Abstract

https://ssrn.com/abstract=1328045
 
 

References (64)



 
 

Citations (4)



 


 



Is Sovereign Wealth Fund Investment Destabilizing?


April M. Knill


Florida State University; Florida State University - College of Law

Bong-Soo Lee


Korea Advanced Institute of Science and Technology (KAIST)

Nathan Mauck


University of Missouri - Kansas City

June 1, 2010


Abstract:     
We investigate whether accusations by the popular press regarding the potential destabilizing force of sovereign wealth fund (SWF) investment have merit. SWF investments are associated with a reduction in the compensation of risk over the five-year term examined. Firm volatility decomposition suggests that it is mainly idiosyncratic risk that drives these impacts. Granger causality results suggest that SWFs are poorly informed in their investments (compared to the market) or they have nonfinancial motivations. There is no evidence that the media coverage precedes the poor performance. These findings suggest that SWF investment could be potentially destabilizing.

Number of Pages in PDF File: 42

Keywords: Sovereign wealth fund, Risk, Return

JEL Classification: G15, F34


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Date posted: January 16, 2009 ; Last revised: June 1, 2010

Suggested Citation

Knill, April M. and Lee, Bong-Soo and Mauck, Nathan, Is Sovereign Wealth Fund Investment Destabilizing? (June 1, 2010). Available at SSRN: https://ssrn.com/abstract=1328045 or http://dx.doi.org/10.2139/ssrn.1328045

Contact Information

April M. Knill (Contact Author)
Florida State University ( email )
Tallahassee, FL 32306-1042
United States
(850) 644-2047 (Phone)
Florida State University - College of Law ( email )
425 W. Jefferson Street
Tallahassee, FL 32306
United States
Bong-Soo Lee
Korea Advanced Institute of Science and Technology (KAIST)
373-1 Kusong-dong
Yuson-gu
Taejon 305-701, 130-722
Korea
Nathan Mauck
University of Missouri - Kansas City ( email )
5100 Rockhill Road
Kansas City, MO 64110-2499
United States
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