The long-term impact of sovereign wealth fund investments

Raphael Jonghyeon Park, Simon Xu, Francis In and Philip Inyeob Ji

Journal of Financial Markets, 2019, vol. 45, issue C, 115-138

Abstract: 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.

Keywords: Sovereign wealth fund; Firm value; Crash risk; Event study (search for similar items in EconPapers)
JEL-codes: G14 G15 G18 G30 (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finmar:v:45:y:2019:i:c:p:115-138

DOI: 10.1016/j.finmar.2018.08.004

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