What type of feedback would you like to send?
Abstract: This study describes the newly created Monitor-FEEM Sovereign Wealth Fund Transaction Database and discusses the investment patterns and performance of 1,216 individual investments, worth over $357 billion, made by 35 sovereign wealth funds (SWFs) between January 1986 and September 2008. Approximately half of the investments we document occur after June 2005, reflecting a recent surge of SWF activity. We document large SWF investments in listed and unlisted equity, real estate, and private equity funds, with the bulk of investments being targeted in cross-border acquisitions of sizeable but non-controlling stakes in operating companies and commercial properties. The average (median) SWF investment is a $441 million ($55 million) acquisition of a 42.3% (26.2%) stake in an unlisted company; the most active SWFs originate from Singapore or the United Arab Emirates. Almost one-third (30.9%) of the number, and over half of the value (54.6%) of SWF investments are directed toward financial firms. The vast majority of SWF investments involve privately-negotiated purchases of ownership stakes in underperforming firms. We perform an event study analysis using a sample of 235 SWF acquisitions of equity stakes in publicly traded companies around the world, and document a significantly positive mean abnormal return of about 0.9% around the announcement date. However, one-year matched-firm abnormal returns of SWFs average - 15.49%, suggesting equity acquisitions by SWFs are followed by deteriorating firm performance. In cross sectional analysis, we find weak evidence of benefits associated with a monitoring role of SWFs and evidence consistent with agency costs created by conflicts of interest between SWFs and minority shareholder. SWFs have collectively lost over $66 billion on their holdings of listed stock investments alone through March 2009.
Sovereign wealth funds, International financial markets, Government policy and regulation
Abstract: This study describes the newly created FEEM-Monitor Sovereign Wealth Fund Database and discusses the investment patterns and performance achieved for 1,216 individual investments, worth over $357 billion, made by 28 sovereign wealth funds (SWFs) between January 1986 and September 2008. We document large SWF investments in listed and unlisted equity, real estate, and private equity funds, with the bulk of investments being targeted in cross-border acquisitions of sizable but non-controlling stakes in operating companies and commercial properties. The average (median) SWF investment is a $441 million ($55 million) acquisition of a 42.3% (26.2%) stake in an unlisted American, British, or Singaporean company, made by a SWF from Singapore or the United Arab Emirates in June 2005. Almost one-third (30.9%) of the number, and over half of the value (54.6%) of SWF investments are directed toward financial firms. The vast majority of SWF investments involve privately-negotiated purchases of ownership stakes, with only 23 deals worth $677 million being listed as open market purchases of stock in listed firms. We also perform an event study using a sample of 235 SWF acquisitions of equity stakes in publicly traded companies around the world, and document a significantly positive mean abnormal return of about 0.9% around the announcement date. However, one-year risk-adjusted abnormal returns of SWFs average a significantly negative 26%, suggesting equity acquisitions by SWFs are followed by deteriorating firm performance. SWFs have collectively lost over $98 billion-fully 78% of original value-on their holdings of listed stock investments alone through February 2009
Abstract: This study describes the newly created Monitor-FEEM Sovereign Wealth Fund Database and discusses the investment patterns and performance of 1,216 individual investments, worth over $357 billion, made by 35 sovereign wealth funds (SWFs) between January 1986 and September 2008. Approximately half of the investments we document occur after June 2005, reflecting a recent surge of SWF activity. We document large SWF investments in listed and unlisted equity, real estate, and private equity funds, with the bulk of investments being targeted in cross-border acquisitions of sizeable but non-controlling stakes in operating companies and commercial properties. The average (median) SWF investment is a $441 million ($55 million) acquisition of a 42.3% (26.2%) stake in an unlisted company; the most active SWFs originate from Singapore or the United Arab Emirates. Almost one-third (30.9%) of the number, and over half of the value (54.6%) of SWF investments are directed toward financial firms. The vast majority of SWF investments involve privately-negotiated purchases of ownership stakes in underperforming firms. We perform event study analysis using a sample of 235 SWF acquisitions of equity stakes in publicly traded companies around the world, and document a significantly positive mean abnormal return of about 0.9% around the announcement date. However, one-year matched-firm abnormal returns of SWFs average -15.49%, suggesting equity acquisitions by SWFs are followed by deteriorating firm performance. In cross sectional analysis, we find weak evidence of benefits associated with a monitoring role of SWFs and evidence consistent with agency costs created by conflicts of interest between SWFs and minority shareholder. SWFs have collectively lost over $57 billion on their holdings of listed stock investments alone through March 2009.
Abstract: Previous research and recent statements by the Securities and Exchange Commission indicate that e-mail spam and message board posts are often used to manipulate markets in a variation of the classical pump-and-dump scheme, leading to temporary market reactions followed by price reversals. In contrast, I hypothesize that financial blogs spread genuine information leading to permanent market adjustments. I investigate stock recommendations on blogs and find that bloggers tend to write about liquid securities issued by large firms; I also find that bloggers offer short advice consistent with momentum strategies but long advice consistent with contrarian strategies. To test the hypothesis that stock recommendations on blogs impact both prices and trading volumes of the touted securities, I collect recommendations from blogs and analyze returns and trading volumes on the days surrounding publication; I offer evidence to support my hypothesis and I find some evidence of market reaction being stronger for short recommendations. I hypothesize and test that the magnitude of the market reaction depends on the market capitalization of the touted firm, on the size of the blog's audience, on the depth of the analysis of the blog post and on the perceived skill of the blog's author. I find that the market appears to react more strongly to recommendations given by holders of a graduate degree in Finance or Economics; the other hypothesized factors do not have an impact on the magnitude of the reaction. Finally, I document the absence of price reversals in the twenty days following blog publication, giving support to the hypothesis that blogs offer genuine information.
analyst recommendation, market reaction, blogs, event study
Abstract: Regulatory and media concern has focused heavily on the potentially manipulative distortion of market prices associated with naked short selling. However, naked shorting can also have beneficial effects for liquidity and pricing efficiency. We empirically investigate the impact of naked short-selling on market quality, and find that naked shorting leads to significant reduction in positive pricing errors, the volatility of stock price returns, bid-ask spreads, and pricing error volatility. We study naked shorting surrounding the demise of financial institutions hardest hit by the financial crisis in 2008 and find no evidence that stock price declines were caused by naked shorting. We also find that naked short-selling intensifies after rather than before credit downgrade announcements during the 2008 financial crisis. In general, we find that naked short sellers respond to public news and intensify their activity after price declines rather than triggering these price declines. We study the impact of the SEC ban on naked short selling of financial securities during July and August 2008, and find that the ban did not slow the price decline of those securities and had a negative impact on liquidity and pricing efficiency. Finally, after examining the speeds of mean reversion of pricing errors and order imbalances, we infer that Regulation SHO was successful in curbing the impact of manipulative naked short selling, and this reduction in the impact of manipulative naked shorting has continued through the 2008 financial crisis. Overall, our empirical results are in sharp contrast with the extremely negative pre-conceptions that appear to exist among media commentators and market regulators in relation to naked short-selling.
Naked short selling, short selling, pricing efficiency
© 2010 Social Science Electronic Publishing, Inc. All Rights Reserved. FAQ Terms of Use Privacy Policy Copyright This page was served by apollo1 in 0.079 seconds.
