Firm Characteristics - Firm Size and Technology 255 c. Valuation of Targets 257 d. Aggressiveness Cross-Sectional Regression 262 II. Calendar-time Portfolio Approach The Performance and Properties of Calendar Time Portfolios Fama-French Regressions 270 III. Robustness Check - Generalized Calendar Time Portfolio Approach Long-Run Performance Target Firm Characteristics and Performance 286 B. Summary and Conclusion 288 Chapter III Hedge Fund Investments in the Down-Market 290 A. Hedge Fund Investments during the Recent Financial Crisis 292 B. Characteristics of Target Companies during the Down-Market 294 I. Financial Policies, Profitability and Diversification 295 II. Market Valuation of Target Companies 299 III. Ownership Structure of Target Firms 307 C. Valuation Effects in the Down-Market 310 I. Valuation Effects in the Down-Market - Full Period 310 II. Valuation Effects at different Stages of the Subprime Crisis 316 III. Subsamples based on event characteristics Acquisition Method Characteristics of Target Firms - Size and Technology Valuation of Target Firms Aggressiveness 323 IV. Cross-Sectional Regressions 325 V. Calendar Time Approach The Performance and Properties of Calendar Time Portfolios 330
9 XVIII 2. Fama-French Regressions 335 VI. Robustness Check - Generalized Calendar Time Approach Long-Run Performance Target Firm Characteristics and Long-Run Performance 344 D. Conclusion 346 Chapter IV. Robustness Checks 347 A. Operating Performance 347 I. Good Times 348 II. Bad Times 354 B. Liquidity of Target Stocks 358 I. Good Times 358 II. Bad Times 360 III. Summary 363 Part IV. Conclusion and Outlook 364 Bibliography 369
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