Hedge Fund Activism and Information Disclosure: The Case of Germany

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 analyze information and price pressure effects in some detail. The paper also documents the extent and nature of delays in hedge funds' notification behavior.