The Indirect Diversification Benefits of Investing in Japanese Firms: An Alternative Perspective

IF 2.5 Q2 ECONOMICS
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引用次数: 0

Abstract

This paper examines the role of firm-level multinationality in equity portfolio diversification for Japanese firms from 1998 to 2015. We use a unique multinationality dataset for constituents of the Nikkei 225 based on two measures of sales and subsidiaries. We employ an extended version of the traditional Capital Asset Pricing Model (CAPM) to analyse the exposure of firm returns to various geographical regions. There is evidence that firms are not influenced by the geographic regions where they report operations. The results also indicate that there are benefits from investing in Japanese multinationals but these benefits do not increase with increasing multinationality. A new category of firms is identified that may be beneficial to investors—firms that are influenced by a geographical region where they do not report sales or subsidiaries. This finding has far reaching implications for portfolio management. Investors must do more than analyse the international location of firm operations. They must analyse the geographical influences on firm returns. Existing studies fail to distinguish between these two criteria, assuming them to be the same. We find evidence to the contrary.

投资日本公司的间接多元化收益:另一种视角
摘要 本文研究了 1998 年至 2015 年日本公司在股权投资组合多样化中的公司层面跨国性作用。我们使用日经 225 指数成份股的独特跨国性数据集,该数据集基于销售额和子公司这两个指标。我们采用传统资本资产定价模型(CAPM)的扩展版本来分析企业回报在不同地理区域的风险敞口。有证据表明,公司不受其报告业务所在地区的影响。研究结果还表明,投资日本跨国公司会带来收益,但这些收益并不会随着跨国公司数量的增加而增加。研究发现了一类可能对投资者有利的新公司--受地理区域影响而不报告销售或子公司的公司。这一发现对投资组合管理具有深远影响。投资者必须做的不仅仅是分析公司业务的国际位置。他们必须分析地理位置对公司回报的影响。现有研究未能区分这两个标准,认为它们是相同的。我们发现了相反的证据。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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来源期刊
CiteScore
3.00
自引率
0.00%
发文量
34
期刊介绍: The current remarkable growth in the Asia-Pacific financial markets is certain to continue. These markets are expected to play a further important role in the world capital markets for investment and risk management. In accordance with this development, Asia-Pacific Financial Markets (formerly Financial Engineering and the Japanese Markets), the official journal of the Japanese Association of Financial Econometrics and Engineering (JAFEE), is expected to provide an international forum for researchers and practitioners in academia, industry, and government, who engage in empirical and/or theoretical research into the financial markets. We invite submission of quality papers on all aspects of finance and financial engineering. Here we interpret the term ''financial engineering'' broadly enough to cover such topics as financial time series, portfolio analysis, global asset allocation, trading strategy for investment, optimization methods, macro monetary economic analysis and pricing models for various financial assets including derivatives We stress that purely theoretical papers, as well as empirical studies that use Asia-Pacific market data, are welcome. Officially cited as: Asia-Pac Financ Markets
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