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.     

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.     

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.     

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.     

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。     

外资对我国证券市场投资的动因探析

随着经济全球化的进展,国际投资分散化越来越成为世界资本市场的一种趋势,中国也开始实行QFII制度.外国投资者有足够的动力投资于中国证券市场,然而,由于一些客观原因,外国投资者在我国的投资中存在一定的障碍.从债券投资的国际免疫和股票投资的国际分散化角度分析,外国投资者投资我国证券市场的动因是套期保值和国际投资组合分散化.     

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.     

Stock return predictability and the adaptive markets hypothesis: Evidence from century-long U.S. data

This paper provides strong evidence of time-varying return predictability of the Dow Jones Industrial Average index from 1900 to 2009. Return predictability is found to be driven by changing market conditions, consistent with the implication of the adaptive markets hypothesis. During market crashes, no statistically significant return predictability is observed, but return predictability is associated with a high degree of uncertainty. In times of economic or political crises, stock returns have been highly predictable with a moderate degree of uncertainty in predictability. We find that return predictability has been smaller during economic bubbles than in normal times. We also find evidence that return predictability is associated with stock market volatility and economic fundamentals.     

Transmission of Stock Returns and Volatility between the U.S. and Japan: Evidence from the Stock Index Futures Markets

In this paper, we examine the nature of transmission of stock returns and volatility between the U.S. and Japanese stock markets using futures prices on the S&P 500 and Nikkei 225 stock indexes. We use stock index futures prices to mitigate the stale quote problem found in the spot index prices and to obtain more robust results. By employing a two-step GARCH approach, we find that there are unidirectional contemporaneous return and volatility spillovers from the U.S. to Japan. Furthermore, the U.S.'s influence on Japan in returns is approximately four times as large as the other way around. Finally, our results show no significant lagged spillover effects in both returns and volatility from the Osaka market to the Chicago market, while a significant lagged volatility spillover is observed from the U.S. to Japan. This revised version was published online in August 2006 with corrections to the Cover Date.     

Manipulation in U.S. REIT Investment Performance Evaluation: Empirical Evidence

We investigate whether Real Estate Investment Trust (REIT) managers actively manipulate performance measures in spite of the strict regulation under the REIT regime. We provide empirical evidence that is consistent with this hypothesis. Specifically, manipulation strategies may rely on the opportunistic use of leverage. However, manipulation does not appear to be uniform across REIT sectors and seems to become more common as the level of competition in the underlying property sector increases. We employ a set of commonly used traditional performance measures and a recently developed manipulation-proof measure (MPPM, Goetzmann et al., Rev Finan Stud 20(5):1503–1546, 2007) to evaluate the performance of 147 REITs from seven different property sectors over the period 1991–2009. Our findings suggest that the existing REIT regulation may fail to mitigate a substantial agency conflict and that investors can benefit from evaluating return information carefully in order to avoid potentially manipulative funds.     

美国证券市场向何处去？

在这场以技术为主导的市场重组过程中，美国证券市场结构是否会在近期内发生翻天覆地的变化呢?我们认为，虽然美国证券市场的部分结构特征会被变革浪潮所吞噬，如纽约证券交易所的交易大厅最终将成为缅怀历史的博物馆，但这种变化是渐进的演变，而不是剧烈的革命。     

Market Efficiency and Returns to Simple Technical Trading Rules: Further Evidence from U.S., U.K., Asian and Chinese Stock Markets

Tian, Wan and Guo (2002) explored the predictability and profitability of technical trading rules in markets with different efficiency levels; namely, the U.S. and China. In the case of the U.S. they found rules to have no predictability after 1975, whereas their results give support to technical trading rules having both predictability and profitability for the Chinese markets across the 1990's. The purpose of this paper is to extend the analysis of Tian et al. in two ways. First, to see if the conclusions extend to other markets – namely, the U.K., Hong Kong and Japan. Second, in the case of China, to examine whether the predictability and profitability of technical trading rules changed across the 1990's. On the basis of daily data Tian et al's results for the U.S. market are supported by the results for a number of the main developed markets where the technical trading rules had predictive ability during the 1970's that disappeared by the 1990's. Furthermore, the results suggest that while technical trading rules had short term predictive ability and profitability in the Chinese stock markets during the 1990's, this lessened as the decade progressed. JEL Classification: G14, G15     

Stock Market Volatility in an Emerging Market: Further Evidence from the Athens Stock Exchange

We investigate the time series properties of the daily and weekly returns from the Athens Stock Exchange (ASE) index for the years 1987 to 1997. We investigate whether important time-series characteristics have changed significantly over time. The Greek market has recently undergone major changes including complete capital flow liberalization, the implementation of computerized trading, as well as significant increases in market volume and capitalization; we thus contrast the 1987–90 and 1991–97 periods. Our findings suggest the dynamics of the ASE composite index returns have changed as the market has developed.     

外商直接投资对浙江省国民经济的作用

<正> 改革开放以来,浙江省开放型经济迅猛发展。其中,一个耀眼的亮点是外商直接投资呈几何倍数增长。自1980年全省诞生第一家外商投资企业以来,到l999年外商投资企业累计已达16697家,合同外资金额219.57亿美元,实际利用外资金额98.87亿美元。外商直接投资对浙江省国民经济产生了巨大的影响,其作用主要表现在以下几个方面: 1.引进了大量外资,弥补了经济建设资金的不足。改革开放以来,浙江省累计实际吸收外商投资98.87亿美元,相当于1999年该省全社会固定资产投资1284亿元的64％。外资的引进,使长期以来由于资金制约而不能上马建设的一批基础设施、生产项目、旧城改造项目得以进行。如关系到浙西南人民脱贫致富的金温铁路,缓解全省用电紧张的镇海、温州、加兴、台     

On the Market Timing of Hedging: Evidence from U.S. Oil and Gas Producers

Review of Quantitative Finance and Accounting - Using a hand-collected data, we provide evidence of extensive use of commodity derivative in hedging among U.S. oil and gas producers. We find large...     

Stock Splits as a Manipulation Tool: Evidence from Mergers and Acquisitions

We document that acquiring firms are more likely than nonacquiring firms to split their stocks before making acquisition announcements, especially when acquisitions are financed by stock and when the deals are large. Our findings support the hypothesis that some acquiring firms use stock splits to manipulate their equity values prior to acquisition announcements. Using earnings quality as a proxy for firms' intention to manipulate, we find that acquirers with low earnings quality (i.e., acquirers that are more likely to use stock splits to manipulate their stock values) have lower long‐run stock returns compared with their benchmarks, especially when the deals are financed with stock. In contrast, acquirers with high earnings quality do not show that pattern. Our evidence complements and extends the findings in the literature that some acquirers manipulate their stock prices before stock‐swap acquisitions. This study suggests that target shareholders should use information such as earnings quality and stock splits to discriminate among acquirers and ensure that exchanges are conducted on fair terms.