Journal of Multinational Financial Management最新文献

Using country-level data on 47 global markets, this paper examines the stabilizing effects of pension funds vs. mutual funds on country-specific market risk. We find that mutual funds have a significantly negative effect on idiosyncratic volatility in developed markets, but this role becomes insignificant in emerging markets. In contrast, pension funds significantly reduce country-specific market risk in both developed and emerging markets, with a much stronger stabilizing effect. The prudence of pension funds subsumes the macrofactor effects on market risk and drives away the effects of mutual funds in emerging markets. Our results suggest that the steady growth of pension funds can be a viable strategy to improve a country’s financial health, especially for emerging markets.

Using a unique Swedish database that records the ultimate stockholdings in public firms, we decompose stock ownership by domiciles using votes rather than cashflows. We then study the impact of variables related to the lifecycle theory of dividends and the catering theory of dividends. We also examine the propensity of firms to pay dividends and/or activate a stock buyback program. Univariate analysis reveals a positive association between a firm’s maturity and its likelihood to pay dividends. Logistic regression finds a positive relation between payouts and retained earnings to total assets. Foreign institutional investors are less likely to hold dividend-paying stocks than domestic institutional investors. The analysis finds no support for the catering theory of dividends. After controlling for stock ownership, our evidence is consistent with the lifecycle theory of dividends, which states that more mature firms are associated with dividends. It also supports the transaction cost hypothesis claiming that foreign investors face additional administrative costs when holding dividend-paying stocks.

This paper investigates whether superior corporate social responsibility (CSR) performance leads to greater firm-level foreign direct investment (FDI). We argue that the decisions managers take on their CSR can have a positive influence in the external perception of the firm and act as an important intangible asset. Using a sample of 4764 firms from 44 countries spanning 2003–2014, we find evidence of a positive relation between CSR performance and the propensity to engage in FDI. The positive relation between CSR performance and FDI propensity is strongest for firms without prior international experience in FDI. Our results suggest that that a strong CSR reputation can act as important intangible asset and help firms’ internationalization by increasing external legitimacy and reputation. The results are robust to controls for endogeneity, alternative measures of international experience, and alternative model specifications.

This paper examines the connectedness between cryptocurrencies and major fiat currencies in a multivariate framework using vine copulas. One of the advantages of this method is the flexibility in the choice of distributions used to model complex dependencies. The results show that the dependence, measured conditionally or unconditionally, is positive and higher for the pairs of the same market than those across markets. Moreover, a low significant dependency is found between cryptocurrencies and the main conventional currencies. Based on the Value-at-Risk (VaR) and expected shortfall (ES) analyses, vine copulas produce accurate risk measures by adding cryptocurrencies to a portfolio of fiat currencies.

Public-Private Partnerships (PPPs) are frequently renegotiated as their contracts are long-term, often with a duration exceeding 30 years, involve major investments, and are necessary incomplete. Still, while contract incompleteness is difficult to prevent, renegotiation frequency does not decline in spite of decades of experience. Electoral cycles and political connections lead to strategic behaviour by both the public sector, intending to please the electorate, and the private entity, often taking advantage of the fact that the government cannot afford disruption in public services prior to elections. The bargaining power is held mainly by private firms/corporate consortiums who extract additional rents to compensate for underbidding at the initial bidding rounds. When a consortium dominated by a foreign firm, the frequency of negotiations is higher but the extraction of rents from renegotiations is lower, reflecting a lower degree of political connectedness. Experience with PPP projects does not reduce the likelihood of subsequent renegotiations. In spite of the recommendations of the PPP supervisor (the Court of Audit), the public sector has not implemented improvements in contract design and renegotiations clauses of PPP contracts.

Corporate social responsibility is growing steadfast in emerging countries. Studies analyzing the factors that typically determine CSR practices of firms have often led to conflicting results. In this study, we examine corporate governance determinants that are specifically relevant to CSR in emerging countries. Analyzing a large sample of Vietnamese listed firms, we find that foreign ownership, international orientation, gender diversity, and CEO education positively influence CSR. Furthermore, we find significant joint effects of foreign ownership with international orientation, gender diversity and CEO education. The study highlights the key drivers of CSR practices of firms in emerging countries.

Using a multi-country sample of stocks, the sensitivity of investment to stock price informativeness is assessed. Consistent with prior research, we find a positive association between investment and stock prices. This association becomes stronger when prices are more informative. However, while measures of price informativeness related to the amount of (market-based) private information conveyed by prices heighten the investment-to-stock price sensitivity, others, akin to the weak form of the efficient market hypothesis, hardly affect it. This is consistent with only revelatory private information acquired by traders influencing managers’ investment decisions. The relevance of private information revealed in secondary markets also extends to financing decisions, with price informativeness also shaping the association between external financing and growth opportunities. Not least importantly, we show that abnormal investment generated by the amount of private information contained in prices fosters future profitability and aggregate efficiency. In robustness tests, the presence of a causal relationship flowing from price informativeness to (abnormal) investment rates is appraised. Using two quasi-random events that enhanced the information environment of stocks (MSCI ACWI reconstitutions and the passing of JGTRRA in 2003), we present evidence that exogenous variation of the amount of private information contained in stock prices affects investment rates.

In this study, we document, for a number of emerging markets, that positive returns can be obtained using a short-term reversal strategy. These returns are higher for small and illiquid firms, and highest for more volatile firms. Overall, the reversal strategy-based alphas are significant when accessed through different asset pricing models. Our results provide, however, an important unexplored explanation; the reversal return is higher, irrespective of firm characteristics, when market volatility is high, and pronounced for the stocks that witness higher active investor exits. These findings reconcile with the notion that the reversal returns proxy the expected returns from liquidity provision in adverse times.

We apply the principal component analysis (PCA) and the partial least squares (PLS) methods to construct investor sentiment measurements and decompose them into total, local and global indices for the Mainland China (A-shares) and Hong Kong (H-shares) stock markets. Our results show that total investor sentiment is a strong predictor for the A-shares market, but it has hardly any effect in the H-shares market. We find that the sentiment differential, either total or local, has a positive relationship with the aggregate excess returns differential between the two markets, but the Hong Kong sentiment alone, either total or local, does not play much role. We further find that the sentiment differential is positively associated with the price premium of A-shares over H-shares. Our results are robust even after we add traditional factors.

Comparisons of financing decisions of domestic and multinational firms provide contrasting results. Some indicate that multinationals operate at higher levels of debt, whilst others suggest domestic firms use more leverage. We test whether managers of multinational firms increase the use of debt capital or prefer theoretically more expensive equity financing as internationalization increases. We find that multinational companies use similar or lower leverage than domestic firms and are more likely to raise new equity capital than new debt. Our evidence indicates that internationalization leads to the use of more expensive capital from the domestic market at a cost to shareholders. International markets are used sparingly.