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The objective of this study is to explicate the determinants that influence the size of Sovereign Wealth Funds (SWFs), with a particular focus on investigating the consequences arising from a country's engagement in a conflict. We exploit a panel of 28 SWFs for the period 2008–2018. In fact, of particular interest is the inverse correlation estimated between the size of SWFs and the participation of the originating country in armed conflicts. The quantitative reduction in the size of SWFs in the presence of an armed conflict has been estimated to range between 25 % and 37 %. One general finding is that the impact of financial market dynamics on the size of SWFs, while of comparable magnitude to the influence of the domestic economy, exhibits a greater degree of stability.

State enterprises, sovereign funds, and other state–capital hybrids have become major engines of global capitalism. How can we explain their global rise and organizational transformation into increasingly sophisticated and globally competitive forms? Why do they increasingly emulate the practices and organizational goals of comparable private-sector entities, adopt the techniques of modern finance, resort to mixed ownership, and extend their operations across geographic space? After critically engaging with arguments that emphasize the role of firm strategies, developmentalist logics, financialized norms, and Polanyian double movements, we develop an explanatory model of organizational change grounded in historic–geographic materialism and economic geographies of the firm. We locate the expansion of state ownership (the role of states as owners) in the historic development and geographic remaking of global capitalism and, in particular, the emergence of a new constellation of international divisions of labor. This created the conditions for a massive round of centralization of capital as state property (the mass of capital controlled by states) since the early 2000s. The modern, marketized, globally spread state–capital hybrid emerged as an organizational fix to mediate the geographic contradictions and imperatives associated with this process. Purposive organizational adaption consisted in developing new skills, operational capabilities, and mixed-ownership structures in order to leverage the financial system, allow for the development of liquid forms of state property, and facilitate the expansion of the latter into global circuits of capital. As such, the article contributes to debates on the role of the state in global value chains, the firm-state nexus, and state capitalism.

Research background: The ever-increasing degree of globalization is reflected, among other things, in the establishment of relatively new institutional investors - sovereign wealth funds. Until the financial crisis in 2008, these funds were considered by many developed countries to be a potential threat to national security. However, this changed when they invested large sums in bankrupt companies and banks during the crisis. However, fears of their influence remain. Purpose of the article: The paper aims to assess the importance and perspectives of sovereign wealth funds in the world economy. In this paper, we start with the definition of sovereign wealth funds and distinguish them from other state asset managers. We also focus on assessing their importance within the global investor portfolio and their impact on global economic development. Methods: We used an analysis of available financial and economic data related to their activities and comparison with selected asset managers. Findings & Value added: We discuss their specific investment strategies and their transparency, which affect their credibility. Within the evaluation, the positive benefits outweigh the risks of sovereign wealth funds. However, we should always assess in the context of a specific sovereign wealth fund. The importance of sovereign wealth funds and their impact will continue to grow, even though their relative share of the global financial market is not very high. Thanks to their long-term investments, they contribute to greater stability of the financial markets of the given countries., Výzkumné souvislosti: Stále se zvyšující míra globalizace se projevuje mimo jiné v zakládání relativně nových institucionálních investorů - státních investičních fondů. Až do finanční krize v roce 2008 byly tyto fondy v mnoha vyspělých zemích považovány za potenciální hrozbu pro národní bezpečnost. To se však změnilo, když během krize investovaly velké částky do zkrachovalých podniků a bank. Obavy z jejich vlivu však přetrvávají. Cíl článku: Cílem článku je posoudit význam a perspektivy státních investičních fondů ve světové ekonomice. V článku začínáme definicí suverénních fondů a jejich odlišením od ostatních správců státních aktiv. Zaměřujeme se také na posouzení jejich významu v rámci portfolia světových investorů a jejich vlivu na vývoj světové ekonomiky. Metody: Použili jsme analýzu dostupných finančních a ekonomických údajů týkajících se jejich činnosti a srovnání s vybranými správci aktiv. Zjištění a přidaná hodnota: Diskutujeme jejich specifické investiční strategie a jejich transparentnost, které ovlivňují jejich důvěryhodnost. V rámci hodnocení převažují pozitivní přínosy nad riziky státních investičních fondů. Vždy bychom však měli posuzovat v kontextu konkrétního státního investičního fondu. Význam státních investičních fondů a jejich vliv bude nadále růst, i když jejich relativní podíl na světovém finančním trhu není příliš vysoký. Díky svým dlouhodobým investicím přispívají k větší stabilitě finančních trhů daných zemí.

There are now more than 100 Sovereign Wealth Funds around the world and some exist for more than 50 years. Currently, they face headwinds due to the end of the commodity supercycle and to gradual reduction of the global imbalances. We review what remains from their original definitions and discuss the SWFs’ alternative institutional design for reaching their objectives (saving, stabilization and development). We find that SWFs are more heterogenous than ever. We then review the available literature on the assessment of their effectiveness in stabilizing the economy, economic development and long-term savings. We find that this is a severely understudied area. By extension, not all SWF have had a successful track-record and the world has moved into a period with regular SWF liquidations, which may be a new area research.

The U.S. infrastructure has been issued a grade of D+ from the American Society of Civil Engineers because of the low funding for new construction, maintenance, and repair. It is now reaching the end of its useful life and cost estimates have reached as high as $3.6-trillion. The public infrastructure investment is at 2.4% of GDP, which is half of what it was 50-years ago. The U.S. has explored new ways to finance its infrastructure because of funding uncertainty. Investments such as, pensions, foreign investments, and sovereign wealth funds, manage trillions in assets and are forecasted to grow. This paper presents an overview of infrastructure funding and identifies possible approaches in addressing long-term financial needs with foreign capital partnership

In this article, we conduct a meta-literature review of sovereign wealth funds (SWFs), covering 184 articles from 2005 to 2019. Our meta-literature review consists of qualitative analysis of content using the NVivo software program and quantitative analyses of bibliometric citations using the HistCite and VOSviewer software programs. We identify three main research streams: (i) the overview and growth of SWFs, (ii) governance and political concerns regarding SWFs, and (iii) the investment strategies of SWFs. We identify the most influential aspects of the SWF literature, such as the leading countries, institutions, journals, authors, and articles. Finally, we propose 20 research questions based on the meta-literature review of sovereign wealth funds to set the future research agenda.

Diplomová práce je věnována činnosti suverénních fondů a posouzení jejich významu v rámci světové ekonomiky. V práci jsou popsány nejvýznamnější suverénní fondy na celosvětovém finančním trhu, jejich objem aktiv a investiční strategie. Dále je zde popsáno postavení suverénních fondů v globálním investorském portfoliu. Na základě této analýzy a vlastních poznatků jsou vymezena pozitiva a negativa působení suverénních fondů na mezinárodních finančních trzích. Na závěr je řešena otázka založení suverénního fondu v České republice., The thesis deals with the activities of sovereign wealth funds and assessment of their importance in the world economy. The thesis describes the most important sovereign wealth funds on the global financial market, their volume of assets and investment strategies. It also describes the position of sovereign wealth funds in the global investment portfolio. Based on this analysis as well as my own findings, the positives and negatives of the activities of sovereign wealth funds on the global financial market are defined. Finally, the issue of establishing a sovereign wealth fund in the Czech Republic is discussed., Fakulta ekonomicko-správní, Studentka přednesla téma své DP ''Význam suverénních fondů na celosvětovém finančním trhu'', otázky vedoucího DP: 1.Jak se projevila koronavirová krize v činnosti suverénních fondů, příp. v největším z nich, který je zároveň nejtransparentnější, a to Norway Government Pension Fund? 2.Přikláníte se k založení suverénního fondu v ČR. Jaké by byly největší přínosy a rizika založení takového fond v ČR? Studentka na otázky reagovala. Otázky oponenta DP: 1.Jaké budou kvantitativní a kvalitativní dopady COVID-19 krize na SWF ve světě? Studentka na otázku reagovala., Dokončená práce s úspěšnou obhajobou

[ES] El objetivo del presente trabajo es la realización de un análisis sobre la inversión realizada por los quince principales fondos soberanos en las empresas cotizadas europeas. Este análisis se divide en dos secciones: una de carácter descriptivo y otra de tipo estadístico. La metodología utilizada para para ello se basa en la extracción de datos de la plataforma Orbis y en la ejecución de una regresión logística binominal a través de SPSS. Los principales resultados a los que se llegaron mostraron que, en primer lugar, el fondo noruego es aquel que invierte en un mayor número de empresas y países europeos. Otro de los resultados indicó que el Reino Unido es el país que capta más inversión. Por último, los resultados permitieron llegar también a la conclusión de que existen una serie de factores asociados al tamaño de la empresa, su rentabilidad y apalancamiento que influyen en la decisión de invertir por parte de un fondo soberano, mientras que ni el país ni el sector de pertenencia de la empresa son factores determinantes., [EN] The aim of this study was to conduct an analysis of the investment made by the fifteen largest sovereign wealth funds on listed European companies. The analysis is divided into two sections: a descriptive one and a statistical one. The methodology used for this purpose consisted of mining data from Orbis database and running a binomial logistic regression on SPSS. The main results showed that, in the first place, the Norwegian fund is the one that invests in a larger amount of companies and European countries. Another significant result indicated that the United Kingdom is the country that receives the most investment. Finally, the results led also to the conclusion that, concerning investing, sovereign wealth funds are influenced by a set of factors such as company size, profitability, and leverage, whereas the company´s home country and the economic sector it belongs are not determining factors.

I am interested in the role of national funds in forming the economic overview, and also, the role of these funds in integration and globalization processes. The significance of the problem requires the development of recommendations and mechanisms in order to form the transparency of available information for public following the international standards, as a consequence the improvement of processes of democratization through public control. Contemporary economic conditions and positive tendencies in public financial management require special attention to develop methods and instruments. The purpose is to develop the public financial management. Several studies exist on the oil industry of the Caspian Region but few focus on strategies for its long term grows. The gap of proposed study will seek to fill is the insufficiency of literature on ways to promote national funds role of the oil industry. The research thesis is that the oil industry our countries lack pure understanding about the role of the oil revenue for future.

Purpose – The purpose of this paper is to propose a model of the Islamic sovereign wealth funds (ISWFs) based on Islamic finance principles to modify the precarious image of SWFs from Muslim countries. The Shariah laws are the cardinal direction for this study. Design/methodology/approach – The authors applied a qualitative research technique that consists of three approaches: exploratory case study approach to critically examine and rank the existing status of SWFs; descriptive analysis; and content analysis to present a model of ISWFs in comparison of conventional SWFs. Findings – The authors propose a model of the “Islamic Sovereign Wealth Funds” based on four key pillars: the major Shariah principles; the Islamic corporate governance framework; the Islamic transparency and disclosure framework; and the Islamic corporate social responsibility framework. Furthermore, the authors argue that the potential effect of the ISWFs on Islamic finance and economy will be positive. Research limitations/implications – The model is an initial work and idea to convert SWFs from Muslim countries into ISWFs, which required an in-depth policy review by governments. Practical implications – The findings of the paper are useful for policymakers and governments of the Muslim countries to overcome the issues and criticism on SWFs by converting them in ISWFs. Originality/value – This paper contributes to the literature related to Islamic finance and sovereign wealth fund by presenting a first model of ISWFs for Muslim countries.

The Article deals with the issue of SWF transparency, considering them special institutional shareholders with long-term investment horizons and no particular interest in control.

An increasing number of States have entered the market looking to invest resources in foreign assets. This emergence of States acting as investors, managing the wealth of a nation and competing in the marketplace with private investors, has attracted growing and wide attention. This thesis is the first in-depth analysis of the international tax aspects of sovereign wealth investors, and serves as a comprehensive guide to designing tax policy, from a source State perspective, toward inbound sovereign wealth investment. Drawing on a wide range of relevant sources, including international instruments, domestic tax legislation, administrative practice, (international) case law and the writings of highly qualified publicists, the author fully addresses the following aspects of the subject: - the definition, functions, legal form, governance, home State tax status, etc. of sovereign wealth investors; - tax policy considerations and objectives (i.e. neutrality, equity and international attractiveness) from a sourc

Since 2006, the number of Sovereign Wealth Funds (SWF) have accelerated alongside their total value which increased by about 250 % and they have attained a position as influential market players. SWF are a classification of investment funds which are state owned entities who mainly attain their surplus from the petroleum industry and non- commodity sources and primarily place their investments abroad. SWF is a “modern” fund classification on which a limited amount of research has been conducted. Still, previous studies such as the ones conducted by Dewenter et al. (2010) and Kotter and Lel (2011) might lend support to this research and its pursue to study the effect of SWFs financial actions and to fill the identified research gap. A currently non- existent investment strategy being the main identified research gap. Also, the growth of SWFs leads to this research not only functioning as an update, but as a study that will contribute to the existing knowledge of SWF. The research question is the following: What is the short-term effect of an announcement of a Sovereign Wealth Fund’s investment on the stock price behavior of the target firm? The purpose is to clarify the difference between regular funds and SWF and to explore the effect SWFs announcements have on the behavior of targets’ stock price. This have been done by ways of a deductive and quantitative research method. An event study has been performed and regression analyses allowed for the usefulness of the findings from the event study to be built upon. A theoretical framework has been created to support both the performance and analysis of the study. Its skeleton consists of theories concerning abnormal return (Campbell et al., 1997), efficient market hypothesis (Brealey et al., 2014) and behavioral finance (Brunnermeier, 2001). The study provides a theoretical contribution by providing new knowledge of SWFs and their financial actions. A practical contribution is to produce an investment strategy that can

Sovereign wealth funds (SWFs) have been increasing in numbers and in the global reach of their investment activities. At the same time, they seem to experience the adverse consequences of the financial crisis differently than other financial intermediaries. This paper assesses whether and how a retirement-financing purpose has affected their investment strategies since the global financial crisis, as opposed to the strategies of other public pension entities that do not operate as SWFs. We construct a sample of 12 sovereign pension reserve funds (SPRFs) and social security reserve funds (SSRFs) and analyze the effects of size, operational model, country development, the fund's experience, and quality of disclosures on strategic asset allocation for the period 2007–2014. We also investigate the relevance of “home bias.” Our results show that SPRFs invest more aggressively than SSRFs, but are less exposed to domestic investments. We do not find major shifts in asset allocation induced by the financial crisis, except for a recent decrease of home-country exposures.

In the past decade the number of Sovereign Wealth Funds (SWFs) has increased substantially. This development stands to act as a positive impact for posterity. However, the increase of SWFs is gaining much attention and raises concerns about the way in which these funds operate in the world of finance and on the global market. The study shows that the credibility of the Sovereign Wealth Funds would be strengthened with additional ethical standards as these funds in many countries are subject to controversies.

In this paper, we examine the strategies used by sovereign wealth fund (SWF) investments in their cross-border investments. We investigate how SWFs internationalize their activities, specifically whether the use of investment vehicles as signal of passive investment approach to access foreign markets is influenced by SWF- and deal-specific characteristics and the presence of bilateral trade agreements between the SWFs and the target country. Our probit and multinomial logit estimates show that fund opacity, fund politicization, strategic industry targets, and majority ownership choices lead to a more likely use of vehicles, while bilateral trade agreements negatively affect such investment strategy. We also find that fund opacity increases the likelihood to use SWF-controlled vehicles, while fund politicization, strategic industry targets, and majority ownership choices increase the likelihood to use a corporate vehicle. Bilateral trade agreements reduce the use of corporate vehicles. Our results also indicate that politicized foreign SWFs are more likely to invest through vehicles located in third countries. On the other hand, when strategic industries are targeted, investment vehicles are likely to be located in the target country. Our results control for SWFs’ strategic goals, SWF experience (reliance on external managers or advisors, fund size), type of funding sources, crisis period, deal-specific effects, and legal and institutional differences across countries and over time.

Посвящена весьма актуальной, вызывающей острые дискуссии теме экспорта финансового капитала из России, осуществляемого как национальными корпорациями, резко увеличившими в последние годы объемы прямого инвестирования за рубеж, так и государством, стремительно наращивающим свои международные резервы. В этой связи сегодня в России на повестку дня выходят вопросы повышения эффективности государственных и частных капиталовложений за рубежом, использования их по наиболее приоритетным для национальной экономики направлениям. Некоторые заключения автора в этой области содержатся в предлагаемой статье., The article highlights some relevant issues causing fierce discussions, namely, export of financial capital from Russia performed both by national corporations, which have significantly increased direct investments abroad over the recent years, and by the state, which has been rapidly increasing its international reserves. In this context, today in Russia the issues of raising the efficiency of public and private investments abroad, as well as applying them in high-priority areas of the national economy are increasingly coming on the agenda. The paper contains certain conclusions of the author related to this field.

This paper develops a multiple-goal investment strategy for sovereign wealth funds. In our investment strategy, we embed the Black-Litterman (B-L) model into the mean variance mental accounting (MVMA) approach. The B-L method provides a means of modeling return expectations, and the MVMA framework allows the derivation of the optimal asset allocation from a global investment perspective, in a response to a specific macroeconomic environment.

Sovereign wealth funds (SWFs) are used for large - scale offshore investment of government funds. In accordance with the sovereign immunity doctrine, a SWF is generally immune from the jurisdiction of another sovereign State – including tax laws. There has been little research on the application of tax to SWFs. Yet it is an issue of vital importance to Australia and to its international competitiveness and security. In 2009, the Australian Government announced its intention to codify its practices in dealing with SWFs and an Options Paper was released in 2011.This article reviews the practices adopted by Australia and selected countries in relation to taxing SWFs. It considers best practice principles, which Australia should adopt in developing policy for taxing these foreign investment vehicles. Australia’s current taxation regime and the model proposed in 2011, are discussed, and a model suggested for Australia.

We evaluate the impact of the global financial crisis (GFC) and recent structural changes in the patterns of hoarding international reserves (IR). We confirm that the determinants of IR hoarding evolve with developments in the global economy. During the pre-GFC period of 1999–2006, gross saving is associated with higher IR in developing and emerging markets. The negative impact of outward direct investment on IR accumulation is consistent with the recent trend of diverting international assets from the international reserve account into tangible foreign assets; the “Joneses' effect” lends support to the regional rivalry in hoarding IR as a motivation; and commodity price volatility induces precautionary buffer hoarding. During the 2007–2009 GFC period, previously significant variables become insignificant or display the opposite effect, probably reflecting the frantic market conditions driven by financial instability. Nevertheless, the propensity to import and gross saving continue to display strong and even larger positive effects on IR holding. The results from the 2010–2012 post-GFC period are dominated by factors that had been mostly overlooked in earlier decades. While the negative effect of swap agreements and the positive effect of gross saving on IR holdings are in line with our expectations, we find a change in the link between outward direct investment and IR in the pre- and post-crisis period. The macro-prudential policy tends to complement IR accumulation. Developed countries display different demand behaviors for IRs -- higher gross saving is associated with lower IR holding, possibly reflecting high-income countries' tendency to deploy their savings in the global capital markets. The presence of sovereign wealth funds motivates developed countries to hold a lower level of IR. Our predictive exercise affirms that an emerging market economy with insufficient IR holdings in 2012 tends to experience exchange rate depreciation against the U.S. dollar when m

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sovereing wealth funds

We investigate the determinants of sovereign wealth fund (SWF) investments’ stock prices. We focus on the location of the investment (domestic versus cross-border) and the target industry (strategic versus non-strategic). To control for endogeneity, we use two identification strategies: OLS estimation with SWF-specific fixed effects to control for fund quality/experience, and instrumental variables estimation. Our results show that cross-border investments have an average higher increase in stock price than domestic investments, while investments in strategic industries show an higher drop in stock price than investments in non-strategic industries. We also find that the higher is the politicization of the fund, and the higher is the stock price drop. Our results are robust to controls for bilateral political relations between the SWFs’ and target country, fund type (SWFs versus Sovereign Pension Reserve Funds), fund opacity, SWFs’ equity stake, use of investment vehicles, target country’s market capitalization/GDP ratio, and time effects.

This paper investigates the determinants of the investment activity of Sovereign Wealth Funds (SWFs) at a macro level, with special emphasis on the possible reaction to a financial crisis in a potential target economy. The analysis relies upon a specially built proprietary database, which encompasses 1,903 acquisition deals spanning the period 1995-2010 and involving 29 out of the 69 existing SWFs. According to a three-step modelling approach, we find that this class of investors prefers to invest in countries with a higher degree of economic development, larger and more liquid financial markets, institutions that offer better protection of legal rights, and a more stable macroeconomic environment. Most importantly, and in stark contrast with the existing empirical literature on other major institutional investors, SWFs seem to engage in ‘contrarian’ investment behaviour, i.e. increasing their acquisitions in countries where crises hit. The results are shown to be valid if we consider both the likelihood of a country being the target of SWFs’ investments and the amount SWFs choose to invest in each country. Capital flows stemming from SWFs’ acquisition activity worldwide may therefore eventually have a stabilizing effect on local markets during periods of financial turmoil, protecting the targeted countries from foreign shocks instead of propagating them globally.

This is a review on the book “Sovereign Wealth Funds. Legitimacy, Governance, and Global Power” by Clark,Dixon and Monk. The book sheds light on the forms and functions of Sovereign Wealth Funds mapping the global footprints of these institutions and examining their governance and the related issues of domestic and international legitimacy. The review evaluates its effectiveness.

The United States draws its strategic power from three foundational bases: economic, military, and soft power. These are the nation's center of gravity that enables its defense and its ability to influence others abroad. Traditionally, these three bases of power were considered distinct from one another and their management relatively straightforward. However, given the growing influence of the information revolution, technology advances, globalization, and the rise of transnational organizations, the complexity of our world has grown exponentially in the 21st Century. As with most complex systems, changing one part of the system both directly and indirectly affects many others parts of the system. The new reality is that the three power bases are tightly intertwined; therefore, affecting one influences the others and can have broad effects on strategic outcomes. This increasingly complex environment will require future strategic decision and policy makers to gain a greater understanding of each power base and how to effectively use them. The smart power approach highlights the need to synchronize our military, economic, and soft power bases. Smart power emphasizes not only the need for a strong military, but also the need to rely on governmental, nongovernmental, and military alliances at all levels to manage American influence and legitimacy of action. In this paper, an analysis of the Congressional act of removing the Iranian banks from the Society for Worldwide Interbank Financial Telecommunication (SWIFT) system will demonstrate the intricate interconnection of each power base, and the need for the United States to develop leaders who are capable of employing smart power., Strategy Research Project.

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L’iniezione di liquidità da 2,5 miliardi di dollari, con cui il Qatar si è sostituito al Fondo monetario internazionale nel finanziare l’Egitto, mette in luce il nuovo protagonismo del piccolo emirato che da ricco investitore vuole diventare sempre più attore politico e diplomatico. L’obiettivo ultimo di Doha è infatti esercitare un’influenza internazionale che corrisponda al potere finanziario di cui dispone.

With $4.4 trillion of assets at end-2010, feared and courted by governments all over the world, characterized by low levels of transparency and often accused of hidden motivations, sovereign wealth funds (SWFs) are today among the most controversial players in global financial markets. SWFs are government owned financial vehicles deriving their wealth from oil related or other fiscal or balance of payment surpluses. Based on a newly built database of 2740 SWF deals spanning 1990-2010 and involving 29 out of the 52 existing SWFs, this paper assesses whether SWFs herd in equity markets across industries. The results, a negative measure of herding equal to -5%, imply that SWFs do not herd across industries. Indeed they tend to follow a fairly similar diversifying investment strategy across industries in a given period. This homogeneity in their trading patterns across industries is more pronounced than for other types of investors.

Investments by Asian Sovereign Wealth Funds (SWFs) continue to be of concern in the global economy. A common perception is that they are managed by state-affiliated entities with geostrategic motives that could somehow prove detrimental to host countries. This paper demonstrates, however, that even the definition, let alone the establishment and investment targets, of Asian SWFs are embroiled in ambiguity within home country politics. Plainly put, ambiguity refers to the absence of clear-cut policy processes, means, and goals. How do we explain the ambiguity surrounding SWFs? Ambiguity is not a cover for deliberate, cohesive, and strategic actions, because SWFs are not under the control of any one set of actors. Rather, perhaps to the discomfort even of home country sovereigns, ambiguity is a messy domestic product of contending political forces that do not allow a marked trend toward any one single policy equilibrium on sovereign investments, whether domestic or foreign. While this reality is perhaps understandable in a democratic polity, it is also equally true of authoritarian ones in the region. In both types of cases, ambiguity is constructed inadvertently by the interactions of state, interstate, and intrastate actors, each with their own interests and expectations about the role of SWFs. Analyzing the cases in Singapore, China, Japan, and other Asian countries, from this unifying perspective suggests that while ambiguity may fuel external anxiety concerning home country intentions, it actually reflects far more domestically salient controversies about SWF activities than is typically appreciated. © 2011 Berkeley Electronic Press. All rights reserved.

This thesis aims at determining the theoretical and empirical consequences of the consideration of socially responsible indicators in the traditional portfolio selection. The first chapter studies the significance of the mean-variance efficiency loss of a sovereign bond portfolio when introducing a constraint on the average socially responsible ratings of the governments. By using a sample of developed sovereign bonds on the period 1995-2008, we show that it is possible to increase sensibly the average socially responsible rating without significantly losing in terms of diversification. The second chapter proposes a theoretical analysis of the impact on the efficient frontier of a constraint on the socially responsible ratings of the portfolio. We highlight that different cases may arise depending on the correlation between the expected returns and the socially responsible ratings and on the investor’s risk aversion. Lastly, as the issue of the efficiency of socially responsible portfolios is a central point in the financial literature, the last chapter proposes a new mean-variance efficiency test in the realistic case where there is no available risk-free asset., Doctorat en Sciences économiques et de gestion, info:eu-repo/semantics/nonPublished

The dramatic crisis in the Middle East and North Africa, with its enormous costs in terms of human lives and sufferings, has not urged to plan for the development of that area. The article deals with the following issues: The Libyan crisis, The Sovereign Wealth Funds of the countries of the MENA region, the EU position and The role of the Arab League and of the Gulf Cooperation Council. Finally two proposals are put forward. The first concerns the creation of a EU-Arab League humanitarian fund for an immediate intervention; the second proposal concerns the creation of a EU-Arab League Development Bank which attracts capitals of the Arab League countries’ SWF in order to finance development projects in the countries in the MENA region.

Voce enciclopedica per la categoria di investitori: fondi sovrani

With $4.4 trillion of assets at end-2010, feared and courted by governments all over the world, characterized by low levels of transparency and often accused of hidden motivations, sovereign wealth funds (SWFs) are today among the most controversial players in global financial markets. SWFs are government owned financial vehicles deriving their wealth from oil related or other fiscal or balance of payment surpluses. Based on a newly built database of 2740 SWF announced deals spanning 1990-2010 and involving 29 out of the 52 existing SWFs, this paper assesses whether SWFs herd in equity markets across industries. The results, a measure of herding equal to -5%, imply that SWFs do not herd across industries. Indeed they tend to follow a fairly similar investment strategy across industries in a given period. This homogeneity in their trading patterns across industries is more pronounced compared to other types of investors.

Reversiones en los flujos de capital pueden comportar graves consecuencias económicas. Este artículo desarrolla un modelo dinámico de equilibrio general para analizar el efecto sobre tasas de interés, precios de los activos, inversión, consumo, producción, tipo de cambio y cuenta corriente de un cambio en las preferencias de cartera de los inversores extranjeros. El modelo consta de dos países y dos clases de activos (acciones y bonos). Se caracteriza por sustituibilidad imperfecta entre los activos y permite ajustes endógenos de tasas de interés y precios de los activos. Por lo tanto, incluye ganancias de capital debidas a variaciones en el precio de las acciones, además de efectos de valoración debidos a variaciones en el tipo de cambio. Para ilustrar la mecánica del modelo, lo calibramos para analizar las consecuencias del crecimiento de los Fondos Soberanos de Inversión (FSI). En concreto, nos preguntamos qué pasaría si el exceso de las reservas de los mercados emergentes fuera transferido de los bancos centrales a los FSI. Nos fijamos por separado en dos estrategias de diversificación: una en la que los FSI mantienen el mismo reparto de cartera entre bonos y acciones que los bancos centrales, pero se alejan de los activos en dólares, otra en la que eligen la misma composición por monedas que los bancos centrales, pero pasan de detener bonos de los EE.UU. a acciones de los EE.UU.. En el primer caso, el dólar se depreciaría y la deuda neta de los EE.UU. caería en el corto plazo y aumentaría en el largo plazo. En el segundo caso, el dólar se depreciaría y aumentaría la deuda neta de los EE.UU. en el largo plazo. En ambos casos, habría una reducción en el «privilegio exorbitante», el rendimiento en exceso que los EE.UU. reciben de sus activos respecto a lo que pagan por sus pasivos. El modelo es aplicable a otros episodios en los que los inversores extranjeros modifican la composición de sus carteras, Reversals in capital infl ows can have severe economic consequences. This paper develops a dynamic general equilibrium model to analyse the effect on interest rates, asset prices, investment, consumption, output, the exchange rate and the current account of a shift in portfolio preferences of foreign investors. The model has two countries and two asset classes (equities and bonds). It is characterised by imperfect substitutability between assets and allows for endogenous adjustment in interest rates and asset prices. Therefore, it accounts for capital gains arising from equity price movements, in addition to valuation effects caused by changes in the exchange rate. To illustrate the mechanics of the model, we calibrate it to analyse the consequences of an increase in the importance of sovereign wealth funds (SWFs). Specifi cally, we ask what would happen if ‘excess’ reserves held by emerging markets were transferred from central banks to SWFs. We look separately at two diversifi cation paths: one in which SWFs keep the same allocation across bonds and equities as central banks, but move away from dollar assets (path 1), and another in which they choose the same currency composition as central banks, but shift from US bonds to US equities (path 2). In path 1, the dollar depreciates and US net debt falls on impact and increases in the long run. In path 2, the dollar depreciates and US net debt increases in the long run. In both cases, there is a reduction in the ‘exorbitant privilege’, ie, the excess return the United States receives on its assets over what it pays on its liabilities. The model is applicable to other episodes in which foreign investors change the composition of their portfolios

This paper presents a model comparing the optimal degree of asset class diversification abroadby a central bank and a sovereign wealth fund. We show that if the central bank manages itsforeign asset holdings in order to meet balance of payments needs, particularly in reducing theprobability of sudden stops in foreign capital inflows, it will place a high weight on holding saferforeign assets. In contrast, if the sovereign wealth fund, acting on behalf of the Treasury,maximizes the expected utility of a representative domestic agent, it will opt for relativelygreater holding of more risky foreign assets. We also show how the diversification differencesbetween the strategies of the bank and SWF is affected by the government’s delegation ofresponsibilities and by various parameters of the economy, such as the volatility of equity returnsand the total amount of public foreign assets available for management.

Sovereign Wealth Funds (SWFs) - state investment vehicles based on balance of payment surpluses - have come increasingly under the scrutiny of public opinion over the past decade. Their remarkable investments in developed economies have also attracted the attention of politicians, academics and financial operators. At first ignored, then seen as a cause for concern, they finally came to be viewed as stabilising agents amid the troubles of the 2007-2009 financial tsunami. Having sponsored the bailouts of some significant Western banks, SWFs underwent a phase of retrenchment concomitant with the shrinking of economic growth, the bursting of financial and real-estate bubbles and the emphasis on refocusing liquidity on domestic markets that followed in the wake of the crisis. Since the second half of 2009, however, SWFs have adjusted targets and strategies to the new financial paradigm and re-engaged in the global economy, proving to be major players in the international financial markets.

Sovereign Wealth Funds (SWFs) - state investment vehicles based on balance of payment surpluses - have come increasingly under the scrutiny of public opinion over the past decade. Their remarkable investments in developed economies have also attracted the attention of politicians, academics and financial operators. At first ignored, then seen as a cause for concern, they finally came to be viewed as stabilising agents amid the troubles of the 2007-2009 financial tsunami. Having sponsored the bailouts of some significant Western banks, SWFs underwent a phase of retrenchment concomitant with the shrinking of economic growth, the bursting of financial and real-estate bubbles and the emphasis on refocusing liquidity on domestic markets that followed in the wake of the crisis. Since the second half of 2009, however, SWFs have adjusted targets and strategies to the new financial paradigm and re-engaged in the global economy, proving to be major players in the international financial markets.