COLLEGIO CARLO ALBERTO

DIPLOMA IN ECONOMICS DISSERTATION

POLITICAL INSTABILITY AND SOVEREIGN WEALTH

FUNDS INVESTMENTS

Candidate: Alberto Racca

Supervisor: Prof. Bernardo Bortolotti
July 2011

ABSTRACT
Investments of Sovereign Wealth Funds (SWF) in some western companies and
financial institutions have spurred concerns about a new kind of capitalism that
might subvert the international economic system. The analysis and research
into the SWF has been focused on the characteristics of the fund in terms of
transparency, disclosure of information and accountability. However, another
element of risk could arise in light of the close interconnection between SWF
and political regimes. Evidence for this hypothesis can be found in the recent
political turmoil that

is changing the geopolitics of the Middle East. The

instability of the country where the SWF is based could bear a negative effect
on the performance of an invested company, thus limiting returns to its
shareholders. The aim of this short essay is to describe the key features of
SWFs, their most recent behaviour, and the economic implications of political
riskrelated SWF investment for host countries and invested companies. After
pointing out a new market failure, I set forth some tentative recommendations
that by regulating SWF investment aim to preserve free capital flows while
fostering social progress in resourcerich, non democratic countries.

1. INTRODUCTION
The shift in the distribution of wealth around the world is impressive: financial
power, so long concentrated in the developed economies, is dispersing. Oil-rich
countries and Asian central banks are now among the worlds largest sources
of capital. Moreover more, the influx of liquidity these players have brought is
enabling hedge funds and private-equity firms to soar in the pecking order of
financial intermediation. In 2006 oil-exporting countries became the worlds
largest source of global capital flows, surpassing Asia for the first time since the
1970s (Exhibit 2). These investorsfrom Indonesia, the Middle East, Nigeria,
Norway, Russia, and Venezuelainclude sovereign wealth funds, governmentinvestment companies, state-owned enterprises, and wealthy individuals. This
flood of petrodollars comes from the tripling of world oil prices since 2002 and
the steady growth in exports of crude oil, particularly to emerging markets. A

large part of the higher prices paid by consumers ends up in the investment
funds and private portfolios of investors in oil-exporting countries.
Second in size to petrodollars are the reserves of
Asias central banksreserves that have grown
rapidly as a result of rising trade surpluses, foreigninvestment inflows, and exchange rate policies. In
2006, Asias central banks held $3.1 trillion in
foreign-reserve assets, 64 percent of the global total
and nearly three times the amount they held in
2000. Compared with petrodollars, these assets are
concentrated in just a handful of institutions. China
alone had amassed around $1.4 trillion in reserves
by mid-2007. Unlike investors with petrodollars,
Asias central banks have channeled their funds into
conservative investments, such as US treasury bills. According to estimates by
the end of 2006, these institutions had $1.9 trillion more in foreign reserves
than they needed for exchange rate and monetary stability.
A sovereign

wealth

fund (SWF)

is an

institution controlled

by a

government aiming to obtain a return higher than the risk-free rate for its
capital. The source of the assets may be different in nature, ranging from the
proceeds of the sale of natural resources in oil-exporting countries to the
reserves accumulated thanks to trade surpluses and budget policies. Starting
from this definition a recent study by Chris Balding from Irvine University sheds
light on the portfolios of the main SWF, dispelling few myths about them.
First, the geographical allocation of their portfolios shows a clear preference for
domestic investment. The average

percentage

of assets invested within

its

borders by the Abu Dhabi Investment Corporation and by Singapore's Temasek

and GIC is

above

development rather

70%, which qualifies

than the

seldom acquired controlling

new
stakes

them more

barbarians

at

in a cross-border

as actors of
the

local

gate . SWF

investments and

mostly kept a low profile in the corporate governance of invested companies in

order to avoid a political backlash: one is truly sovereign only in his own
country, abroad power belongs to others. Nevertheless, we are faced with
a new and interesting phenomenon characterized by an increasing role of

governments and regime-connected institutions that poses new legal and

diplomatic challenges.
In an article in the Financial Times last year, Larry Summers, a former
American treasury secretary, wrote that a signal event of the past quartercentury has been the sharp decline in the extent of direct state ownership of
business as the private sector has taken ownership of what were once
government-owned companies. Yet governments are now accumulating various
kinds of stakes in what were once purely private companies through their
cross-border investment activities. Mr Summers called for a new policy:
Governments are very different from other economic actors. Their investments
should be governed by rules designed with that reality very clearly in mind.

2. POLITICS AND INVESTMENT CHOICES OF SWFs

In the West we can witness a wide variety of reactions to the advent of
the SWFs: they were celebrated as the new Rothschild, saviors of the financial
system and at the same time were feared as "Trojan horses" behind which a
dark design of conquest was to be hidden. Morgan Stanley estimates that in
2007

alone, SWFs

system. Even if

have invested

$ 69

billion in

the U.S.

financial

all SWF together hold only 2% of stocks traded in the

world they have more equity than all private funds,

and more capital than

all hedge funds, as shown in the table: these numbers are enough to frighten
many Western policy makers. Theoretically SWF have many things in common
with other funds and should aim to the same objectives of pension funds
or companies

who manage their investments in a long term perspective.

However, the creation and funding of SWFs is the result of specific policies
pursued

by

governments or

central

banks, mostly from

countries

with authoritarian systems of government and still obscure decision making

processes. The weight of the SWF in the financial markets combined with
the potential unreliability
of risk as

evidenced by

of those

at

their

helm is

E. Truman (Sovereign wealth

the

largest element

funds:

the Need

for Greater Transparency and accountability) that invokes the creation of an

authority setting

international standards aimed

at

guaranteeing the

independence of the governance and the full transparency and disclosure of

sensitive information relative to the operations carried out by the fund.

The key issue is therefore the extent to which politics influences the
investment decisions of SWFs: Avendano and Santiso (SWF Investments
are politically biased? Comparing Mutual Funds and SWF) have compared
cross-border investment policies of SWF Mutual funds in some key areas. Here
are summarized the results.

Political regime in the sending

and recipient countries.
Although it is not surprising to
find differences in the political
regime of sending countries
(sovereign wealth funds regimes
tend to be less democratic), A&S
find that sovereign wealth funds
investments are not different from mutual funds when it comes to the
political regime characteristics of the destination countries in crossborder investments. This evidence suggests that both sovereign wealth
funds and mutual funds do not discriminate by this criterion in their asset
allocation and invest indifferently in both democratic and autocratic
regimes.

Comparative portfolio
The portfolio characteristics of sovereign wealth funds and mutual funds
(i.e. holder style, capitalization group style, turnover, P/E ratio, dividend
yield, etc) immediately appear as very similar, although SWFs funds
portfolios do however show a slightly lower beta, higher price-to-earnings
ratio, higher sales growth and dividend yield, and lower price-to-book
ratio.

Governance characteristics
Looking at internal governance characteristics (transparency, use of
benchmarks, credit rating restrictions, etc.) we find that mutual funds
have higher transparency levels, their investment strategy is
communicated more clearly, the use of benchmarks is more frequent,
investments are more constrained by credit rating minimums, and their
policy towards specific investments is more defined. This suggests a gap
in the investment policies between the two groups. When comparing
these same characteristics between OECD and non-OECD sovereign
wealth funds or between commodity and non-commodity funds, internal
differences in their investment governance and strategies are
accentuated.

Technology transfer
Much

has been

said on

this

subject and

justification behind much political

this

idea has

lobbying

been

the

that called

for stricter standards and improved controls of SWF investments: today,

however, data do not reveal anything significant. In fact be very difficult
for

a Chinese SWF to take over a strategic U.S. oil company,

as evidenced by the takeover attempt of Unocal by CNOOC: it was

not a sovereign

fund, but

the

arguments for

rejecting a

possible deal would in fact be the same. Such actions have never taken
place because they are politically risky (Unocal case docet) and rarely
successful. Countries very interested in the technology countries such as
China could get it quite easily bartering access to the most promising
market in the world with a gradual technology transfers. This is indeed
what happened with high-speed trains, and the same phenomenon is
likely to occur in the aviation sector.
After this quick overview it seems pretty clear that certain arguments used by
politicians appear flawed and motivated by rather populism or
some nostalgia of protectionism than to grounded concerns. This data provide
a quite reassuring picture for Western politicians. SWF seem to pursue
commercial objectives whey they invest abroad. But what are the economic
implications of
SWF investment for target firms?
EFFECTS OF INVESTMENT ON TARGET COMPANY
An often overlooked but crucial problem is the effect of the investment on the
performance of the target company. Several competing arguments can be
made to explain why an SWF acquisition could influence the performance of the
investee company. There are many reasons for this: first, SWFs tend to be large
investors with significant ownership position that enables them to play an
active monitoring role in management, reducing agency costs and managerial
slack. Second, as liquidity providers of last resort, SWFs may alleviate financial
constraints in distressed companies. Third, as ultimate owner of the SWF the
government can provide business opportunities for the investee company in
their country, such as contracts, licenses, market access, etc. Fourth, the SWF
could also operate with noncommercial objectives against the investee
company by channelling
corporate resources and technologies for the benefit of its home country.
Bortolotti, Fotak, Megginson e Miracky (Quiet Leviathans: SWF investment,
passivity and the value of the firm) examine whether SWFs impact value as
investors in listed companies. The results are impressive. From a sample of 802

transactions they find that on average, the stocks of companies receiving SWF
equity investments increase significantly (about 1,25%) over the three-day
window surrounding the purchase announcement, suggesting that investors
welcome SWFs as shareholders. This feature of SWF investment suggests that
funds become the allies of target-firm managers and are thus constrained from
playing a meaningful disciplinary or monitoring role. In addition, these
government-owned funds face significant political pressure from recipient
countries to remain passive investors in cross-border deals. This description
perfectly matches the Constrained Foreign State Investor Hypotesis, according
to which SWFs should be especially reluctant to interfere in target firm
management by demanding high performance or by holding managers to
account. Despite these positive announcement-period reactions, SWF stock
purchases are associated with much larger and significantly negative abnormal
returns over the three years following the initial investment, and this long term
effect exceeds by far the positive initial boost. The longer-term post-acquisition
target performance is related to fund characteristics and to the SWFs level of
involvement. The performance of SWF investment targets is worse for more
passive funds, for foreign targets, and for targets headquartered in an OECD
country, but long-run returns are negatively related to the size of the stake
acquired and to the size of the target firm. In light of their close connection to
authoritarian and unaccountable governments (excluding Norway SWF) that
differentiates SWF from other investors we could think their long term effect on
the target companys performance not to be just related to a SWFs specific
features but to the political setting they are part of. Political risk is one possible
explanation for this poor performance that is seldom taken into account in the
academic literature and in the wider debate.

POLITICAL RISK AND PERFORMANCE

As we have seen, the overwhelming majority of SWFs originate from
undemocratic countries

and authoritarian regimes. With the exception of Norway, the countries

endowed with large
SWFs are characterized by the lack of political legitimacy of their regimes and
the weakness of
institutions granting an orderly succession of powers. More importantly, the
socioeconomic
indicators of most countries alert about mounting tensions and likelihood of
conflict which
could ignite turmoil and rebellion against the incumbent rulers and regimes.
This trend is clearly visible in the data. I have constructed the index for the
countries with an operating SWF for 2010. Countries with an SWF display a
considerable likelihood of unrest, even if the variability is quite high. The index,
which ranges from 0 to 10, takes the value 2.3 for Norway (one of the soundest
democracies around the world) to 8.06 in the case of Libya, actually torn by
civil war. According to our data, Oman, Bahrain, and, interestingly, China also
display high likelihood of unrest. I believe that the political risk in most SWF
countries could affect the risk and return properties of the investee company
through two main channels: upheaval risk, transforming the countrys wealth
management and geopolitical risk triggered by targeted sanctions.
As to upheaval risk, in the event of incipient political unrest, sovereign owners
of SWFs may
choose to divert their surplus away from their funds saving for future
generations, towards
meeting the welfare needs of the population and buy out peace and social
cohesion.
If such a trend were to be replicated across the MENA region, we might observe
an aggregate
reduction in the demand for global shares, and at the company level an
increase in divestitures,
causing a reduction in share prices and stock overhang. As to geopolitical risk,
if the tensions revealed by the index reached a critical level igniting revolts,
rebellions and civil war as happened in Libya, Yemen and Syria, concerns that
SWFs financial resources could be used by the challenged authoritarian
regimes to suppress the political opposition may motivate the use of targeted

sanctions involving for example the freeze of SWF assets. Again Libya is a case
in point. On 17 March 2011 in resolution 1973 the Security Council of United
Nations imposed inter alia an asset freeze on assets owned by the Libyan
authorities. The Council of the European Union officially endorsed the
resolution, and it was implemented by most member states. The asset freeze
caused tensions on listed companies in the LIAs portfolio, including bellwether
stocks such as Unicredit, Pearson, the owner of the Financial Times, and
Finmeccanica. Companies in the portfolio of a SWF originating from an
undemocratic country are thus exposed to this upheaval and geopolitical risk,
and this could increase volatility, causing higher expected returns and
generally a higher cost of capital in the investee company. Obviously, the
degree of exposure will depend on the size of the stake. While portfolio
diversification is often a stated objective in SWF strategies, it is widely
documented that SWFs tend to acquire large direct ownership positions in
listed companies. The average and median direct stake acquired in foreign SWF
deals is 19.9%, and 4.9%, respectively. Consequently, when they make an
investment, SWFs should consider the political position of the recipient country,
its tolerance for what could be considered repressive action or human rights
abuses, and the likelihood that it might impose unilateral sanctions on a
regime for acting in that manner. As the potential for the Arab Spring
spreading increases, this political risk for undemocratic SWFowning nations
thus becomes greater. In broader terms, the mounting social and political
instability in MENA (which could spread eastwards), is contributing to a change
in the fundamental nature and behaviour of global SWF. This metamorphosis
involves the partial loss of SWFs status as patient, longterm investors,
providing capital and liquidity across business cycles, and turning them into
financial players with shorterterm horizons, unpredictable liquidity needs, and
carrying political risk. We have begun to see this trend in some cases like
China where the China Investment Corporation has reportedly been advised to
improve its shortterm returns. To test the hypothesis that the political risk
associated with an SWF investment negatively
affects financial performance of investee companies, I have conducted a
preliminary analysis

on the possible effect of political risk on the financial performance of SWF

targets after the
acquisition. I measure performance using buyandhold abnormal return over
different time horizons (6 months, 1, 2, and 3 years) and regress it against the
index of unrest described above, controlling for a several other possible factors.
As expected, political risk is negatively associated with financial performance,
and this relation is particularly strong and statistically significant over the 1 and
2 year period postacquisition. This evidence is broadly consistent with the
broader story: rational investors tend to discount country risk in the pricing of
securities acquired by SWFs.

DATA ANALYSIS
I perform a series of regressions to evaluate the impact of the uprising risk of
the country where SWF is headquartered on the performance of the invested
company over the short term (three days) and longer period (six-month, oneyear, two-year and three year). The final number of observations employed in
each regression specification ranges from 294 in the ST to 23 in the LT, as
detailed in the tables. The set of explanatory variables includes: a measure of
country risk (Country risk) from an index taking into account key parameters as
GDP per capita, level of democracy, population under 25 y.o., percentage of
internet users and censorship; a measure of government involvement in SWF
operations (t_government), computed as one minus the score given by Truman
(2008) to the level of managerial independence from the government; a
measure of how passive the SWF is in its investments (t_passive), obtained by
adding the scores given by Truman (2008) on the presence of stake limits and
on the ban on controlling stakes a binary variable equal to one if the target is in
the strategic industrial groups Aerospace and Defense, Energy, Utilities,

Resources, or Telecoms and IT (target_str-2); a variable measuring the age, in

years, of the investing SWF at the time of the investment (SWF_Age) to test for
the presence of learning effects in stock-picking; a variable equal to the
proportion of the stake acquired in a capital infusion or zero in the case of a
secondary-market transaction (Capital Infusion); a variable measuring the size
of the stake owned after the investment (Stake Owned), to test whether market
reaction depends on the proportion of the firm that is under SWF control; a
binary
variable equal to one if the SWF investment is in a foreign company (Foreign);
the market
capitalization of the target firm (mv_c_yn1), the leverage (dtoa_c_yn1) of the
target firm, proxied by debt-to-asset ratio, and its liquidity (qr_c_yn1), proxied
by the firms Quick Ratio, all three measured as of the end of the calendar year
prior to the SWF investment; and a binary variable set equal to one if the SWF
acquires one or more seats on the board of directors (bod_d). Finally, we add a
control variable measuring abnormal stock market returns (bhar_li_pr-r) over
the one-year period preceding investment, to control for possible momentum
or reversal effects. All regressions are estimated with robust standard errors
clustered by target firm, to mitigate potential econometric problems caused by
multiple investments in the same target firms.

SHORT TERM RESULTS

I find a slight negative relation between country risk where SWF is
headquartered and performance of the invested company. Both results are not
statistically significant at any level. This can be interpreted as a consequence
of evidence that acquisitions of stakes or capital infusions by SWF are often
agreed upon by managers and therefore the potential risks perceived are offset
by the welcomed injection of new capital in company. We can find additional
evidence about this hypothesis in the positive relation between capital infusion
by SWF and performance of the invested entity (significant at5% level): it is
clear that a friendly capital infusion would definitely benefit shareholders and

managers alike, especially if they are not bound to strict monitoring or

disclosure agreements. The level of government involvement in the SWF is
negatively related to the performance of the target company and the result is
statistically significant at 1% level. The level of passivity of the investing fund is
negatively related to abnormal returns but the coefficient is not statistically
significant. The binary variable identifying strategic targets and the dummy for
foreign investments have both negative but display no statistically significant
coefficients. SWF age has a slightly negative effect, significant at 1% level
whereas the size of the stake owned has a positive but not significant
coefficient. The coefficients on the leverage and liquidity variables show
different signs but none of these relations is statistically significant. The same
applies to seats in the Board of Directors, whose effect on performance is not
relevant, with the coefficient being not statistically significant. Finally there is a
negative relation between buy and hold abnormal returns one year before SWF
investment and current performance, not significant too. Therefore in the short
term (3 days) we have no evidence about target companys underperformance
following the investment of the SWF and this result complies with our previous
hypothesis stated above.
LONG TERM RESULTS
EMBED Excel.Chart.8 \s
The level of country risk is negatively related to the performance of the target
company in the six-month one-year and two-year period and the first two
coefficients are significant at 10% level. This finding confirms our hypothesis
that instability of the country where SWF is headquartered could hinder the
performance of the invested company in a longer period after the positive (or,
taking all elements into account, neutral) impact immediately after the
investment decision. The coefficients about the level of government
involvement are not statistically significant in any time horizon while the level
of passivity of the investing fund is negatively related to abnormal returns, but
results are not significant too. The binary variable identifying strategic targets
has positive but not statistically significant coefficients, the same applies to the
coefficients of the variable taking into account SWF age . The variable
measuring the size of the capital infusion has coefficients of different signs,

none statistically significant. We interpret this as the fading away of the

positive shock due to the capital infusion at the time of the investment
decision. The size of the stake owned has different coefficients at various time
horizons, none statistically significant. The dummy variable indicating foreign
targets has negative coefficients for all periods, significant at the 1% level at
the one-year, two-year and three year horizon ; overall, this suggests worse
performance for foreign targets. The coefficients on the leverage and liquidity
variables change signs at different horizons and none of the relationships are
statistically significant. Finally, we see no clear relation between seats in the
Board of Directors and firm performance, with none of the results being
statistically significant. There is a negative relation between buy and hold
abnormal returns one year before SWF investment and current performance,
significant at 5% in one-year and two-year period.

CONCLUSIONS AND POLICY IMPLICATIONS

In this dissertation I tried to assess the impact of the level of political risk of the
country where a SWF is headquartered on the performance of the SWF's target
company. This risk factor is not directly tied to the structure or governance of
the fund but it could definitely alter the performance of both the SWF and the
invested companies. I have found that while in the short term positive market
reaction to the injection of new capital prevails, in a longer time horizon the
performance of the invested company compared to its competitors is inversely
proportional to the level of risk of the country where the SWF investor is
headquartered. If this outcome is confirmed and strengthened in the future it
would we should change our assumptions and expectations about SWF's
investment: we are not dealing anymore with "Quiet Leviathans", or investors
on a projected long-term vision that give stability to invested companies and
their performance, but with rather obscure entities whose assets could be

frozen or fall into the hands of unknown and potentially unreliable subjects.
This result may suggest a few policy Implications. First of all is that, although it
is certainly useful to issue guidelines designed to improve the governance of
the SWF, those measures will be relatively meaningless in this new
perspective: even if the governance of a SWF accepted and implemented best
practices in terms of transparency and accountability, the risk factor of the
country where it is headquartered would hardly change. Therefore, a policy
proposal to advance in the international community could be to make the
opening of SWF investments proportional to political and economic reform
pursued by the countries where they are located. Those methods would that at
the same limit the negative impact on long-term performance on western
companies and help to enhance political standards and promote a transition to
greater freedom in many states.

5. BIBLIOGRAPHY

Cash in hand, The Economist, June 17th 2010

Be careful what you risk for, The Economist, June 12th 2008

The rise of state capitalism, The Economist, Sept. 18th 2008

Asset backed insecurity, The Economist Jan. 17th 2008

SWF, a developing country perspective, Griffith Jones and Ocampo,

Foundation for European Progressive Studies working paper series, May
2010

Four myths about SWF , E. Truman, VOX.eu, Aug. 14th 2008

SWF, the need for greater transparency and accountability, E. Truman,

Peterson Institute Policy Brief, Aug. 2007

SWF, governance and reserve accumulation, Aizenman and Glick,

VOX.eu, Jan. 16th 2009

Are SWF investments politically biased? Comparing mutual and SW

funds, Avendano and Santiso, VOX.eu, Feb 3th 2010

SWF and Financial Stability Sun and Hesse, VOX.eu, March 2009

Quiet Leviathans: SWF investment, passivity and the value of the firm;
Bortolotti, Fotak, Megginson and Miracky; Oct. 2010

SWF investment behavior; Barbary, Bortolotti, Fotak, Megginson;

Semiannual report, FEEM and Monitor group, Jan-June 2010

A Scoreboard for Sovereign Wealth Funds, E. Truman, Presented at the

Conference on China's Exchange Rate Policy, October 19, 2007, at the
Peterson Institute, Washington, DC.

HYPERLINK
"http://www.bernardobortolotti.com/Userfiles/attach/20107231051404201
0-06-23%20FinancialTimes.pdf" \t "-_blank" A change of
strategy, Sophia Grene, FINANCIAL TIMES, June 23, 2010

TABLE 2 RESULTS FOR THE SHORT TERM

(three-day event window spanning days -1 to +1, where day 0 is the day the SWF
investment is announced)

Linear regression

Number of obs =
294
F( 15,
152) =
3.04
Prob > F
= 0.0003
R-squared
= 0.0827
Number of clusters (target_id) = 153
Root MSE
= .04757
-----------------------------------------------------------------------------|
Robust
bhar_li~3day |
Coef.
Std. Err.
t
P>|t|
[95% Conf. Interval]
-------------+---------------------------------------------------------------Country risk |
.0021919
.0183112
0.12
0.905
-.0339854
.0383692
t_government | -.1723797
.074832
-2.30
0.023
-.3202247
-.0245347
t_passive | -.0412864
.1078006
-0.38
0.702
-.2542674
.1716946
norway |
.0497562
.1779114
0.28
0.780
-.3017423
.4012546
oecd |
.0253848
.032137
0.79
0.431
-.038108
.0888776
target_str~2 |
-.003792
.0061159
-0.62
0.536
-.0158751
.0082911
swf_age | -.0055099
.0024888
-2.21
0.028
-.0104271
-.0005927
capitalin~ke |
.7175019
.2977453
2.41
0.017
.1292483
1.305756
stake_owne~s |
.0270347
.0729888
0.37
0.712
-.1171689
.1712383
foreign | -.0342156
.0367468
-0.93
0.353
-.1068161
.0383849
mv_c_yn1 | -5.64e-07
3.76e-07
-1.50
0.135
-1.31e-06
1.78e-07
dtoa_c_yn1 | -.0059351
.0141292
-0.42
0.675
-.0338502
.0219799
qr_c_yn1 |
.0004985
.0008348
0.60
0.551
-.0011509
.0021478
bod_d |
.0109459
.0248483
0.44
0.660
-.0381468
.0600386
bhar_li_pr~r | -.0022325
.0022973
-0.97
0.333
-.0067713
.0023063
_cons |
.1411225
.1239995
1.14
0.257
-.1038626
.3861076
------------------------------------------------------------------------------

Linear regression

Number of obs =
294
F( 13,
152) =
2.55
Prob > F
= 0.0033
R-squared
= 0.0784
Number of clusters (target_id) = 153
Root MSE
= .04751
-----------------------------------------------------------------------------|
Robust
bhar_li~3day |
Coef.
Std. Err.
t
P>|t|
[95% Conf. Interval]
-------------+---------------------------------------------------------------Country risk | -.0174264
.0257909
-0.68
0.500
-.0683813
.0335285
t_government | -.1470119
.0461576
-3.18
0.002
-.2382052
-.0558186
t_passive | -.0138429
.014125
-0.98
0.329
-.0417497
.0140638
target_str~2 | -.0034878
.0060962
-0.57
0.568
-.015532
.0085564
swf_age | -.0061438
.0017732
-3.46
0.001
-.0096471
-.0026405
capitalin~ke |
.7368852
.2977077
2.48
0.014
.148706
1.325064
stake_owne~s |
.0552168
.08703
0.63
0.527
-.1167279
.2271615
foreign | -.0447588
.0296377
-1.51
0.133
-.1033139
.0137963
mv_c_yn1 | -5.30e-07
3.78e-07
-1.40
0.163
-1.28e-06
2.16e-07
dtoa_c_yn1 | -.0059013
.014096
-0.42
0.676
-.0337507
.0219481
qr_c_yn1 |
.0005374
.0008362
0.64
0.521
-.0011146
.0021895
bod_d |
.0129747
.0214295
0.61
0.546
-.0293633
.0553127
bhar_li_pr~r | -.0028291
.0021244
-1.33
0.185
-.0070263
.0013681
_cons |
.2356604
.1335217
1.76
0.080
-.0281377
.4994585
------------------------------------------------------------------------------

TABLE 3-RESULTS FOR THE LONG TERM

-----------------------------------------------------------------Variable | reg6months
reg1year
reg2years
reg3years
-------------+---------------------------------------------------Country risk | -.17337899
-.3341552
-.11802572
2.8173935
|
0.4059
0.0760
0.5311
0.4326
t_government | -.43493807
-.31767225
-2.8037939
-4.5892641
|
0.4188
0.6824
0.0545
0.2626
t_passive | -.94876096
-.62100354
-2.0138526
-2.8103485
|
0.0173
0.2445
0.0009
0.1089
norway | 1.6141807
.74414115
2.632711
6.9219514
|
0.0151
0.4059
0.0008
0.0234
oecd | -.4201306
-.2822485
-.40765459
-.21035602
|
0.0032
0.3073
0.1740
0.8728
target_str~2 | .05164164
.02103695
.04269399
.09363804
|
0.3730
0.7247
0.7369
0.8072
swf_age | -.0223115
-.02600275
-.1064126
-.04601124
|
0.1440
0.2965
0.0181
0.6950
capitalin~ke | -.23764907
-1.0481732
.66659183
7.0235771
|
0.8294
0.5202
0.6510
0.4126
stake_owne~s | .55507688
.23335357
-1.1885056
-11.804437
|
0.6804
0.8515
0.0955
0.3705
foreign | -.05072528
-.53622597
-.79438129
-1.2295013
|
0.7978
0.0125
0.0000
0.0836
mv_c_yn1 | -6.022e-06
-3.341e-06
-.00001074
-.00003313
|
0.1583
0.3698
0.0246
0.3407
dtoa_c_yn1 | -.17139157
.10508673
-.24501775
.5597118
|
0.2817
0.4716
0.2646
0.8317
qr_c_yn1 | .00976197
.01152953
-.00215658
.1686102
|
0.1834
0.2658
0.9517
0.5396
bod_d | -.16214447
.01114861
-.31026168
-1.4514607
|
0.3519
0.9403
0.0168
0.0569
bhar_li_pr~r |
.0007518
-.05598752
-.05791255
-.16352535
|
0.9649
0.0085
0.0074
0.3344
_cons |
1.696789
2.6016505
4.9063554
-6.9482232
|
0.1002
0.0099
0.0004
0.6419
-------------+---------------------------------------------------N |
294
293
144
23
r2 | .05010803
.04678684
.240028
.75393131
------------------------------------------------------------------

-----------------------------------------------------------------Variable | reg6months
reg1year
reg2years
reg3years
-------------+---------------------------------------------------Country risk | -.18511165
-.31309864
-.32604307
.28450013
|
0.2826
0.0284
0.0747
0.8190
t_government | .31827176
.05410613
-1.4061047
.25772883
|
0.4259
0.9327
0.3018
0.9187

EMBED Excel.Chart.8 \s
target_str~2
swf_age
capitalin~ke
stake_owne~s
foreign
mv_c_yn1
dtoa_c_yn1
qr_c_yn1
bod_d
bhar_li_pr~r
_cons

|
0.8998
| .05232834
|
0.3628
| .00379292
|
0.7765
| .66672563
|
0.7125
|
.6855408
|
0.6204
| -.21943834
|
0.1814
| -6.354e-06
|
0.1401
| -.16469603
|
0.3000
| .00910202
|
0.2205
| .06382463
|
0.5684
|
.0087364
|
0.6176
| .75896724
|
0.3712

t_passive
| -.01508784
0.2138
0.1473
.020129
.04296757
0.7333
0.7322
-.01018229
-.07029254
0.6413
0.1436
-.62466721
1.9326637
0.7566
0.4157
.21320963
-.8246279
0.8604
0.1488
-.62759119
-1.1820403
0.0000
0.0000
-3.622e-06
-.00001155
0.3285
0.0173
.10698612
-.23162654
0.4606
0.2909
.01115337
-.00152727
0.2823
0.9656
.13625312
.04482498
0.2150
0.7342
-.05082958
-.05358762
0.0090
0.0104
1.9691506
4.4301511
0.0237
0.0119

-.19614493
0.7826
.28980349
0.5061
.00626383
0.9293
4.5073733
0.4679
-3.0536747
0.5612
-1.8631338
0.0501
-.00003911
0.3976
.49911629
0.8698
.12978344
0.6737
-.75136739
0.1639
-.11222583
0.5394
.282822
0.9622

-.50469912

.19217559

-------------+---------------------------------------------------N |
294
293
144
23
r2 | .04099491
.04359465
.22252844
.63033569
------------------------------------------------------------------