Les conséquences sur les prix de la propriété active

par Filip Bekjarovski

Projet de thèse en Finance

Sous la direction de Sébastien Pouget.

Thèses en préparation à Toulouse 1 en cotutelle avec Tilburg University , dans le cadre de École Doctorale Sciences de Gestion TSM (Toulouse) , en partenariat avec CRM - Centre de Recherche en Management (laboratoire) depuis le 01-10-2015 .

  • Titre traduit

    The pricing implications of active ownership

  • Résumé

    There is a growing attention on institutional investors' exercise of voting rights. As buyers (sellers) and holders of shares, institutional investors are very important players in financial markets. Unfortunately, there is still a lack of information regarding their influence on the management of the companies, and their potential impact on the stock prices. Institutional investors have two choices when they are unhappy with the actions of firm management: (i) they can exit the firm by selling shares (“voting with their feet”); or (ii) they can engage with management to try to institute change (“voice” or direct intervention), either by negotiating with the management of the firm “behind the scene”, or by voting negatively to the managements' proposals during general meetings. A first important question is to understand institutional investors' preferences in terms of votes, and to understand on which dimension they disagree with the management. Is there a particular attention dedicated to environment, social and governance policies of the firms? Is there a consensus among institutional investors on their voting outcome on controversial issues? How much are these votes influenced by Proxy Advisory recommendations? A second question is to study the pricing implications of their votes. A general measure of shareholders disagreement could be built from the general meeting voting records of US institutional investors (SEC fillings). This new measure could then be used to study if disagreement is a priced risk on equities or if it has an impact on stock volatility. There is ample theoretical research identifying potential implications of institutional investors' involvement in firms' corporate governance (Shleifer and Vishny, 1998; Admati and Pfeiderer, 2009). But direct empirical evidence of the impact of shareholder activism is rather scarce and comes from studies that focus on one specific institution: either activist hedge funds (Brav et al., 2008; Becht et al., 2009; Dimson et al., 2014) or institutional investors, like Calpers (Smith, 1996) or TIAACREF (Carleton et al., 1998). One exception is the recent paper by Iliev et al. (2015) providing an extensive analysis of 250 mutual funds votes and relating them to the proxy advisor ISS voting recommendations. Their results not only show how mutual funds differ from proxy advisors recommendations, but also that funds departing from ISS create more value, demonstrating a significantly positive relationship between active voting and fund alpha. Our research project aims at filling this gap by providing a comprehensive analysis of institutional investors' funds and a test of their potential impact of stock market prices and volatilities. From an operational viewpoint, this research should provide some insights on the design of equity funds willing to play (currently) unpriced externalities on environmental, social and governance dimensions, that could be detected by a higher degree of shareholders disagreement. It could also be a useful input for the design of an institutional proxy voting and engagement service. References Admati, Anat, and Paul Pfleiderer, 2009, The “Wall Street Walk” and shareholder activism: exit as a form of voice, Review of Financial Studies 22, 2245‐2485. Becht Marco, Julian Franks, Colin Mayer, and Stefano Rossi, 2009, Returns to shareholder activism: Evidence from a clinical study of the Hermes UK Focus Fund, Review of Financial Studies 22, 3093‐3129. Brav, Alon, Wei Jiang, Frank Partnoy, and Randall Thomas, 2008, Hedge fund activism, corporate governance, and firm performance, Journal of Finance 63, 1729‐1775. Carleton, Willard, James Nelson, and Michael Weisbach, 1998, The influence of institutions on corporate governance through private negotiations: Evidence from TIAA‐CREF, Journal of Finance 53, 1335‐1362. Dimson, Elroy, Oguzhan Karakas, and Xi Li, 2014, Active ownership, Working paper, London Business School. Iliev, Peter, and Michelle Lowry, 2015, Are Mutual Funds Active Voters? Review of Financial Studies 28(2), 446-485. Shleifer, Andrei, and Robert Vishny, 1986, Large shareholders and corporate control, Journal of Political Economy 94, 461‐488. Smith, Michael, 1996, Shareholder activism by institutional investors: Evidence from CalPERS, Journal of Finance 51, 227‐252.