Multinationals as Arbitrageurs: The Effect of Stock Market Valuations on Foreign Direct Investment

Empirical evidence of imperfect integration across world capitalmarkets suggests a role for cross-border arbitrage by multinationals.Consistent with multinational arbitrage as a determinant offoreign direct investment (FDI) patterns, we find that FDI flowsincrease sharply with source-country stock market valuations—particularlythe component of valuations that is predicted to revert thenext year, and particularly in the presence of capital accountrestrictions that limit other mechanisms of cross-country arbitrage.The results suggest the existence of a cheap financial capitalchannel in which FDI flows reflect, in part, the use of relativelylow-cost capital available to overvalued parents in the sourcecountry.     

估算中国的IFDI和OFDI——来自“避税天堂”与返程投资的证据

本文梳理了现有文献对离岸金融中心导致的直接投资头寸统计偏差进行修正的方法,详细比较了直接投资头寸数据集的优劣差异,并以CDIS宏观数据集为基础,引入Orbis微观企业数据库作为重要补充,对直接投资的动机按避税目的和境外上市目的进行区分,以此估算我国的IFDI和OFDI存量。结果表明:(1)估算后,来自离岸金融中心的IFDI调减1.1万亿美元,其中超过80%是出于避税目的进行的返程投资;(2)考虑VIE架构境外上市企业的影响后,返程投资占比增长至近37%,规模约1万亿美元,其中VIE架构境外上市企业贡献了16%;(3)我国对外投资存在经过“避税天堂”进行中转的现象,其中最终投向英属维尔京群岛的OFDI存量约占1/4,是我国实际OFDI的最主要投向地。     

从立法看美国对金融外资的规制

美国构建了全球最为庞大的综合性金融外资法制体系.根据各项金融外资立法涉及的领域不同,美国既有针对金融外资实行常规监管的综合性立法,又有针对外资开展银行业务、证券业务以及保险业务予以规制的专门法律.美国已有立法对金融外资的规制遵循透明度原则、竞争原则和诚信原则,旨在促进金融市场的稳定.     

Momentum and Foreign Investors: Evidence from the Korean Stock Market

Abstract:

We examine whether the price impact of foreign investors on the Korean stock market from December 2000 to February 2007 generated a momentum phenomenon. In our empirical results, foreigners seem to have exerted a significantly positive impact on prices in “up” markets (periods of positive stock returns), but have had little impact on prices in “down” markets (periods of negative returns). We document that the impact of foreigners’ trades is concentrated in large companies. Most importantly, when the market is in the up state, the returns of stocks of large companies that were positively affected by foreign investors in the previous six-month period continue to increase in the subsequent six-month period. As a result, the subsequent six-month return on a past “winner” stock portfolio is significantly higher than that on a past “loser” stock portfolio. This brings to mind a momentum phenomenon that has been reported not to exist in the Korean stock market.     

Foreign exchange exposure: Evidence from the U.S. insurance industry

We study the foreign exchange exposure of U.S. insurers. The evidence shows that no systematic difference exists in the currency risk profiles of life and non-life segments within the insurance industry. This suggests that life and non-life insurers have similar risk exposure management strategies arising from similar risk pooling and financial intermediary functions. The empirical results reveal that a sizable proportion of U.S. insurers are exposed to foreign exchange movements against the seven largest U.S. trade partners in insurance services (U.K., Japan, Switzerland, Netherlands, France, Germany and Canada). Significant operational and size effects are also documented and we find that the frequency of foreign exchange exposure increases with time horizon.     

U.S. Equity Investment in Emerging Stock Markets

This article examines U.S. equity flows to emerging stock marketsfrom 1978 to 1991 and draws three main conclusions. First, despitethe recent increase in U.S. equity investment in emerging stockmarkets, the U.S. portfolio remains strongly biased toward domesticequities. Second, of the fraction of the U.S. portfolio thatis allocated to foreign equity investment, the share investedin emerging stock markets is roughly proportional to the shareof the emerging stock markets in the global market capitalizationvalue. Third, the volatility of U.S. transactions in emerging-marketequities is higher than in other foreign equities. The normalizedvolatility of U.S. transactions appears to be falling over time,however, and we find no relation between the volume of U.S.transactions in foreign equity and local turnover rates or volatilityof stock returns.     

股票市场开放与企业投资效率——基于“沪港通”的准自然实验

资本市场的持续对外开放是党的十九大强调的重要举措。本文基于沪港通开通这一准自然实验,检验了股票市场开放对企业投资效率的影响。结果发现:沪港通的开启促进了标的公司投资效率的提高,这一影响主要体现在信息环境不透明、治理水平低的公司;机制分析发现,沪港通开启后,公司信息质量的提高和分析师预测准确度的增加是股票市场开放影响标的公司投资效率的重要渠道;最终标的公司在沪港通开通后经营业绩也得到提升。本文结论表明,股票市场开放改善了公司的投资效率,提高了对实体经济的服务能力,这对党的十九大提出的“深化资本市场对外开放”和“金融服务实体经济”系列改革有重要启示。     

The Response of Dynamic Herd Behavior to Domestic and U.S. Market Factors: Evidence from the Greater China Stock Markets

ABSTRACT

We investigate the dynamic reaction of stock market herding in China, Hong Kong, and Taiwan to unexpected shocks from domestic and U.S. market factors. In China and Taiwan, herding is more pronounced, and the investors tend to herd with the rising stock market returns. Overconfident investors will herd on the subsequent trading days under market stress. Compared with the response to the domestic market factors, the responses of herding in the Greater China stock market to the U.S. market factors are weaker. After the 2007–8 financial crisis, the U.S. market factors highly explain the forecast error variance of herding in the Shanghai A-share and Taiwan markets.     

Seasonality in Stock Price Mean Reversion: Evidence from the U.S. and the U.K.

The evidence of slowly mean-reverting components in stock prices has been controversial. The hypothesis of stock price mean-reversion is tested using a regression model that yields the highest asymptotic power among a class of regression tests. Although the evidence that the equally weighted index of stocks exhibits mean-reversion is significant in the period 1926–1988, this phenomenon is entirely concentrated in January. In the post-war period both the equally weighted and the value-weighted indices exhibit seasonal mean-reversion in January. A similar phenomenon is also observed for the equally weighted index of stocks traded on the London Stock Exchange.     

风险与外商直接投资简

外商直接投资已经被视作企业在全球扩张中的一种典型方式。通过吸收国外资金,技术或者管理经验,外商直接投资已经成为所在国家经济发展的潜在催化剂。与此同时,外国公司和他们的公司所属国也将会从外商直接投资中获得更大的利益,更低的成本等等。所以,这就不难看出外商直接投资已经日益成为一种对两国经济发展双赢的投资方式。然而,在对外投资的过程中,外国企业以及公司所属国家不得不面对一些问题,那就是如何将风险最小化。事实上,在这个过程中,风险是多种多样的,例如,政治风险,经济风险,汇率风险以及法律风险,所有的这些都将会影响外商直接投资的方向因为它将会导致企业的盈利能力下降。通过基于于1984年至2007年间,美国企业对全球43个发展中国家投资的固定样本数据作为参考,本文的实证结果能够统计地证实风险与外商直接投资流存在反向关系。     

Modelling Credit Risk for SMEs: Evidence from the U.S. Market

Considering the fundamental role played by small and medium sized enterprises (SMEs) in the economy of many countries and the considerable attention placed on SMEs in the new Basel Capital Accord, we develop a distress prediction model specifically for the SME sector and to analyse its effectiveness compared to a generic corporate model. The behaviour of financial measures for SMEs is analysed and the most significant variables in predicting the entities' credit worthiness are selected in order to construct a default prediction model. Using a logit regression technique on panel data of over 2,000 U.S. firms (with sales less than $65 million) over the period 1994–2002, we develop a one-year default prediction model. This model has an out-of-sample prediction power which is almost 30 per cent higher than a generic corporate model. An associated objective is to observe our model's ability to lower bank capital requirements considering the new Basel Capital Accord's rules for SMEs.     

会计稳健性与投资效率——来自中国证券市场的经验证据

会计稳健性是财务报告的一项重要特征,而投资效率则是企业生存和发展至关重要的制约因素,稳健的会计政策对企业投资效率的影响值得深入探讨.通过实证研究发现,会计稳健性越好的企业,在投资机会下降时,会更及时地削减投资,即投资效率更高.     

International Transmission of U.S. Monetary Policy Shocks: Evidence from Stock Prices

This paper analyzes intraday changes in firm‐level equity prices around interest rate announcements to assess the transmission of U.S. monetary policy to the global economy. We document that foreign firms on average are roughly as sensitive to U.S. monetary policy as U.S. firms, although we also find considerable cross‐sectional variation across firms. In particular, foreign stocks in cyclically sensitive industries show stronger responses to interest rate surprises, consistent with a demand channel of policy transmission. In addition, transmission of U.S. policy appears to be stronger to economies with fixed exchange rates. Evidence for a credit channel is weaker.     

外商直接投资、金融市场与东道国经济增长:理论与实证

在戴蒙德跨期世代交叠模型中考察了金融市场与FDI的联合效应对东道国经济增长的作用机制,模型通过对于代表性居民两种选择的最优化消费决策进行求解,提出金融效率的提高可以降低企业融资成本,从而使得创建新企业所需的企业家才能临界值ε*t下降,东道国外商直接投资的吸收能力将会提高。基于中国29个省份(自治区、直辖市)1994—2012年面板数据的实证研究结果发现,我国金融市场可以将FDI潜在的技术外溢转化为现实生产力并带动经济可持续增长,但是随着外资数量的增加其资本积累效应逐渐下降,此时完善的金融环境通过放大FDI的技术溢出可以进一步促进国内的经济增长;同时我国金融发展与FDI技术外溢存在显著的地区差异,故相关金融体制改革应当在各地区FDI促进经济增长中发挥因地制宜的作用。     

美国证券市场高科技上市公司研究

高科技的宠儿——YAHOO公司，是一个靠借款建立起来的网络公司，通过上市，一夜之间取得了令人难以置信的财富，股价最高时达到450美元。在证券市场的协助下，“知识就是财富”的内涵获得了淋漓尽致的表现，也改写了资本称霸证券市场的历史。     

First- and Second-Moment Exchange Rate Exposure: Evidence from U.S. Stock Returns

This study investigates the impact of first‐ and second‐moment exchange rate exposure on the daily returns of nine U.S. sectors from 1992 to 1998. In 17.8% of the cases we detect significant first‐moment exposure when contemporaneous exchange rates are used. Moreover, 25.0% of the significant exposures are asymmetric. When the model utilizes one‐day lags, 42.2% of the cases are significant and 79.0% are asymmetric. Regarding second‐moment exposure, the financial sector displays pervasive sensitivity to exchange rate volatility when using contemporaneous and lagged models. This result is reasonable, assuming that revenues from the sale of derivative products increase with currency volatility.     

Institutional Investor Trading in a Short Investment Horizon: Evidence from the Korean Stock Market

We examine the weekly trading activities of institutional investors in the Korean stock market. First, we find that average net trades by institutional investors this week are negatively related to one-week lagged returns, suggesting that they could be contrarian traders. Second, our finding shows that institutional investors’ net trades this week are positively related to the net trades next week, consistent with persistent trading and/or herding behavior. Third, we find that institutional net trades are positively related to the post one-week returns. Finally, our findings are most pronounced in the group of short-term institutional investors.     

The Evidence on Product-Market Diversifying Acquisitions and Joint Ventures by U.S. Banks

We examine the acquisition and joint venture strategies of U.S. banks from 1980 to 1998 to diversify into non-banking sectors. We find that the market responds favorably to both types of expansions, with the gains being shared between acquiring banks and their targets and venture banks and their non-bank partners, respectively. Acquisitions expose acquiring banks to significant increases in nonsystematic, market, and total risk, while joint ventures result in significant decreases in the nonsystematic and total risk measures for participating banks. Our results suggest that product-market expansions, in general, provide U.S. banks with value-enhancing opportunities, and that joint ventures may improve both the return and risk characteristics of the partner banks.