The Announcement Effect of Shareholder Activism: Evidence from the Government Pension Fund Global

Abstract

In this thesis, we study the effects of shareholder activism announcement on company stock returns. We focus on an announcement in the Government Pension Fund Global, on the 23rd of November 2004. We perform an event study where we use a control-firm approach, as well as the Fama- French three-factor model to estimate cumulative abnormal returns in ±1, ±3, and ±6 day(s) event windows. In testing the significance of abnormal performance, simple regressions and t-tests yield a biased result because of issues of event clustering. When mitigating cross-correlation in abnormal returns, using the adjusted BMP-test (Kolari & Pynnönen, 2010), no significant announcement effect is observed. This is supported by a supplementary non-parametric test.