Globalization and Asset Returns

Bekaert, Geert; Harvey, Campbell R.; Kiguel, Andrea; Wang, Xiaozheng Sandra

doi:10.2139/ssrn.2830700

Cited by 5 publications

(8 citation statements)

References 46 publications

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“…We use foreign ownership as a proxy for the level of stock market integration, a time‐varying measure of foreign investors’ presence in the domestic stock market. We extend the findings from the integration and cost of capital literature, recently reported by Bekaert et al (, ) and Carrieri et al (), with fresh evidence from a major emerging market.…”

Section: Introductionsupporting

confidence: 87%

“…Even after liberalization events, some assets (e.g., micro‐caps, illiquid stocks, and equities with restrictions on foreign ownership) can remain ineligible for foreign investors (Bailey & Jagtiani, ; Bekaert & Harvey, ; Bekaert et al, ; de Jong & de Roon, ; Errunza & Ta, ). Since integration is incomplete, pricing frictions partially offset the benefits arising from risk sharing.…”

Section: Related Literaturementioning

confidence: 99%

“…There is an ongoing debate on whether financial globalization has helped emerging markets expand and boost investment (Bekaert et al, ). Some studies argue that liberalization has alleviated financial constraints and decreased the cost of capital, thereby boosting investment, growth, and productivity (Bekaert et al, , 2011; Bonfiglioli, ; Chari & Henry, ; Gupta & Yuan, ; Henry, ; Laeven, ; Larrain & Stumpner, ; Ranciere, Tornell, & Westermann, ).…”

Section: Integration and Real Economic Activitymentioning

confidence: 99%

“…It is generally accepted that higher levels of foreign stock ownership drive integration. However, as noted by Bekaert, Harvey, Kiguel, and Wang (), some of the benefits of financial liberalization remain uncertain, especially with respect to integration velocity and its impact on improving the real economy.…”

Section: Introductionmentioning

confidence: 99%

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Stock market integration, cost of equity capital, and corporate investment: Evidence from Brazil

Hillier

Loncan

2017

Euro Fin Management

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We study the effect of stock market integration on the cost of capital and investment, using Brazil as a case study. We show that integration, as proxied by foreign ownership, has a positive impact on the financing side by reducing cost of capital. On the output side, we find that integration increases corporate investment, but only for well‐governed firms. We contribute to the debate on the pros and cons of financial globalization, particularly by providing evidence of important linkages between financial integration and real economic activity.

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Section: Introductionsupporting

confidence: 87%

Section: Related Literaturementioning

confidence: 99%

Section: Integration and Real Economic Activitymentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

See 2 more Smart Citations

Stock market integration, cost of equity capital, and corporate investment: Evidence from Brazil

Hillier

Loncan

2017

Euro Fin Management

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“…A similar methodology of using pairwise correlations as dependent variables is employed in Bekaert et al . ().…”

mentioning

confidence: 97%

The Consequences of REIT Index Membership for Return Patterns

Pavlov

Steiner

Wächter

2017

Real Estate Economics

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The impact of stock market index membership on Real Estate Investment Trust (REIT) stock returns is unclear. Returns may become more like those of other indexed stocks and less like those of their underlying properties. Taking advantage of the inclusion of REITs in major S&P indexes starting in 2001, we find that shared index membership significantly increases the correlation between REIT returns. However, index membership also enhances the link between REIT returns and the underlying real estate, consistent with improved pricing efficiency.

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Do foreign portfolio capital flows affect domestic investment? Evidence from Brazil

2018

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Although there are several direct and indirect theoretical channels through which foreign capital flows may affect domestic investment, empirical evidence remains inconclusive. In this paper, we employ a VARX framework to assess the impact of equity foreign portfolio investment (EFPI) on domestic investment growth, employing monthly series for the Brazilian economy. Our results suggest that EFPI played a nonnegligible role in explaining aggregate investment fluctuations, but only before the 2008 global financial crisis. After the crisis, a period marked first by a shift in economic policy in 2008–2009, with substantial increases in government intervention, followed by deterioration in the institutional outlook and political stability in 2014–2015, mostly against the backdrop of the Petrobras corruption scandal, unexpected shocks to EFPI no longer led any real effects on investment growth. Although, in general, our results vouch for beneficial effects of equity capital flows on investment, this virtuous relationship is likely disturbed by interventionist policies and political unrest.

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Globalization and Asset Returns

Cited by 5 publications

References 46 publications

Stock market integration, cost of equity capital, and corporate investment: Evidence from Brazil

Stock market integration, cost of equity capital, and corporate investment: Evidence from Brazil

The Consequences of REIT Index Membership for Return Patterns

Do foreign portfolio capital flows affect domestic investment? Evidence from Brazil

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