{"title":"投资者保护、股权回报与金融全球化","authors":"Mariassunta Giannetti, Y. Koskinen","doi":"10.2139/ssrn.942513","DOIUrl":null,"url":null,"abstract":"We study the effects of investor protection on equilibrium stock prices, returns and portfolio allocation decisions. In our theoretical model, if investor protection is weak, wealthy investors have an incentive to become controlling shareholders. In equilibrium, the stock price reflects the demand from both controlling shareholders and portfolio investors. As a consequence, due to the high demand from controlling shareholders, the price of weak corporate governance stocks is not low enough to fully discount the extraction of private benefits. This generates the following empirical implications. First, stocks should have lower expected returns when investor protection is weak. Second, domestic and foreign investors' participation in the stock market should be lower in countries with weak investor protection. Third, portfolio investors from countries with weak investor protection should hold relatively more foreign equity. Fourth, countries with weak investor protection should receive relatively more foreign direct investment. We show that these implications are consistent with existing empirical studies and we provide original evidence that domestic portfolio investors are less likely to participate in the domestic stock market and hold more foreign equity, when investor protection is weak.","PeriodicalId":170505,"journal":{"name":"Macroeconomics eJournal","volume":"87 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2008-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"28","resultStr":"{\"title\":\"Investor Protection, Equity Returns and Financial Globalization\",\"authors\":\"Mariassunta Giannetti, Y. Koskinen\",\"doi\":\"10.2139/ssrn.942513\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"We study the effects of investor protection on equilibrium stock prices, returns and portfolio allocation decisions. In our theoretical model, if investor protection is weak, wealthy investors have an incentive to become controlling shareholders. In equilibrium, the stock price reflects the demand from both controlling shareholders and portfolio investors. As a consequence, due to the high demand from controlling shareholders, the price of weak corporate governance stocks is not low enough to fully discount the extraction of private benefits. This generates the following empirical implications. First, stocks should have lower expected returns when investor protection is weak. Second, domestic and foreign investors' participation in the stock market should be lower in countries with weak investor protection. Third, portfolio investors from countries with weak investor protection should hold relatively more foreign equity. Fourth, countries with weak investor protection should receive relatively more foreign direct investment. We show that these implications are consistent with existing empirical studies and we provide original evidence that domestic portfolio investors are less likely to participate in the domestic stock market and hold more foreign equity, when investor protection is weak.\",\"PeriodicalId\":170505,\"journal\":{\"name\":\"Macroeconomics eJournal\",\"volume\":\"87 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2008-03-01\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"28\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Macroeconomics eJournal\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.2139/ssrn.942513\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Macroeconomics eJournal","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.942513","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
Investor Protection, Equity Returns and Financial Globalization
We study the effects of investor protection on equilibrium stock prices, returns and portfolio allocation decisions. In our theoretical model, if investor protection is weak, wealthy investors have an incentive to become controlling shareholders. In equilibrium, the stock price reflects the demand from both controlling shareholders and portfolio investors. As a consequence, due to the high demand from controlling shareholders, the price of weak corporate governance stocks is not low enough to fully discount the extraction of private benefits. This generates the following empirical implications. First, stocks should have lower expected returns when investor protection is weak. Second, domestic and foreign investors' participation in the stock market should be lower in countries with weak investor protection. Third, portfolio investors from countries with weak investor protection should hold relatively more foreign equity. Fourth, countries with weak investor protection should receive relatively more foreign direct investment. We show that these implications are consistent with existing empirical studies and we provide original evidence that domestic portfolio investors are less likely to participate in the domestic stock market and hold more foreign equity, when investor protection is weak.