In this report we investigate the liquidity of the European fixed income market using a large sample of government, corporate and covered bonds. We construct a robust liquidity index, based on PCA, to aggregate several measures and proxies for liquidity and estimate a multivariate regression...

Previous studies find positive stock market reactions around announcements that hedge funds own large equity stakes in companies and use this evidence to support the hypothesis that hedge fund activism creates value. A concurrent explanation is that the price reaction reflects, at least in part,...