Sovereign wealth funds’ investment impact on firm values: a study in view of SWF transparency, IFSWF membership, SWF funding source, open market transactions, domestic and foreign targets, deal value and acquired target stake

• Ano de defesa: 2016
• Autor(a) principal: Schie, Espen
• Orientador(a): Rochman, Ricardo Ratner, Zambrana, Rafael
• Tipo de documento: Dissertação
• Tipo de acesso: Acesso aberto
• Idioma: eng
• Palavras-chave em Português: Fundos soberanos; Estudo evento; Ações
• Palavras-chave em Inglês: Sovereign wealth funds; Event study; Firm value; CAAR; BHAR
• Link de acesso: http://hdl.handle.net/10438/17318

This is a study on the share price effect of Sovereign Wealth Funds (SWFs) investment announcements. The study examines the short- and the long-term impact of SWF investments on publicly traded companies, performed with an event study methodology to estimate the abnormal returns of the stock prices of the acquired firms around the dates when the announcements become publicly available. The announcements included in this study were made between 1990 and 2015. First, the results are compared to the level of transparency, as measured by the LTMI Index, to examine how the changes in stock prices react to the event. Then, the study presents six extensions with portfolios for IFSWF membership, SWF funding source, open market transactions and privately negotiated deals, domestic and foreign targets, deal value and acquired target stake. The results of the study provide empirical evidence of short-term significant cumulative abnormal returns and that SWFs with high transparency tend to generate more and positive cumulative abnormal returns, while SWFs with low transparency generate negative cumulative abnormal returns. Moreover, the long-term results suggest negative cumulative abnormal returns, though mostly insignificant, and show a tendency to mean revert.