Can I react to Baited Hook with Smokescreen to change the target's might and alter what he can use?

Yes, you can. Smoke Screen has [Reaction], so it resolves first (LIFO) and reduces the targeted unit's Might — to a minimum of 1 — before Baited Hook kills it.

Baited Hook checks the killed unit's current Might at the moment of death (Rule 710; FAQ #6060), not its printed Might. So if you Smoke Screen a 4-Might unit down to 1, the opponent can only fetch a unit of Might 2 or less instead of 5 or less. The unit is still on the board when you play Smoke Screen, so it's a legal target. If the unit instead leaves the board entirely before Baited Hook resolves, the kill fizzles and its Might is treated as null — the opponent reveals the top 5 but can't play any unit (Rule 359.3.e.12).