信息披露、投资策略与主权财富基金投资收益

Information Disclosure,Investment Strategy and Returns of Sovereign Wealth Funds

本文以全球20家主要主权财富基金为研究对象,利用logistic回归和多水平logistic回归研究了信息披露和投资策略对主权财富基金投资收益的影响。研究发现:信息披露越多的基金,收益表现越不好,说明信息披露越多,给市场投机者利用和挖掘的空间越大,好的投资策略可能在国际市场套利面前,也将获利甚微;2008—2011期间,在控制了宏观经济变量后,投资策略对收益的影响并不显著,说明市场环境是影响投资收益的主要因素,积极投资策略并不能获得更好收益。

Based on the data of twenty mainly Sovereign Wealth Funds （ SWFs）, this paper explores the effects of Informa- tion Disclosure and Investment Strategy on investment returns of SWFs, using the method of Logistic Regression and Multilevel Logistic Regression. We find that SWFs with more information disclosure have worse performance on returns. We also find that, during the year 2008 to 2011, instead of investment strategy, market environment plays a leading role in affecting SWFs＇ returns. It is obviously that there will be more opportunities for Market speculators when more information of SWFs is disclosed, then even an excellent investment strategy may not achieve arbitrage. Meanwhile, positive investment strategy cannot bring bet- ter returns after controlling macroeconomic variable.