Jun 07, 2011
from 05:00 PM to 06:00 PM
|Where||Winstanley Lecture Theatre, Trinity College|
|Contact Name||Sheryl Anderson|
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Dr Valeria Miceli (Universita’ Cattolica del Sacro Cuore, Milan)
Title: Sovereign Wealth Funds’ Investment Behaviour
With $4.3 bn of assets under management increasing at spectacular paces in the recent decade, feared and at the same time 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 the financial and political global arena. That is where the interest of this research has moved from. SWFs are government owned financial vehicles deriving their wealth from oil related or other fiscal or balance of payment surpluses. Aim of this paper is to investigate whether they behave differently compared to other institutional investors. Basing on a newly and specifically built database of 2740 equity transactions spanning 1990-2010 and involving 31 (totalling $3.4 bn AuM) out of the 52 existing SWFs, this research answers the question whether SWFs herd in equity markets on single industries applying the methodology by Lakonishok, Shleifer, Vishny (1992). The result, a measure of herding equal to -6%, implies that SWF do not herd among industries, but, on the contrary, this result indicates less dispersion around the expected pattern of trades among industries than if trades were randomly and independently distributed. This could suggest that SWFs do not differentiate their investment strategies among industries providing evidence of a different behaviour compared to what other institutional investors do.