176 2017, XX, 3
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DOI: 10.15240/ ul/001/2017-3-012
In oduc ion
So e eign Weal h Funds (SWFs) a e s ill
conside ed o be new-bo n ins i u ional
in es o s, in in e na ional i nancial ma ke s, as
well as inno a i e in es men ehicles, despi e
hei ela i ely long his o y. Se e al unds ha e
been ope a ing a a global le el o mo e han
i y yea s, howe e he numbe o hose c ea ed
a e he yea 2000 ep esen s he majo i y o
he o al in exis ence. Fo many yea s, hese
s a e- un unds ha e been almos anonymous
in es o s, exis ing in he shadows, main aining
a low p o i le in he public eye. SWFs ha e been
ega ded as in es men ehicles es ablished
in o de o manage, in a a ional and p o i -
o ien ed way, pools o na ional weal h o
u u e gene a ions. These unds gained public
a en ion du ing he las i nancial c isis, playing
he ole o in es o s o las eso o op global
i nancial ins i u ions. Nowadays, SWFs a e
among he mos impo an ins i u ional in es o s
in global i nancial ma ke s, and cons i u e a solid
elemen in he a chi ec u e o he in e na ional
i nancial sa e y ne . Simila ly o o he i nancial
ins i u ions, So e eign Weal h Funds possess
huge amoun s o capi al. Du ing he las decade
he unds ha e doubled hei asse s unde
managemen , and, in spi e o losses acc ued in
consequence o he las i nancial c isis, by he
end o 2014 hese amoun ed o o e 7 billion
US dolla s. Wha dis inguishes hem he mos
om o he i nancial ins i u ions is he ac ha
hey a e owned, managed and con olled
by so e eign s a es, ha e limi ed liquidi y
needs, a lowe - han-ma ke -a e age-le el o
edemp ion isk, a long- e m, in e gene a ional
in es men ho izon and ela i ely high isk
ole ance. So e eign Weal h Funds, because
hey a e hyb id in na u e, combine p i a e
sec o me hods o in es men (e.g. coming om
hedge unds and pension unds), wi h public-
sec o goals de e mined by go e nmen s.
Gi en he high le el o opaci y in SWFs’
decision p ocessing, he lack o anspa ency
in hei po olio alloca ion, and hei inc easing
capi al in ol emen wi hin a wide ange o
asse classes, a u he unde s anding o
he in es men beha io o hese s a e- un
in es men ehicles is so ely needed. In
he las decade, se e al a icles ha e been
dedica ed o analyzing he ac o s de e mining
asse alloca ion among his g oup o in es o s,
howe e he e a e issues which s ill need o be
examined. One o he unanswe ed ques ions is
he ela ion be ween pu chasing equi y s akes
in companies, and changes in he i nancial
pe o mance o a a ge ed i m. The empi ical
i ndings ha e p o ided e idence ha public
companies, due o he ac ha hey ca e o
he in e es s o poli icians and no only o hei
sha eholde s, a e ela i ely less e i cien wi h
compa ison o sole p i a e i ms. Thus hese
unds a e likely o ha e objec i es di e en han
ob aining he highes possible i nancial e u n
on an in es men . In consequence, he e a e
g ounds o belie e ha companies owned by a
SWF expe ience a educ ion in hei i nancial
pe o mance. The main goal o his pape is
o answe he ques ion o whe he in es men
om So e eign Weal h Funds de e mines
changes in co po a e i nancial pe o mance.
This pape is pa o a la ge p ojec aimed
a unde s anding he i nancial aspec s o
SWFs’ ac i i y in eme ging ma ke s, especially
as ega ds hei in es men p ac ices and
pe o mance. P e ious pape s by he au ho
ha e been ocused on ac o s de e mining
p opensi y o in es in companies lis ed on
he Wa saw S ock Exchange and he S ock
Exchange in Sao Paulo. This s udy con ibu es
o ongoing esea ch in he i eld o s udies
ela ed o i nancial aspec s o SWFs’ beha io
by p o iding empi ical e idence abou he
impac o SWFs’ in es men in he co po a e
THE IMPACT OF SOVEREIGN WEALTH
FUND OWNERSHIP ON THE FINANCIAL
PERFORMANCE OF FIRMS: THE EVIDENCE
FROM EMERGING MARKETS
Da iusz U ban
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i nancial pe o mance o a ge ed i ms om
he one o eme ging ma ke s in Cen al and
Eas e n Eu opean Coun ies.
The emainde o his pape is o ganized
in he ollowing manne : Sec ion 1 p o ides
heo e ical backg ound o he esea ch by
discussing he ela ion be ween ins i u ional
in es o owne ship and i nancial pe o mance
o he company. Sec ion 2 desc ibes he
me hodology and da a used in his s udy.
Sec ion 3 p esen s and discusses empi ical
i ndings. The a icle concludes by poin ing ou
a enues o u u e esea ch.
1. Li e a u e Re iew
1.1 Ins i u ional In es men in Global
Financial Ma ke s
P i a iza ion as a co e go e nmen policy is no
only well documen ed in economic li e a u e,
bu has also been a key componen o he
ans o ma ion p ocess in coun ies changing
hei economic o ma om one ha is cen ally
planned o one ha is ma ke o ien ed. The
issue o p i a iza ion is especially ele an o
coun ies om Cen al and Eas e n Eu ope,
whe e om 1989 onwa ds, we can obse e
p ocesses o massi e e ea o s a es om
many a eas p e iously ega ded a p io i as
s a e-owned and s a e- egula ed. Mo eo e
o se e al decades p i a iza ion along wi h
de egula ions in many sec o s, has been he
answe and he an ido e gi en by leading global
i nancial ins i u ions o de eloping economies
expe iencing budge , i nancial o economic
di i cul ies.
Howe e , looking a he global pic u e
as a whole, we can i nd e idence ha o e
he 2001-2012 pe iod go e nmen s acqui ed
mo e asse s h ough s ock pu chases han
hey sold h ough sha e issue p i a iza ions
and di ec sales. The key ac o ha seems o
explain hese ob ious con adic ions is ha he
go e nmen pu chases o equi y ha e ecen ly
been conduc ed mos ly by s a e en i ies ac ing
as in es o s a he han owne s. Much o his
s a e in es men was channeled h ough special
in es men ehicles – So e eign Weal h Funds,
and he as bulk o s ock pu chases ha e been
c oss bo de ansac ions. SWFs ha e been
buying non-con olling s akes in o eign and
domes ic companies in o de o ealize a long-
e m i nancial e u n, a he han o own and
ope a e hese businesses as s a e en e p ises
(Bo olo i, Fo ak, & Megginson, 2014).
The ise and g ow h o So e eign Weal h
Funds e l ec a b oade phenomenon o equi y
owne ship concen a ions wi hin a g oup o
ins i u ional in es o s a he han in he hands
o indi iduals. Today ins i u ional in es o s
hold a ound 60% o all publically lis ed s ock
in he Uni ed S a es, a ound 72% in Japan
and a ound 89% in he UK (Çelik & Isaksson,
2014). The e is no commonly accep ed
de i ni ion o an ins i u ional in es o hus a ;
howe e in he b oades sense, “ins i u ional
in es o ” e e s o h ee ca ego ies o en i ies.
The i s g oup o ins i u ional in es o s e e s o
adi ional ins i u ional in es o s and comp ises
pension unds, in es men unds and insu ance
companies. The second g oup, labeled
al e na i e ins i u ional in es o s, consis s o
hedge unds, p i a e equi y unds, exchange-
aded unds and so e eign weal h unds. The
hi d g oup a e asse manage s, who in es in
hei clien s’ names (Çelik & Isaksson, 2014). As
a g oup, ins i u ional in es o s a e ega ded as
a common ea u e o mode n capi al ma ke s,
playing he majo ole in he in e na ionaliza ion
o i nancial ma ke s (Aga wal, 2009).
Ins i u ional in es o s assume an inc easing
ole in global capi al ma ke s as well as he
main o ce shaping he new i nancial landscape
(Mizuno, 2010). Gi en hei size, es ima ions
sugges ha hey accoun o mo e han hal
o global equi y ma ke alue wo ldwide, and
ha when hese in es o s ac oge he , hey
can shape he i nancial ma ke s in o he o m
hey desi e (Roge s, 2014). Fo eign ins i u ional
in es o s a e quan i a i ely a e y impo an
g oup especially in eme ging ma ke s (F ankel
& Menkho , 2003), whe e hey ha e become
a signi i can channel p o iding capi al (Chang,
Hsiao, & Tsai, 2013). This g oup o in es o s is
g owing as in eme ging ma ke s, whe e SWFs
s ill p edomina e as a sou ce o long- e m
capi al (Della C oce, S ewa , & Ye mo, 2011).
Ins i u ional in es o s as a whole, wi h
So e eign Weal h Funds playing a signi i can
ole, a e also he key elemen o oday’s global
economic and i nancial landscape, which
has been desc ibed as a i ducia y capi alism.
This e m, which was used o he i s ime
by Hawley and Williams, cha ac e izes a new
pa e n o owne ship in which ins i u ions
such as e.g. pension unds and mu ual unds,
own equi y on behal o o he s e.g. e i ees
o u u e e i ees (Hawley & Willams, 1997).
The i
ducia y capi alism is ypi i
ed by highly
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di e si i ed equi y holdings by a la ge numbe
o ins i u ional owne s, howe e holdings a e in
ac , concen a ed in he hands o a ela i ely
small numbe o he e y la ges en i ies –
uni e sal owne s (Hawley & Willams, 2007).
These i ducia y ins i u ions, wi h he No wegian
So e eign Weal h Fund being a leading
example, a e highly di e si i ed in es o s,
holding po olios ha ep esen almos e e y
asse class om almos e e y egional i nancial
ma ke . Simila ly o So e eign Weal h Funds,
o he ela i ely new in ui ions ha e ecen ly
become impo an equi y owne s alongside
he mo e adi ional in es o s, such as pension
unds and in es men unds. In a simila ein,
Bo olo i e al. (2014) sugges ha SWFs a e
he single mos impo an exp ession o he
o ce ha can be called he ise o he i ducia y
s a e. Wha makes his phenomenon especially
signi i can is he ac ha he la ges numbe
o go e nmen equi y pu chases ha e been
acquisi ions in o eign companies, whe e a
s a e pu chase has limi ed abili y o exe cise
any so e eign egula o y o supe iso y powe .
SWFs as s a e sha eholde s ha e no mo e
au ho i y o moni o a ge i m manage s han
do p i a e in es o s, especially i hey a e
poli ically cons ained.
These de elopmen s ha e gi en new
impe us o he discussion abou he ole o
So e eign Weal h Funds in publicly lis ed
companies, wi h special emphasis on he
ela ion be ween SWFs’ owne ship, and he
i nancial pe o mance o companies. Due o he
ac ha in e ms o sha eholding size, hese
s a e- un unds a e e y di e en om indi idual
in es o s, a ques ion a ises as o whe he
ins i u ional owne ship in l uences a company’s
i nancial pe o mance. The empi ical i ndings,
so a , do no p o ide clea a gumen s ha
allow us o d aw unambiguous conclusions on
his issue.
1.2 Ins i u ional Owne s and
he Financial Pe o mance
o a Company
A la ge body o esea ch sugges s ha
go e nmen s usually ha e a nega i e impac on
a i m’s i nancial pe o mance, which imp o es
wi h p i a iza ion (Es in, Hanousek, Kočenda,
& S ejne , 2009; Sun & Tong, 2003; Shi ley &
Walsh, 2001). So e eign Weal h Funds, due
o hei poli ical connec ions, a e likely o ha e
objec i es o he han ob aining he highes
possible i nancial e u n. Hence, a company
wi h a SWF as a sha eholde migh be ela i ely
ine i cien and expe ience educ ions in hei
ma ke alue, because manage s will ca e also
o he in e es s o poli icians (Fe nandes, 2014).
In case o public-p i a e owne ship, empi ical
i ndings o esea ch sugges s ha such mixed
owne ship also has a nega i e impac on he
alue o he company (Shi ley & Walsh, 2001;
Bo iso a, B ockam, Sales, & Zago che , 2012).
Howe e looking a his issue om a di e en
pe spec i e i , is likely ha SWFs may be able
o inc ease hei pe o mance and he alue
o he companies hey in es in by opening
doo s o new ma ke s, and by helping hem o
ma ke hei p oduc s in hei home ma ke s.
These s a e- un unds, due o hei long- e m
in es men ho izon, can signi i can ly elax
i nancing cons ain s o i ms, he eby allowing
hem o unde ake p omising in es men s wi h
mo e dis an payo s. Thus, i such ad an ages
a e impo an , one possible ou come is ha
companies wi h SWF owne ship become mo e
e i cien and expe ience inc eases in hei
ma ke alue (Fe nandes, 2014).
Simila conclusions o hose p esen ed
abo e can be d awn om he nex s and o
li e a u e ha ocuses on he ela ion be ween
ins i u ional in es o owne ship and he i nancial
pe o mance o i ms. The p edic ion ha la ge
ins i u ional owne s can ha e a posi i e in l uence
on he alue o he company a ises om he
assump ion ha hese in es o s ha e an
incen i e o and can e i cien ly moni o inside s,
educing he likelihood ha inside s will make
sub-op imal decisions (Na issi & Naike , 2006).
Woid ke (2002) i nds ha Tobin’s Q is posi i ely
ela ed o he owne ship p opo ion o he
p i a e pension und. Fo public pension unds,
such ela ions we e nega i e. Simila ly Co ne ,
Ma cus, Saunde s and Teh anian (2007) i nd
a signi i can ela ion be ween a company’s
ope a ion cash l ow e u ns and bo h he
sha eholding p opo ion and he numbe o
in es o s, o hose ins i u ional in es o s less
likely o ha e a business ela ionship wi h he
i ms. In a simila ein, he empi ical i nding o
Yuan, Xiao and Zou (2008) sugges ha equi y
owne ship by mu ual unds has a posi i e
e ec o i m pe o mance. Elyasiani and
Jia, analyzing he dis ibu ion o ins i u ional
owne ship, ha e ound ha he e is a posi i e
ela ionship be ween company pe o mance
and ins i u ional owne ship s abili y (Elyasiani &
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Jia, 2010). The empi ical esul s p esen ed by
Hsu and Wang (2014) show ha he inc easing
s abili y o ins i u ional holdings is ela ed o
be e company pe o mance.
On he o he hand, he li e a u e p o ides
e idence on he nega i e ela ionship
be ween ins i u ional owne ship and company
pe o mance; e.g. he empi ical i ndings o
Liang, Lin and Huang (2011) sugges ha
ins i u ional sha eholdings nega i ely a ec
i m pe o mance. Also Cha eddine and
Elma zougui (2010) a gue ha ins i u ional
owne ship has a signi i can nega i e impac
on i m pe o mance as measu ed by a p oxy
o Tobin’s Q. Ruiz-Mallo quí and San ana-
Ma ín (2011), using a sample o he lis ed
companies in Spain, p esen e idence ha he
ela ionship be ween ins i u ional in es o s and
i m pe o mance is nega i e o he banking
sec o due o he ac ha banks in pu sui o
achie ing p o i s ha e de imen al in l uence on
company pe o mance. In con as , he o he
s udies i nd no signi i can ela ion be ween he
abo e-men ioned a iables (Faccio & Lase ,
2000; Duggal & Milla 1999). Summing up, he
impac o ins i u ional s ock owne ship on i m
pe o mance is s ill unclea .
While he mo i es o c ea ing So e eign
Weal h Funds and mac oeconomics p o i s
o he domes ic economy as well as o
anspa ency and geopoli ical conce ns a e
well ecognized in he li e a u e (see e.g. Beck
& Fido a, 2008; Sun & Hesse, 2009; Sedláček,
2010; Quad io Cu zio & Miceli, 2010; U ban,
2011; Ji ánko á, 2012; Ćuso ić, 2012; Cas elli
& Scaccia illani, 2012; Alhashel, 2015), many
ques ions conce ning he i nancial aspec s
o unds’ ac i i ies s ill emain ela i ely
unanswe ed. Mo eo e , he empi ical esul s
ound in he li e a u e a e con o e sial wi h
e e ence o he sho e sus he long e m, as
well as o in es men and di es men issues
which a e ela i ely spa se, mainly due o
di i cul ies in ob aining comp ehensi e and
sys ema ic da a (Heaney, Li, & Valencia, 2011)
and in o ma ion gaps (Cia lone & Micelli, 2014).
Knill, Lee and Mauck (2012), looking a he
a isk- ewa d pe o mance o a ge companies,
a gue ha SWFs do no b ing bene i s o he
companies hey in es ed in, as o he ins i u ional
in es o s do. Fo ak, Bo olo i, Megginson and
Mi acky (2008) i nd e idence sugges ing ha in
he long e m hese s a e- un unds a e alue
des oying. Bo olo i, Fo ak and Megginson
(2013) a gue ha companies a ge ed by ac i e
SWFs end o achie e an abno mal e u n o e
he long e m, while companies a ge ed by
passi e SWFs end o unde pe o m. Dewen e ,
Han and Mala es a (2010) sugges ha o e a
i e yea in es men ho izon he e exis s mixed
posi i e e idence on he ela ion be ween
SWF owne ship and he s ock pe o mance o
a ge ed i ms, which is consis en wi h Ko e
and Lel’s (2011) i ndings o ze o- e u ns o e
he long un. The e a e o he pape s, howe e ,
ha ha e ound ha SWFs b ing alue o hei
a ge i ms. The empi ical i ndings ega ding he
s ock pe o mance o a ge companies sugges
ha he e a e posi i e abno mal e u ns a ound
he day o in es men announcemen (Ko e
& Lel, 2011; Fo ak, Bo olo i, Megginson, &
Mi acky, 2008; Raymond, 2008). In simila
ein, Fe nandes (2011) a gues ha he e is an
SWF p emium; companies wi h he und as a
sha eholde ha e 10-15% highe alues han
compa able i ms, ce e is pa ibus. Be oni and
Lugo (2014) i nd ha he C edi De aul Sp ead
(CDS) o a ge companies d ops ollowing
a SWF’s in es men . Fe nandes (2014)
p o ides s a is ically signi i can e idence o
bo h inc eases in a company’s alue ollowing
SWF in es men s, as well as signi i can
imp o emen s in ope a ional pe o mance.
Summing up, we can see ha he spec um
o empi ical i ndings on he ela ionship
be ween ins i u ional in es o s and he i nancial
pe o mance o a a ge company is e y wide
and dispe sed. Addi ionally, p e ious esea ch
has been ocused mainly on de eloped
ma ke s. The e o e, he e is a need o deepe
in es iga ion, especially on eme ging ma ke s,
o each mo e obus conclusions.
2. Me hodology and Da a
2.1 Sample Selec ion
The sample ini ially comp ised all companies
lis ed on he Wa saw S ock Exchange. Th ee
es ic ions we e hen applied. Fi s i nancial
companies (e.g. banks, insu ance and i nancial
companies) we e excluded as hey end o
ha e capi al s uc u es di e en om o he
companies. Secondly, he da a base was
es ic ed o companies ha ha e been lis ed
o a leas one ull yea as o he end o 2013,
o ensu e ha i s pe o mance and he capi al
s uc u e a e no signi i can ly a ec ed by he
new lis ing, which may ha e an impac on he
in e p e a ion o esul s. Finally, companies wi h
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missing da a ha e been excluded. The abo e
c i e ia yielded a usable sample o 336 i ms.
Wi hin his g oup, using a unique So e eign
Weal h Funds Ins i u e da abase, 36 i ms
we e iden i i ed as a ge ed o in es men by
So e eign Weal h Funds. The sample o Polish
companies ep esen s o e 80% o he o al
companies om Cen al and Eas e n Eu opean
Coun ies ha we e chosen o in es men in
2013. The lack o da a o p e ious yea s does
no allow o he c ea ion o panel da a, so a .
All i nancial indica o s cha ac e izing lis ed
companies ha e been ob ained om S ock
G ound, p o ided by No o ia Se ices.
2.2 Va iables
The key a iables o in e es a e measu es
o he i m’s pe o mance: e u n on equi y
(ROE), e u n on in es ed capi al (ROIC),
e u n on asse (ROA), and So e eign Weal h
Funds` owne ship in he company SWF. Fo
SWF we used a dummy a iable (SWF_1),
and a a iable ep esen ing he pe cen age o
owne ship igh s (SWF_2). We also included
o e 1% o an owne ship a iable (SWF_3) o
examine he p esence o owne ship e ec a e
a ce ain h eshold.
Co ne e al. (2007) a gue ha using
ope a ing pe o mance measu es may o e
some ad an ages o e Tobins’ Q. Fi s , i
is a mo e ocused indica o o he cu en
pe o mance o he company, and unlike
Tobins’ Q, i is no a ec ed by p ice changes
associa ed wi h he an icipa ed co po a e
akeo e e en s o o he g ow h oppo uni ies.
Second, Tobins’ Q may be mo e suscep ible
o endogenei y p oblems i in es o s chase
g ow h s ocks o ecen ma ke winne s.
Despi e he abo emen ioned disad an ages,
we included a a iable P_BV ep esen ing
p ice o book he alue o he company. This
allowed us o analyze he po en ial impac o
SWF’s owne ship in he company on i s ma ke
pe o mance.
In o de o con ol he o he possible
de e minan s o company pe o mance, which
we e no cap u ed by he owne ship a iable,
we also included some obse ed company
cha ac e is ics as con ol a iables. The con ol
a iables used in he s udy ha e been selec ed
wi h e e ence o hose employed in ea lie
empi ical s udies; a iables ha ha e been
shown o be ela ed o in e na ional in es men
choices (see e.g. Fe nandes, 2011). We used
he size o he company, i s i nancial le e age,
annual s ock e u n, and g ow h oppo uni ies
as he igh -hand side a iables. The desc ip i e
s a is ics o a iables a e p esen ed in Tab. 1.
The size o he company has a signi i can
howe e ambiguous e ec on company
pe o mance. On one hand, la ge companies
can be less e i cien han smalle ones because
o loss o con ol by op manage s o e
s a egic and ope a ional ac i i ies wi hin he
i m. On he o he hand, la ge i ms may u n ou
o ha e be e pe o mance as hey a e likely
o exploi economies o scale, employ mo e
skilled manage s and ha e he o maliza ion
o p ocedu es (Kuma , 2004). We used he
loga i hm o o al asse s (SIZE) o con ol
company size.
The cos o capi al de i ed om le e age
being used by he company can a ec hei
i nancial pe o mance in di e en ways,
Va iables Obs. Mean S d.De . Min Max
ROE
ROA
ROIC
PBV
SWF_1
SWF_2
SWF_3
PERFORMANCE
SIZE
LEVERAGE
GROWTH_OPP
321
308
278
333
336
336
336
319
309
334
317
1
0.9999
1
1
0.1071429
0.2173512
0.2047917
-3.436439
19.83706
2.925451
8.460868
4.026468
2.775469
4.066483
2.985078
0.3097561
0.7663999
0.7654408
13.44888
1.681403
31.70677
37.88543
-30.51854
-18.38241
-41.64627
-1.656082
0
0
0
-52.7072
12.97876
-2.290817
-99.32204
36.33857
26.5733
37.25245
44.28933
1
5
5
79.81244
25.29686
58.2288
258.5533
Sou ce: own calcula ions
Tab. 1: Desc ip i e s a is ics o a iables
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181
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Finance
including ax shield, a highe business ope a ing
isk and highes in e es bu den (Mo ck,
Shlei e , & Vishny, 1988). Gi en his, including
his a iable (LEVERAGE) in he model seems
o be easonable. We measu e le e age as
he deb o asse a io, which equals he book
alue o o al deb di ided by he book alue
o o al asse s. The lagged annual s ock e u n
o he company (PERFORMANCE) is likely o
cap u e he ma ke ’s expec a ions on he u u e
pe o mance o he company, and he e o e, o
accoun o he possibili y ha SWFs only selec
companies wi h good pe o mance o in es in,
we included his a iable in he model (Yuan,
Xiao, & Zou, 2008). The e o e, a e con olling
o his a iable, an obse ed posi i e coe i cien
on SWF is mo e likely o e l ec he e ec
o SWFs’ owne ship on company i nancial
pe o mance, a he he o he way a ound. The
nex a iable, g ow h oppo uni ies (GROWTH_
OPP), e l ec he possibili y ha he und p e e s
companies wi h a highe han a e age inc ease
o sales, o in es in. Thus, o con ol o his
a iable, a sales g ow h a e is included, simila
o ha used by Elyasiani and Jia (2010) and
Fe nandes (2014).
2.3 The Model
In o de o suppo a hypo hesis abou he
ela ionship be ween SWFs’ owne ship and
he i nancial pe o mance o he company, we
un eg essions in which he company’s ROE,
ROA, ROIC and P_BV we e a unc ion o
a ious igh -hand side a iables, discussed in
he p e ious sec ion. The ela ionship be ween
he in es o ’s capi al in ol emen and he
i nancial pe o mance o he company, howe e ,
as p e ious esea ch sugges s, is subjec o a
po en ial simul anei y bias. The ins i u ional
in es o s migh be a ac ed o companies
wi h a supe io ope a ing pe o mance,
and as a consequence o his, a posi i e
associa ion be ween in es o s’ owne ship
and i nancial pe o mance can be obse ed
e en i ha owne ship is no di ec ly bene i cial
o pe o mance. To elimina e his po en ial
simul anei y bias we employed se e al ools.
Fi s , we used bo h accoun ing and
ma ke measu es o he i nancial pe o mance
o companies ones as le -hand a iables.
Secondly, we no malized a company’s ROA,
ROE, ROIC and P_BV by he ma ke -a e ages,
which elimina ed ela ions be ween ela i e
pe o mance and a i m’s cha ac e is ics.
Thi dly, we included a lag a iable e l ec ing
e u n on s ock o e he p e ious yea , a lag
a iable o asse s and a lag a iable o g ow h
oppo uni ies. We also used a lag measu e
o SWFs’ owne ship by one yea . This lag
mi iga es simul anei y issues and allowed us
o e i y he hypo hesis ha SWFs owne ship
imp o es company i nancial pe o mance o e
he hypo hesis ha SWFs inc ease holdings
in companies wi h be e ecen i nancial
pe o mance. I SWFs do e ec managemen
decisions, and because o ha ha e a posi i e
impac on i nancial pe o mance a ge i ms,
hey p esumably would do so p io o he yea
o be e pe o mance, which is consis en wi h
he use o a lag.
As a consequence o he adjus men s
desc ibed abo e, he equa ions o model
eg essions a e as ollows:
Yi,2014 = ß0+ß1SWFi,2013+ß2PERFORMANCEi,2013+
+ ß3SIZEi,2013+ß4LEVERAGEi,2013+
+ ß5GROWTH_OPPi,2013+u2013
(1)
whe e: Yi,2014 is ROE, ROIC, ROA and P_BV
espec i ely (in he ollowing eg essions), and
a iable SWFi,2013 akes he o m o SWF_1,
SWF_2 and SWF_3 in each eg ession o a
dependen a iable, wi h u as he means e o
e m.
Addi ionally, o each o he dependen
a iables we also es ima ed eg essions wi h he
use o inc emen al le -hand a iables o analyze
he po en ial in l uence o SWF owne ship on
changes in i nancial pe o mance, a he han
on he le el o i nancial a iables. Selec ed
es ima ion esul s, hose a bi a ily chosen
o p esen as bes in e ms o signi i cance o
pa ame e s and R2, a e p esen ed in Tab. 2 and
Tab. 3. All es ima ions and calcula ions ha e
been made wi h he use o STATA.
3. Empi ical Findings and Discussion
Looking a he esul s collec i ely, we can see
he mixed e idence o a ela ionship be ween
So e eign Weal h Fund in es men and he
i nancial pe o mance o companies. Fi s , in
es ima ions using he absolu e le el o indica o
as a le hand a iable, we obse e a posi i e
howe e no s a is ically signi i can impac o
in es men , while in es ima ions using del a
ROE, he ela ionship seems o be nega i e.
In models: (4), (6) and (8), he a iable SWF
is s a is ically signi i can a 5% and 1%
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182 2017, XX, 3
Finance
espec i ely, sugges ing ha SWF in es men
in -1 yea indica es he dec ease o e u n on
equi y in he ollowing yea . The esul s a e
consis en wi h hose p esen ed by Knill, Lee
and Mauck (2012).
Secondly, he p esen ed empi ical esul s
sugges ha a iable SWF seems o be
be e in p edic ing changes o pe o mance
a he han an absolu e le el o indica o s.
This conclusion seems o be a p omising and
easonable a enue o he u u e esea ch.
Thi dly, simila eg essions (no epo ed) ha e
been un wi h o he a iables ep esen ing he
i nancial pe o mance o company, i.e. e u n
on in es ed capi al, e u n on asse s, as le
hand a iables. The i ndings do no p o ide
any e idence o suppo hypo heses on he
ela ionship be ween capi al in ol emen o
he SWF and he i nancial pe o mance o he
company as well as a obus ness es o his
analysis. Among se e al explana ions o such
a si ua ion, wo migh be especially impo an
ones. Fi s , a one yea lag be ween unds’
in es men and measu ing changes in i nancial
pe o mance o companies migh no be enough
o bene i s o SWFs’ in es men o be isible.
A he p esen , due o he da abase, such a
limi a ion can’ be o e come. Fu he esea ch
migh also be based on panel da a wi h a wide
ange o companies om di e en eme ging
ma ke s. Secondly, SWFs as new in es o s in
companies migh in l uence manage s o ac
di e en ly wi h sho - e m i nancial pe o mance
cos s o his change.
As ega ds o o he a iables, he le el o
deb in he company, measu ed by le e age
a io, has a posi i e in l uence o ROE wi h a
s a is ically signi i can 1% le el in all eg essions.
These esul s as consis en wi h a heo y o
i nance ha poin s ou he posi i e impac o
i nancial le e age on he i nancial pe o mance
o a company. The a iable GROWTH_OPP
hold only in Δ ROE eg essions, which
sugges s ha he inc ease o sales in -1 yea
Va iables (1)
ROE
(2)
Δ ROE
(3)
ROE
(4)
Δ ROE
SWF_1 0.6008087
(0.102)
-0.3760626
(0.249) --
SWF_2 --
0.0675494
(0.597)
-0.2818022
(0.013)
SWF_3 ----
PERFORMANCE 0.047909
(0.060)
0.0422848
(0.235)
0.484412
(0.060)
0.0431408
(0.227)
SIZE -0.2181708
(0.029)
-0.0504923
(0.635)
-0.1877548
(0.055)
-0.0578668
(0.574)
LEVERAGE 0.638005
(0.000)
0.102362
(0.000)
0.63862
(0.000)
0.1023649
(0.000)
GROWTH_OPP 0.005206
(0.992)
-0.0169462
(0.007)
0.006599
(0.900)
-0.0168639
(0.007)
_cons 5.307779
(0.009)
1.163174
(0.592)
4.76111
(0.017)
1.334118
(0.530)
R20.4049 0.6291 0.4023 0.6308
Obse a ions 287 280 287 280
Sou ce: own calcula ions
No es: This able p esen s es ima es o coe i cien s o he eg ession o ROE and Δ ROE espec i ely. Models (1) and (2)
p esen esul s using a dummy a iable o SWF in es men ha equals 1 i he e is equi y in es men , and 0 o he wise;
models (3) and (4) using a pe cen age o SWF owne ship, models (5) and (6) using a pe cen age o la ge in es men
by he und wi h h eshold es ic ions (o e 1%). Models (7) and (8) p esen es ima ions wi h he use o backwa d- and
o wa d-s epwise selec ion. All speci i ca ions use s anda d e o s co ec ed o he e oskedas ici y. In pa en heses a e
-s a is ics whe e a P- alue is epo ed.
Tab. 2: SWF owne ship and pe o mance o he company (Pa 1)
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183
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Finance
dec eases he change o ROE in he ollowing
yea . Analyzing he po olio o p oduc s and
he ma gin o sales seems o be he na u al
a enue o u u e esea ch in o de o answe
he ques ion on he abo e ela ionship.
The coe i cien o a iable SIZE is nega i e
in all es ima ions, which sugges s ha he size
o he company measu ed by he loga i hm
o asse s, has a nega i e in l uence on ROE,
howe e he coe i cien holds s a is ical
signi i cance only in models (1) and (7). Finally,
he a iable PERFORMANCE seems o ha e
a posi i e impac on equi y e u ns, sugges ing
ha he e u n on a company’s s ocks in he
p e ious yea in l uences he changes o e u n
on equi y he ollowing yea , howe e his
hypo hesis can’ be suppo ed due o a lack
o s a is ical signi i cance o coe i cien in all
eg essions. The R2 is be ween 40.21% and
40.49% o es ima ions wi h ROA as a le -hand
a iable, and om 61.33% o 63.09% in models
wi h Δ ROE.
Con a y o he ambiguous and ela i ely
weak esul (in e ms o s a is ical signi i cance)
o he es ima ions based on he accoun ing
measu es o i nancial pe o mance, he
es ima ions using he ma ke a iable P_BV
seem o p o ide a ela i ely clea pic u e o he
ela ionship be ween So e eign Weal h Funds’
owne ship and he i nancial pe o mance o
he a ge ed company. In all eigh models, he
da a sugges s he posi i e impac o a und’s
owne ship on p ice o book alue o he i m.
In ou models, he coe i cien o he SWF
a iable a e s a is ically signi i can wi h p = 1%.
I may sugges ha , ce e is pa ibus, companies
wi h SWF as in es o s ha e highe ma ke
alua ions in compa ison o he companies no
a ge ed by he und. The ob ained esul s a e
consis en wi h hose p esen ed by Fe nandes
(2014), howe e in his esea ch he posi i e
impac o owne ship is no limi ed o he
a iable wi h h eshold es ic ion. Simila ly,
as be o e, a highe le el o R2 cha ac e izes
Va iables (5)
ROE
(6)
Δ ROE
(7)
ROE
(8)
Δ ROE
SWF_1 ----
SWF_2 ----
SWF_3 0.0450225
(0.724)
-0.2910803
(0.010) --0.2500814
(0.007)
PERFORMANCE 0.0485792
(0.059)
0.431696
(0.227) --
SIZE -0.1857857
(0.058)
-0.0608673
(0.554)
-0.2593038
(0.009) -
LEVERAGE 0.0638692
(0.000)
0.1023578
(0.000)
0.0598581
(0.000)
0.0994049
(0.000)
GROWTH_OPP 0.0006706
(0.898)
-0.168623
(0.007) --0.058938
(0.008)
_cons 4.72861
(0.017)
1.392562
(0.513)
6.036535
(0.003)
-0.0187844
(0.921)
R20.4021 0.6309 0.3690 0.6133
Obse a ions 287 280 287 280
Sou ce: own calcula ions
No es: This able p esen s es ima es o coe i cien s o he eg ession o ROE and Δ ROE espec i ely. Models (1) and (2)
p esen esul s using a dummy a iable o SWF in es men ha equals 1 i he e is equi y in es men , and 0 o he wise;
models (3) and (4) using a pe cen age o SWF owne ship, models (5) and (6) using a pe cen age o la ge in es men
by he und wi h h eshold es ic ions (o e 1%). Models (7) and (8) p esen es ima ions wi h he use o backwa d- and
o wa d-s epwise selec ion. All speci i ca ions use s anda d e o s co ec ed o he e oskedas ici y. In pa en heses a e
-s a is ics whe e a P- alue is epo ed.
Tab. 2: SWF owne ship and pe o mance o he company (Pa 2)
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184 2017, XX, 3
Finance
hose eg essions wi h del as as he le -hand
a iables. Reg ession models (4), (5), (6) and
(8) i a gi en se o da a ela i ely well (R2 close
o 99%).
Addi ionally, se e al es ima ions (no
epo ed in his pape ) we e un using a
di e en ma ke indica o o a company’s
i nancial pe o mance. In eg essions wi h a
ma ke capi aliza ion a iable as well as wi h
an en e p ise alue a iable, he a iable
SWF_1 had s a is ical signi i cance, howe e
he coe i cien s had a nega i e sign.
Summing up, he empi ical i ndings o his
esea ch along wi h p e ious analysis poin o
di i cul ies in measu ing he impac o So e eign
Weal h Funds’ owne ship on i nancial
pe o mance and he alue o a company,
especially wi h he use o accoun ing indica o s.
Fu he mo e, he ma ke da a o companies
does no p o ide clea e idence on he na u e
o such a ela ionship. Thus he impac o SWF
owne ship on company pe o mance seems o
emain one o an unsol ed puzzle in he i eld o
con empo a y i nance.
Conclusions
The mo i a ion o his s udy was o shed some
ligh on o he deba e abou he ela ionship
be ween So e eign Weal h Fund owne ship
and he i nancial pe o mance o he company.
The empi ical i ndings o his esea ch,
al hough consis en wi h p e ious ones, does
no p o ide clea e idence o he examined
ela ion. Howe e he impac o he und on
he company lis ed on he eme ging ma ke
seems o be simila o he ela ion ha can be
obse ed in de eloped ma ke s. Among issues
o u u e esea ch is he use o panel da a
and he conduc ion o a compa a i e s udy o
indus y speci i c issues based on la ge da a
Va iables
(1)
P_BV
(2)
P_BV
(3)
P_BV
(4)
Δ P_BV
SWF_1 0.4145615
(0.004) --
0.1428172
(0.027)
SWF_2 -0.0521904
(0.193) --
SWF_3 --
0.0385772
(0.333) -
PERFORMANCE 0.0262617
(0.015)
0.0266111
(0.015)
0.0266961
(0.015)
0.004609
(0.034)
SIZE -0.0242915
(0.361)
-0.0040284
(0.883)
-0.0027371
(0.921)
0.020368
(0.134)
LEVERAGE 0.0150607
(0.000)
0.0141023
(0.000)
0.014107
(0.000)
-0.108721
(0.000)
GROWTH_OPP 0.0014823
(0.209)
0.001585
(0.199)
0.0015922
(0.199)
0.0008265
(0.139)
_cons 1.216176
(0.025)
0.851187
(0.124)
0.8297569
(0.135)
-0.2030655
(0.459)
R20.3641 0.3466 0.3457 0.9894
Obse a ions 289 289 289 289
Sou ce: own calcula ions
No es: This able p esen s es ima es o coe i cien s o he eg ession o p ice o book alue a io (P_BV) and Δ P_BV
espec i ely. Models (1) and (4) p esen esul s using a dummy a iable o SWF in es men ha equals 1 i he e is
equi y in es men , and 0 o he wise, models (2) and (5) using a pe cen age o SWF owne ship, models (3) and (6) using
a pe cen age o la ge in es men by he und wi h h eshold es ic ions (o e 1%). Models (7) and (8) p ese es ima ions
wi h he use o backwa d- and o wa d-s epwise selec ion. All speci i ca ions use s anda d e o s co ec ed o he e oske-
das ici y. In pa en heses a e -s a is ics whe e a P- alue is epo ed.
Tab. 3: SWF owne ship and p ice o book alue o he company (Pa 1)
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