Please use this identifier to cite or link to this item: http://scholarbank.nus.edu.sg/handle/10635/31620
Title: Cross-border equity investments of sovereign wealth funds - A performance comparison with hedge funds
Authors: NICOLE HAGEN
Keywords: Sovereign Wealth Funds, Hedge Funds, stake acquisition, equity investments, cross-border investments, abnormal returns
Issue Date: 29-Apr-2011
Source: NICOLE HAGEN (2011-04-29). Cross-border equity investments of sovereign wealth funds - A performance comparison with hedge funds. ScholarBank@NUS Repository.
Abstract: The paper examines 207 cross-border investments by sovereign wealth funds (SWFs) and 144 cross-border investments by hedge funds (HFs) in publicly traded companies between January 1990 and December 2009. We find that both SWFs and HFs tend to invest in companies that displayed positive abnormal returns in the year prior to the investment announcement. Results show that both cross-border SWF and HF investments are associated with significant positive abnormal returns in the target companies during the 3-day announcement window. Reactions are similar for SWFs and HFs as the announcement period abnormal returns of the two samples are not significantly different. In the first year following the investment, SWF investments display negative mean cumulative market-adjusted returns, whereas HF investments display mean cumulative market-adjusted returns not significantly different from zero. Only in later years (from year 2 onwards for the HF sample and in year 5 for the SWF sample) are mean cumulative market-adjusted returns positive. The results for the HF sample are significantly higher than for the SWF sample from year 2 onwards, indicating that over the very long-run, HF investments outperform SWF investments on average. We also analyze the crisis period of 2007 and 2008 and find that mean announcement period abnormal returns of SWF investments are significantly higher during these years. HF investments do not display significantly higher announcement period abnormal returns during the crisis period of 2007 and 2008.
URI: http://scholarbank.nus.edu.sg/handle/10635/31620
Appears in Collections:Master's Theses (Open)

Show full item record
Files in This Item:
File Description SizeFormatAccess SettingsVersion 
HagenN.pdf1.48 MBAdobe PDF

OPEN

NoneView/Download

Page view(s)

234
checked on Dec 11, 2017

Download(s)

394
checked on Dec 11, 2017

Google ScholarTM

Check


Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.