TY - JOUR
T1 - The long-term impact of sovereign wealth fund investments
AU - Park, Raphael Jonghyeon
AU - Xu, Simon
AU - In, Francis
AU - Ji, Philip Inyeob
N1 - Publisher Copyright:
© 2018
PY - 2019/9
Y1 - 2019/9
N2 - In this study, we examine the long-term impact of sovereign wealth fund (SWF) investments on target firms' value, return volatility, and crash risk. We find that SWF investments generally underperform stock markets in the long run. Furthermore, the effect of SWF ownership critically depends on the level of investor protection in recipient countries. We show that domestic SWFs impart a stabilizing effect on the stock price of target firms in countries with low investor protection, but the effect is weaker for foreign SWFs. Moreover, SWF investments during the non-crisis period increase the crash risk of target firms, but the effect reverses during the crisis period.
AB - In this study, we examine the long-term impact of sovereign wealth fund (SWF) investments on target firms' value, return volatility, and crash risk. We find that SWF investments generally underperform stock markets in the long run. Furthermore, the effect of SWF ownership critically depends on the level of investor protection in recipient countries. We show that domestic SWFs impart a stabilizing effect on the stock price of target firms in countries with low investor protection, but the effect is weaker for foreign SWFs. Moreover, SWF investments during the non-crisis period increase the crash risk of target firms, but the effect reverses during the crisis period.
KW - Crash risk
KW - Event study
KW - Firm value
KW - Sovereign wealth fund
UR - http://www.scopus.com/inward/record.url?scp=85056874072&partnerID=8YFLogxK
U2 - 10.1016/j.finmar.2018.08.004
DO - 10.1016/j.finmar.2018.08.004
M3 - Article
AN - SCOPUS:85056874072
SN - 1386-4181
VL - 45
SP - 115
EP - 138
JO - Journal of Financial Markets
JF - Journal of Financial Markets
ER -