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Sovereign Wealth Funds: Their Investment Strategies and Performance

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 Sovereign Wealth Funds:
Their Investment Strategies and Performance

Vidhi Chhaochharia
(University of Miami)

and

Luc Laeven*
(International Monetary Fund, CEPR, and ECGI)

August 31, 2008

Abstract: Sovereign wealth funds have emerged as an important investor of global equity,
attracting growing attention. Despite concerns that sovereign wealth fund investments may serve
political objectives and be in conflict with national interests, little is known about the investment
objectives and performance of sovereign wealth funds. We collect new data on foreign equity
investments by sovereign wealth funds. We find that sovereign wealth funds largely invest to
diversify away from industries at home but that they do so predominantly in countries that share
the same culture, suggesting their investment rules are not entirely driven by profit maximizing
objectives. Share prices of firms respond favorably when sovereign investment funds acquire
stakes, in part because these investments often take place when firms are in financial distress.
However, the long-run performance of equity investments by sovereign wealth funds tends to be
poor, consistent with imperfect portfolio diversification and poor corporate governance.

JEL classification codes: G3

Keywords: Sovereign wealth funds, Asset allocation, Corporate governance

* Corresponding author: Luc Laeven, Senior Economist, Research Department, International Monetary Fund, 700
19th Street, N.W., 20431 Washington, DC. Tel. 202-623-9020. Fax: 202-623-4740. E-mail: llaeven@imf.org. We
are grateful to numerous colleagues at the International Monetary Fund for useful discussions and comments. We
would like to thank Supreet Arora and Masha Galeb for excellent research assistance. This paper’s findings,
interpretation, and conclusion are entirely those of the authors and do not necessarily represent the views of the
International Monetary Fund, its Executive Directors, or the countries they represent.
1. Introduction

Sovereign wealth funds (SWFs) have emerged as an important investor of global equity,

attracting growing attention. Foreign investments by SWFs, broadly defined as government-

owned investment funds, are currently estimated at about US$ 2 to 3 trillion, and are expected to

reach about US$10 trillion over the next decade (IMF 2008). In principle, the fact that SWFs are

looking abroad for higher returns and asset diversification should be encouraged, as it should

improve the efficiency of global asset allocation. However, some have expressed concerns about

the transparency of SWFs, their investment strategies, and that their investments may be affected

by political objectives. One specific concern is that SWFs may target strategic industries, and

that such investments conflict with national interests of host countries. There are also concerns

about the expanded role of governments (through government-owned funds) in global capital

markets (see, for example, Johnson, 2007; Summers, 2007; and Gieve, 2008).1

Yet, this debate takes place while not much is known about the investment objective of

SWFs, their asset allocation, and the performance of their investments. This is mainly because of

a lack of disclosure and transparency on the part of most SWFs. This is particularly problematic

given concerns that SWFs’ objectives deviate from long-run profit maximization, with possible

negative ramifications for global asset allocation and corporate governance.

This paper adds to our knowledge about the investment objectives and performance of

SWFs by collecting data on the asset allocation of sovereign wealth funds, focusing on their

investments in listed companies. We assess whether and how the investment portfolio of SWFs

differs from the market portfolio, and quantify the immediate and long-run valuation effects of

SWF investments.

1
In response to these concerns, multilateral organizations such as the IMF and OECD have started work on
developing best practices and investment policies for SWFs (see IMF 2008 and OECD 2008).

1
 Our paper has several key findings. First, we find that SWFs when investing abroad tend

to invest in countries that share the same religion and in different industries than those found at

home, suggesting that SWFs tend to look for industry-specific diversification but while doing so

bias their investments to similar cultures. The latter investment rule clearly is strictly speaking

not consistent with pure profit maximizing objectives.

We also find that the announcement effect of SWF investments in listed equities is

positive, in part because these investments often take place when firms are in financial distress.

However, the long-run performance of SWFs investments tends to be poor. The three-year buy-

and-hold return of SWF investments is 7.2 percentage points lower on average than the market

return, consistent with imperfect portfolio diversification and poor corporate governance, such as

lack of manager discipline on the part of SWF shareholders.

The paper is part of an emerging literature on the growth and performance of SWFs, and

associated concerns. Truman (2007) has raised concerns about the lack of transparency of SWFs,

including their size, and has called for more disclosure of their investment holdings and

strategies.2 Truman (2008) ranks some major SWFs on counts of their governance, transparency,

and accountability. Gilson and Milhaupt (2008) propose the suspension of voting rights of SWFs

to mitigate concerns that SWFs as government-controlled funds will influence firm strategy in

ways that are not aligned with shareholder maximization and to reduce the risk of a protectionist

response on the part of the host government. Fotak et al. (2008) collect data on 75 SWF

investments and find that these investments tend to exhibit positive abnormal returns upon

2
Such calls for increased disclosure go beyond a more general call for improved governance rules, following recent
corporate debacles in the US and elsewhere, that led to new regulation such as the Sarbanes-Oxley Act of 2002 in
the United States. See Chhaochharia and Grinstein (2007) for an assessment of the impact of the Sarbanes-Oxley
rules on governance and firm valuation.

2
announcement but significantly negative long-term abnormal returns, consistent with our

findings.

With SWFs emerging as a new class of potentially activist (institutional) investors, our

paper is also related to the literature on shareholder activism and institutional ownership. This

literature has mostly focused on US institutional investors and has failed to identify systematic

effects of institutional ownership on firm value (Karpoff, 2001). Del Guercio and Hawkins

(1999) find that pension funds are successful at monitoring and promoting changes in target

firms, while others report that institutional owners are largely ineffective as monitors (Wahal,

1996; Gillan and Starks, 2000) and do not enhance shareholder value by monitoring firms

(Karpoff et al., 1996). Some papers find that institutional shareholders reduce firm performance

either because they do not have adequate monitoring skills or because their objectives conflict

with value maximization (Carleton et al., 1998; Woidtke, 2002). Only a minority of studies finds

evidence that institutional owners increase shareholder value by monitoring firms (Smith, 1996).

Giannetti and Laeven (2008) find that the effects of institutional investment on firm performance

depend on the size and independence of institutional investors. In particular, they find that firm

valuation improves if large funds acquire stakes, consistent with large funds being more likely to

incur monitoring costs than small funds. They also find that firm valuation decreases when funds

related to financial institutions and industrial groups increase their shareholdings, consistent with

the presence of conflicts of interest. Ferreira and Matos (2008) also find that firms with higher

ownership by independent institutional investors have higher valuations and improved

monitoring. Given that SWFs tend to be large but as a government-controlled entity may face

conflicts of interest, these findings are ambiguous about the predicted effect of SWF investment

on firm valuation.

3
 Theory also offers conflicting predictions about the monitoring efforts we can expect

SWFs to perform, and thus the impact of SWF investment on firm performance. On the one

hand, theory predicts that large investors such as SWFs tend to more actively monitor firms,

enhancing firm value (Shleifer and Vishny, 1986). On the other hand, theory predicts that

investors with objectives that are in conflict with maximization of shareholder value will not

actively monitor the firm (Chen et al., 2007), or could potentially even expropriate resources

from the firm at the expense of minority shareholders (La Porta et al., 2002). In a similar vein,

being government-controlled entities, SWF investors could have conflicting interests with

management or other shareholders, with negative implications for firm valuation.3

This paper is also related to the literature on international portfolio allocation, including

research on the home bias of investment and the determinants of foreign asset allocation. Over

the past decades, most countries have lifted investment restrictions, which has fostered trading in

assets abroad. Despite potential benefits from international portfolio diversification4, investors

typically still invest a large fraction of their wealth in domestic assets, even when there are no

official investment restrictions.5 This home bias of financial assets has been well documented in

the literature.6 Similarly, investors often prefer to invest in familiar investment opportunities as

opposed to foreign or unfamiliar investments (Huberman, 2001; Grinblatt and Keloharju, 2001).7

3
For example, SWFs could steer the firm to support certain political objectives that are in conflict with shareholder
maximization. Also, SWFs as shareholders could extract proprietary information from the firm and employ this
elsewhere in the interest of the home country but at the expense of the value of the firm.
4
For instance, Harvey (1995) shows that from a U.S. perspective, large benefits can be attained from investing in
emerging markets. See also Obstfeld (1994). Others argue that the gains from international diversification can
largely be achieved indirectly at home through investments in stocks of multinational firms (Rowland and Tesar,
2004) or country funds and depositary receipts (Errunza et al., 1999).
5
Investment restrictions impose a tax to invest in or hold foreign assets (see Black, 1974, and Stulz, 1981).
6
See, for instance, French and Poterba (1991), Lewis (1996), Baxter and Jermann (1997), and Li (2004). Coval and
Moskowitz (1999) show local investors tend to invest mostly in companies that are located nearby.
7
From the firm’s perspective, there is also recent work on the determinants of international capital raising activities
(Henderson, Jegadeesh, and Weisbach, 2006; Gozzi, Levine, and Schmukler, 2008; Kim and Weisbach, 2008).

4
 Several governments with large SWFs have recently encouraged their funds to diversify

internationally, lifting restrictions on investing in foreign equity. A notable example is China.

The move from fixed income to domestic and foreign equity, together with the increase is fund

size on the back of rising oil and other commodity prices, has been the key driver of the

increased importance of SWFs in global equity investments.

Country characteristics such as culture and physical distance have also been found to

determine global capital flows, investor protection, and corporate governance, and thus global

asset allocation. For example, Portes and Rey (2005) find that global equity flows are in large

part determined by geographical distance, while Stulz and Williamson (2003) find that religion

explains differences in investor protection better than other country factors. Doidge et al. (2007)

shows that country characteristics account for a large part of the variation in firm-level

governance across countries, in part because it is costly for firms to adhere to stricter governance

standards than those imposed by the country. We would therefore expect cultural differences,

and in particular religion, to influence the allocation of foreign investment by SWFs.

The paper proceeds as follows. Section 2 presents a theoretical framework for our

analysis of investment allocation of SWFs. Section 3 introduces our newly collected dataset on

foreign equity investments of SWFs and provides descriptive statistics. Section 4 presents a

detailed empirical analysis of the geographic allocation of SWFs’ equity portfolios and its

determinants. Section 5 presents our empirical analysis of the immediate and long-run valuation

effects of SWF equity investments. Section 6 concludes.

5
2. Theory

Chan, Covrig, and Ng (2005), in their version of the Cooper and Kaplanis (1986) model, present

a theoretical framework that is excellent for our analysis of foreign biases in the investment

allocation of SWFs. Assume that a representative investor in country i maximizes the expected

return of his portfolio investments for a given level of variance:

max( wi′R − wi′ci ) , (1)

subject to

wi′V wi = σ 2 (2)

wi′ I = 1 , (3)

where wi is a column vector containing portfolio weights, with wij the proportion of individual

i’s total wealth invested in risky securities of country j, R is a column vector of pre-tax expected

returns, ci is a column vector of deadweight costs, with cij the deadweight cost to investor i of

investing in country j, V is the variance-covariance matrix of gross returns of the risky securities,

σ 2 is the given constant variance, and I is a unity column vector.

Setting the derivative of the Lagrangean of the above maximization problem with respect

to wi to zero, it follows that the optimal portfolio for investor i is:

wi = (V −1 / ρ )( R − ci − λi I ) (4)

where

λi = [ I ′V −1 ( R − ci ) − ρ ] / I ′V −1 I

and ρ and λi are the Lagrange multipliers on equations (2) and (3), respectively.

Aggregating the individual portfolio holdings gives the market clearing condition for the

world capital market equilibrium:

6
 Σ π i wi = w∗ , (5)

where π i is the proportion of world wealth owned by country i, w∗ is a column vector of world

market capitalization shares, with wi∗ country i’s share in world market capitalization. Defining z

as the global minimum-variance portfolio, z = V −1 I /( I ′V −1 I ) , and combining equations (4) and

(5), we obtain:

ρV ( wi − w∗ ) = (Σπ i ci − ci ) − z ′(Σπ i ci − ci ) I (6)

With non-zero deadweight costs, the portfolio holdings of each investor will deviate from

the world market portfolio. To examine the deviation, consider the simple case where V is a

diagonal matrix with all variances equal to a constant v. In this case, the portfolio weight of

investor i in country j will deviate from the world market portfolio according to:

ρ v( wij − w∗j ) = −cij + Σπ k ckj + z′ci − z′Σπ i ci , i ≠ j (7)

where z′ci can be interpreted as the weighted average marginal deadweight cost for investor i,

Σπ k ckj as the weighted average marginal deadweight cost for investors investing in country j,

and z′Σπ i ci as the world-weighted average marginal deadweight cost.

It follows that the share invested by investor i in country j is affected by the difference

between the deadweight cost for investor i investing in country j, cij , and the weighted average

deadweight cost for world investors investing in country j, Σπ k ckj . If cij is significantly larger

than Σπ k ckj , investor i underweights country j. Alternatively, if cij is significantly smaller than

Σπ k ckj , investor i exhibits a positive foreign bias to investing in country j and overweights

country j’s securities.

Equation (7) can empirically be estimated as follows:

7
 fij = α i + α j + xij′ β + ε ij , (8)

where fij = ( wij − w∗j ) , α i = ( z′ci − z′Σπ i ci ) / ρ v , α j = Σπ k ckj / ρ v , xij′ β = −cij / ρ v , and ε ij is an

error term, with xij a vector of explanatory variables that determine the overall deadweight cost

(or benefit) to investor i of investing in country j. In the literature, such explanatory variables

traditionally relate to transaction costs or taxes (e.g., Black, 1974; Cooper and Kaplanis, 1986).

More recently, other variables related to institutional development, investor protection, and

familiarity have also been considered (e.g., Chan, Covrig, and Ng, 2005). While traditional

variables such as taxes and transaction costs present deadweight costs to investors, resulting in a

negative foreign bias, similarity in institutions or culture across countries could actually present a

net benefit to investors of investing in a particular country. Familiarity arising from common

languages or religions is a case in point. For example, an Arab investor may prefer to invest in

countries where Arabic is the official language or where the majority of the population is

Muslim. Such ulterior motives may be particularly relevant for SWFs whose investment strategy

may be influenced by governments.

3. Data and Descriptive Statistics

3.1 Data

Our sample consists of investments by a total of 12 large SWFs from around the world. SWFs

come in different forms and serve different objectives. The heterogeneous group of SWFs

includes stabilization funds (whose primary objective is to provide insurance against commodity

price shocks), savings funds for future generations, reserve investment corporations,

development funds, and contingent pension reserve funds. We broadly define SWFs as

government-owned investment funds, set up to meet a variety of macroeconomic objectives (this

8
definition is similar to the one used by IMF, 2008). Our focus is on SWFs that invest a

substantial amount in foreign equity. For Norway, we therefore include the Government Pension

Fund-Global (formerly the Government Petroleum Fund), which invests in foreign equity, but do

not include the Government Pension Fund-Norway (formerly the National Insurance Scheme

Fund), which invests solely in Norwegian companies. For Saudi Arabia, the investments

included in the sample are part of the investment tranches of this country’s central bank. We

obtain this list and information from the SWF Institute (at the website swfinstitute.org).

For each SWF, we first identify their investment arms and affiliated companies. For

example, the main investment arm of the Abu Dhabi Investment Authority is the Mubadala

Development Company and the main investment arm of Dubai World is called Istithmar. The

SEC filings of companies in which there are SWF investments help us identify most of these

investment arms. We further augment this data by searching SWF-specific websites for

information, including the website from the SWF Institute.

We then collect data on equity investments for each SWF, including the timing and size

of the investment, using a variety of sources.8 Some of the funds, like the Government Pension

Fund of Norway, Khazanah Nasional, and the Government of Singapore Investment Corporation

have incomplete information about their equity investments on their company websites. We

augment this list by browsing the complete US Securities and Exchange Commission (SEC)

database of 13G and 10K filings of individuals firms for shareholdings by any of the SWFs (or

their investment arms) included in our sample. Data collected by the SWF Institute, available

from swfinstitute.org, is used to extend the list further. We complete the list of SWF investments

through keyword searches in the Factiva and Lexis-Nexis news databases, using “sovereign

8
The complete dataset of SWF investments is available upon request from the authors.

9
wealth fund” and the name of the fund (or investment arm) as keywords. Due to the lack of

transparency at most SWFs, coverage is by construction sparse and incomplete. Still, we are

confident that we have identified the majority of SWF investments in public equity that have in

any form been made public to the market.

For each investment we collect information on the date of investment, the amount

invested, and the percentage of equity acquired. When information on the date and amount

invested is not available from the primary source, we search through the Factiva database and

major newspapers (including the Financial Times and the Wall Street Journal) to locate the date

and amount of investment. We are able to collect information on 260 SWF investments. This list

includes investments in both private and public equity. We do not have complete information on

all 260 investments, and the subsequent analyses are therefore limited to a smaller number of

observations.

For the Government Pension Fund of Norway, we collect time-series information on their

equity investments and associated voting rights from annual reports for each year during the

period 1998 to 2007. The annual reports only report the end-year investment holdings and we are

therefore unable to identify the exact investment date for these investments.

For each of the equity investments for which we have the exact announcement date we

then collect daily stock prices, equity returns, trading volumes, and market capitalization from

Datastream International. Based on availability of returns information we have 89 events in our

sample. For each of these investments we collect information on the relevant benchmark market

index for the country of investment. For example, for investments in the UK the FTSE 100 is

used as the relevant market index. We also collect firm-level accounting data for these

10
investments from Worldscope. The data is supplemented by searching through online SEC

filings and audited financial statements reported on company websites.

For our bilateral investment analysis we require stock market capitalization of each of the

invested countries in our sample. Such data is obtained from the World Bank’s annual World

Development Reports. As an alternative benchmark for the size of the host equity market, we use

the Morgan Stanley Capital International (MSCI) indices obtained from MSCI Barra.

Corporate governance information on the SWFs is collected from the Peterson Institute

for International Economics report by Truman (2008). We also collected data for the Linaburg-

Maduell transparency index for each SWF developed by the SWF Institute and available from

their website at swfinstitute.org. Since the results for the two indices are qualitatively similar we

only report those results obtained when using the governance and transparency scores from the

Truman report.

3.2 Descriptive statistics

Table 1 reports descriptive statistics on the main SWFs in the world, including their name,

country of origin, asset size, year of inception, and size of the fund relative to the total foreign

reserves of the country. We obtain this information from the SWF Institute. We also report for

each fund the number of equity investments, the dollar amount invested in equity, and the

fraction of total assets invested in equity, all estimates based on our data collection efforts.

The largest SWF by far is the fund of the Abu Dhabi Investment Authority with about

US$ 875 billion in assets as of February 2008, of which about 8 percent is invested in equity.

Other countries with SWFs in excess of US$ 100 billion include China, Kuwait, Norway, Russia,

Saudi Arabia, and Singapore. The Norwegian Government Pension Fund-Global is with US$

132.8 billion at end-2007 in foreign equity by far the largest equity investor among SWFs.

11
 Though some SWFs have been around for decades—the Kuwait Investment Authority

was established in 1953, and the funds established by Abu Dhabi and Singapore date back to the

1970’s—, the number and size of SWFs has been rising fast in recent years, spurred by record

commodity prices and rapid accumulation of foreign reserves. China, Russia, Saudi Arabia, and

the United Arab Emirates all have set up a new SWF, and Bolivia, Brazil, India, Japan, and

Thailand all have announced plans to establish a SWF in the near future.

Except for the Government Pension Fund of Norway that publishes its holdings annually,

SWFs in our sample are not required to disclose their portfolio holdings. For the Government

Pension Fund of Norway we collect information on their holdings from 1998-2007 and have a

complete breakdown of their equity investments. For the other funds in our sample our coverage

ranges from an estimated 8 to 26 percent of total equity. Table 1 gives the percentage of equity

covered for each of the funds in our sample.

We have data on equity investments, including the timing, for a total of 12 SWFs for

which we are able to identify such information. Table 2 reports the geographic breakdown for the

listed equity investments by SWFs included in our sample. The geographic diversification of the

equity portfolio of several SWFs is limited, with most funds exhibiting substantial home bias,

and with investments outside the home country and the US and UK either low or even zero for

all funds except the Norwegian SWF. This suggests that SWFs exhibit preference for

investments at home or, if abroad, for investments in large and liquid stock markets such as the

US and UK. It is interesting to note that Qatar Investment Authority and Dubai World invest a

disproportionately larger share in the UK than the US compared to other SWFs, with both having

large investments in BHP Billiton, the largest mining company in the world in terms of stock

12
market capitalization. Such preference may be related to weaker disclosure rules for large

shareholdings in the UK compared to the US (see also Doidge, Karolyi, and Stulz, 2008).

Table 3 reports the industry breakdown of equity investments in our sample. SWFs

appear to predominantly invest in the energy and financial sectors. This bias is particularly

strong for SWFs from oil producing countries. For example, the largest investment of Abu Dhabi

Investment Council is in Statoil, a major Norwegian oil company, representing 38.5 percent of

its foreign equity portfolio. Investments in consumer goods and manufacturing are fairly limited.

The fact that the home countries of some of the largest SWFs are major oil exporters could

explain the relatively high share of investments in oil and related industries. The large fraction of

investments in financials is largely due to SWFs’ recent capital injections in distressed US and

European investment banks (see Appendix 1). The Singapore SWF alone invested a total of US$

16.5 billion in two major investment banks (Citibank and UBS). These banks sought additional

capital following due to their massive writedowns and losses on US subprime mortgages and

investments in mortgage-backed securities.

While the majority of SWFs’ equity investments are in global listed equities, some SWF

also have large holdings of private equity, though such information is less well documented. For

about half the funds in our sample, we are able to identify such private equity investments. The

Abu Dhabi Investment Council, Qatar Investment Authority, and Dubai World funds appear to

be particularly active private equity investors, with substantial private equity stakes in well-

known companies such as Ferrari and the Carlyle Group. For the Government of Singapore

Investment Corporation, China Investment Corporation, and Temasek Holdings we identify only

a small number of private equity investments. Given the lack of information on such private

equity investments, our analysis focuses on public equity investments. Also, to assess the

13
performance of SWF investments we require equity return data that are available only for their

public equity investments.

Summary statistics on the foreign investment allocation of SWFs indicate that SWFs on

average invest disproportionately less in foreign equities compared to a benchmark for global

asset allocation (such as the MSCI World Equity index), and thus exhibit strong home bias. For

example, the Abu Dhabi Investment Authority has only about 11.5 percent of equity invested in

its home country. In part this may be due to restrictions imposed by home authorities on

investments in foreign equities. For example, SWFs of China and several Middle Eastern

countries have only recently allowed significant investments abroad.9 Also, the Middle Eastern

SWFs have traditionally focused more on emerging markets and private equity projects in the

Middle East as compared to investments in developed markets.

Table 4 ranks SWFs depending on their perceived transparency and governance using the

transparency and governance scores constructed for each SWF by Truman (2008). The

transparency score is based on three broad categories, including the degree of public disclosure

of annual and quarterly reports, the degree of public disclosure of investments (including

information on size, return, type, location, instrument, and currency composition of investments),

and the extent of public audits (including whether the fund has a regular audit, whether the audit

report is published, and whether the audit is conducted independently). All binary variables

under the transparency categories are summed up to create a composite score. The transparency

score has a range from 0-12. The governance score is based on a number of factors, including the

role of the government in setting the investment strategy, the role of the manager in executing

investment strategy, guidelines for corporate responsibility, and whether the fund has ethical

9
See, for example, the Financial Times report “China Investment Corporation raises budget to $90bn” published on
April 25th, 2008.

14
guidelines for investments. Each of these binary variables are aggregated to create the

governance score. The governance score ranges between 0 and 4. We also create an overall

governance score for each fund that simply sums up the individual governance and transparency

scores.

The Government Pension Fund of Norway by far scores the highest on account of both

governance and transparency, followed by the New Mexico State Investment Office Trust and

Temasek funds. The Abu Dhabi Investment Council, Dubai World, and Qatar Investment

Authority rank the lowest, with a minimum score of zero for both governance and transparency.

4. Investment Allocation of Sovereign Wealth Funds

In this section, we analyze the geographic allocation of SWFs’ equity portfolios and its

determinants. We start by estimating equation (8) to identify foreign biases in the investment

allocation of SWFs, much like a gravity model from the trade literature. As explanatory variables

for foreign biases in investment allocations we include several bilateral differences in country

traits (between home and host country), such as physical distance and cultural differences (or

similarity), as well as measures of legal, economic, or financial development of the country.

As dependent variable, we use the log difference between the share of country j in total

equity investments by SWFs from country i and the share of country j in the world equity

market, or ln( wij / w∗j ) . For countries with multiple SWFs, we aggregate funds at the country

level. Note that we specify the dependent variable in log difference terms, following Chan,

Covrig, and Ng (2005). We compute country j’s share in the world equity market as the overall

share of country j equities in total world market capitalization (as reported by the World Bank’s

World Development Report), or as the weight of country j in the MSCI world equity index (both

15
as of end-2007). The number of observations is based on bilateral country pairs and hence is less

than the total number of investment announcement information collected. Variable ln( wij / w∗j )

denotes the foreign equity bias, and takes on a positive (negative) value if the fund’s equity

allocation to that particular country is overweight (underweight). For example, if the SWF of

country A has 11% of its total equity investments invested in firms in country B, but country B

has only a share of 10% in the MSCI World Index, then the foreign equity bias for this particular

country pair, ln( wAB / wB∗ ) , is 10%. The sample consists of investments in publicly listed and

traded equities only. We drop domestic investments from the sample and focus on the foreign

equity bias of each fund.

As explanatory variables we include a number of bilateral differences in country

characteristics. Prior research has found that investors prefer to invest in familiar investment

opportunities as opposed to foreign or unfamiliar investments (Huberman, 2001; Grinblatt and

Keloharju, 2001). We capture such preferences using a set of geographic and cultural distance

variables. First, we control for the distance between the capital cities of the home and host

country, where home country denotes the country of origin of the SWF and host country denotes

the country where the invest takes place. The distance data come from Gleditsch and Ward

(2001). We take the inverse of the distance in kilometers, as used by Acemoglu et al. (2008), and

consider this a measure of geographical closeness. In other words, our measure of geographic

closeness denotes the inverse distance (closeness) between home country i of a given SWF and

host country j of investment.

In terms of cultural variables, we have data on ethnicity, languages, and religion from

Acemoglu et al. (2008). All cultural variables are arranged such that they indicate similarity

between two countries, with higher scores denoting more similarity or proximity. Let l ∈ {1,.., L}

16
denote the total number of distinct languages (or ethnic groups, or religions) in the sample. Let

S i = ( S i1 ,K , S il ,K , S iL ) be the vector of shares of language groups in home country i .

Following Acemoglu et al. (2008), we then define closeness of home country i and host country j

∑l S il S jl
in terms of ethnicity (or languages or religion) as the uncentered correlation .
(∑l S il2 )(∑l S 2jl )

We follow the same approach for ethnicity and religion.10

Next, we control for whether or not the home and host country are major trading partners

using data on trade flows between the two countries. As our measure of closeness in terms of

trade we use trade (exports plus imports) between home country i and host country j in the year

2000 divided by total trade of home country i in the year 2000. Unlike the geographic distance

and cultural variables, the bilateral trade variable is not symmetric between countries but

depends on the home country of origin. Data on bilateral trade are from Acemoglu et al. (2008).

We also control for similarity in industrial structure, to allow for the possibility that

investors may have a preference for investing in industries that are familiar, or, alternatively, to

gauge potential for industry diversification. Similar to the cultural proximity variables, we

construct a variable that is the uncentered correlation between vectors of home and host country

shares of value added of different industries, based on the United Nations classification of

industries, to capture (the inverse of) industrial distance. We obtain data on industry value added

for our sample of countries from the United Nations Industrial Statistics database.

We also control for proxies of legal and financial using variables that have previously

been found to explain international patterns in portfolio allocation (see, for example, Chan et al.,

2005). These variables include the level of stock market development (proxied for by the ratio of

10
Data available upon request from the authors.

17
stock market capitalization to GDP), judicial efficiency, risk of expropriation, accounting

standards, and per capita income in the host country. We obtain data on stock market

capitalization and per capita GDP from the World Bank’s World Development Indicators

database. Data on judicial efficiency and accounting standards is from La Porta et al. (1998).

Data on expropriation risk is from the International Risk Country Guide. Summary statistics on

the main regression variables are reported in Appendix 2.

The results of the bilateral investment regressions are presented in Table 5. We report

results using alternative proxies for the weight of each country in the world portfolio, either

based on the country distribution of world market capitalization, the country weight in the MSCI

World Equity, or the country weight of US mutual funds. We use the US mutual fund allocation

as a benchmark for the global allocation of institutional investors that, like SWFs, tend to have

long-term investment horizons. We obtain data on the global asset allocation of US mutual funds

from EPFR Global, a company that provides fund flows and asset allocation data to financial

institutions around the world. The number of observations in each regression depends on the

benchmark used. The sample size drops from 67 to 59 when using the country weight of US

mutual funds as the benchmark, since this variable is missing for some countries.

Column 1 presents regression results with foreign bias with respect to the world market

portfolio as dependent variable. We find that SWFs tend to be overweight in countries with

which they have religious affinity. For example, Middle Eastern SWFs that originate from

countries with predominantly Muslim populations, tend to allocate a disproportionate amount of

their foreign equity portfolios to firms in countries that also have significant Muslim populations.

We find a similar positive association between ethnic and linguistic closeness and foreign

investment bias. The economic effect of these results is significant. For example, a one standard

18
deviation increase in Religious Closeness (0.36) would imply an increase in foreign bias of 0.69

(=1.92*0.36). This is significant given the standard deviation of foreign bias of 1.54.

Results also indicate that SWFs on average tend to go underweight in countries that are

major trading partners. If the host country takes account of a large portion of overall trade of the

home country (where the SWF is located), investment tends to be disproportionately smaller.

This suggests that in the case of SWFs investments, finance does not follow trade. For example,

according to our bilateral trade data Europe is the main trading partner for many of the Middle

Eastern SWFs, though their investments are predominantly in US equities.

We also find a negative association between the industrial closeness and foreign bias

variables, suggesting that SWFs tend to diversify into different industries than those found at

home when investing abroad. This result does not support the view that SWFs from oil-rich

countries tend to invest in oil-related industries abroad to increase their power and influence in

oil-related industries.

The results are broadly similar when using the two alternative proxies for the world

equity portfolio: the MSCI World Equity index and the country weight of US mutual funds

(Columns 2 and 3), except that the negative effect of industrial closeness is no longer statistically

significant when we use the country allocation of US mutual funds as the benchmark for a

globally well-diversified equity portfolio.

The Norwegian SWF, Government Pension Fund-Global, is a professionally run fund

with an objective to diversify globally. It scores highest among SWFs on account of both the

governance and transparency scores developed by Truman (2008) and invests in a globally

diversified portfolio of equities. We can therefore use the asset allocation of the Norwegian SWF

as a representative of a SWF that invests globally without political considerations.

19
 The regression in Column 4 repeats the regression in Column 1 but excludes the

Norwegian SWF from the sample. This reduces the sample to 38 observations. We continue to

find a negative impact of religious closeness and a positive impact of trade closeness on foreign

bias, though industrial closeness and the ethnic and linguistic variables no longer enter

significantly.

In Column 5, we use the country weight of the Norwegian SWF as the benchmark

allocation for SWFs. In this case, we exclude the investment allocation of the Norwegian SWF

from this analysis. We now find that only religious closeness and industrial closeness are

significantly associated with foreign bias.

The differences in results reported in Columns 1 to 5 may be related to the heterogeneity

of our sample of SWFs that includes both well-governed funds such as the Norwegian SWF and

SWFs with poor disclosure and transparency. Also, some SWFs may exhibit strong home bias,

independent of differences in host country characteristics, for reasons that we have not controlled

for thus far.

To account for systemic differences of foreign bias of particular SWFs, we include home-

country fixed effects (Column 6). The results are similar though the coefficient on the language

variable changes sign.

To further account for differences in governance of SWFs, we split the sample depending

on whether the governance score of the SWF as computed by Truman (2008) is above or below

the sample median and repeat the bilateral investment regressions (Columns 7 and 8). We find

stark differences in the drivers of foreign bias between these two groups of funds. We find an

industrial diversification effect only for funds with above-median governance scores, while the

religious bias is only present for funds with below-median governance scores. In addition, we no

20
longer find a trading partner effect for funds with below-median governance scores, and for

funds with above-median governance scores this effect changes sign, that is, such funds allocate

a disproportionately larger fraction of their portfolio to countries that are major trading partners.

For robustness, we repeat the analysis by replacing the host country institutional variables

(stock market development, judicial efficiency, risk of expropriation, accounting standards, and

per capita income) in terms of bilateral differences between home and host countries to mimic

the construction of the closeness variables. This does not alter our main findings. Clustering of

standard errors by investment fund also does not alter our main findings.

For the Norwegian SWF, we have detailed time-series data on foreign investments for the

period 1998-2007, extracted from the fund’s annual reports over this period. Given that the

Norwegian SWF is perceived to be the industry leader in terms of disclosure, governance, and

foreign diversification, a more detailed study of the Norwegian SWF foreign asset allocation

using panel data is warranted.

Table 6 reports regressions results of the foreign bias exhibited by the Norwegian SWF

using data on foreign asset allocation for the period 1998-2007. We use the country distribution

of world market capitalization as proxy for the global asset allocation of a representative global

investor. We use the same explanatory variables as used in Table 5 except that the Ethnic and

Language Closeness variables are dropped because they take on a value of zero for each country

other than Norway. We present regression results without year fixed effects ( Column 1) and

with year fixed effects (Column 2).

Contrary to the results for other SWFs in Table 5, we do not find that the Norwegian

SWF exhibits cultural biases based on religious closeness in its foreign asset allocation. Instead,

we find that the Norwegian SWF exhibits a bias toward markets that are physically nearby, offer

21
industrial diversification, and have low risk of expropriation. These results are in line with

previously established results in the literature on home and foreign bias for mutual funds and

institutional investors (see, for example, Chan et al. (2005), suggesting that the Norwegian SWF

indeed invests much like these other global investors.

Overall, the results indicate that the investment allocation of many SWFs is in part driven

by cultural differences, notably similarity in religion. Given that differences in religion should

not be of first order importance in determining the asset allocation of rational investors, this

anomaly suggests that SWFs have ulterior objectives when investing abroad that are not

necessarily consistent with global diversification and an improvement in risk-return tradeoffs.11

However, not all SWFs exhibit such anomalies. Cultural variables do not appear to play a

significant role in the foreign asset allocation of the Norwegian SWF, a well-governed SWF for

which we have detailed, time-series data on foreign investments. Instead, the Norwegian SWF

exhibits foreign bias to markets that are physically nearby, offer industrial diversification, and

have low risk of expropriation.

5. Valuation Effects of Sovereign Wealth Fund Investments

Next, we analyze the immediate and long-run valuation effects of SWF investments to gauge

their impact on firm performance and assess SWFs’ own investment performance.

5.1 Announcement effects

To gauge the immediate valuation effect of SWF investments, we perform an event study of

abnormal equity returns around the time of the announcement of equity investments by SWFs.

11
Of course these results are only suggestive. It cannot be ruled out based on this analysis that SWFs have
consistently superior knowledge of certain industries or firms in certain countries that could rationalize and validate
their investment choices.

22
 Table 7 reports the univariate results of this event study for different event windows. Our

sample consists of 89 firms for which we have the exact announcement date for the investment

made by the SWF. The event study methodology is similar to Karpoff and Malatesta (1989). We

use a simple market model to compute the cumulative abnormal returns (CARs) relative to the

market returns for each destination country. Abnormal returns are calculated as the difference

between actual and predicted returns based on the market model. We sum over abnormal returns

to calculate cumulative abnormal returns. For each event, the market model is estimated over the

period 281 to 80 trading days prior to the event date. For each market, we use the return on a

commonly observed stock market index as proxy for the market return (e.g., for the US we use

the CRSP value-weighted return index, and for the UK we use the FTSE 100 index). Daily return

data are collected from Datastream for each of these market indices and used in the market

model to compute abnormal returns.

Column 1 reports the average CAR of these 89 SWF investments for different event

windows over the period [t-40, t+10], where t denotes the announcement date and the event

window is expressed in number of days. The results indicate that SWF investments generate

substantial, positive CARs during the 10 trading days prior to the announcement of the

investment. For example, the average CAR is 1.03% over the period [t-10, t-5]. This suggests

that the investment is often already known to the market several days in advance of the official

announcement. CARs are not statistically different from zero for event windows prior to t-10 and

post t+2. The average CAR over the extended period [t-20, t+10] is 1.57%.

To make sure these results are not driven by US firms that constitute a large part of the

sample, Column 2 reports the average CAR after dropping US firms. This reduces the sample to

69 firms. The results are very similar.

23
 Next, we drop banks that received large capital injections from SWFs after reporting

losses on subprime-related assets. These capital injections took place at a time when the capital

positions of these banks were under severe pressure due to large markdowns on mortgage-

backed securities. Stock prices may naturally react favorably to such capital injections at times of

financial distress and we want to make sure this is not driving the results. Exclusion of these

banks reduces the sample to 83 firms. The results, reported in Column 3, are very similar.

Next, we distinguish between stakes from SWFs with above and below median

governance scores, based on the sum of the governance and transparency scores reported by

Truman (2008). We find that the average CARs is positive around the announcement during the

10 days prior to the announcement date, though the effect is larger for SWFs with above median

governance scores. The average CAR over the longer period [t-20, t+10] is 0.90% for SWFs with

above-median governance scores and 0.67% for SWFs with below-median governance scores.

Overall, we conclude that SWFs investments on average exhibit substantial, positive CARs.

Next, we employ regression analysis to study more closely the factors associated with

these positive CARs. First, we regress CARs on the cultural distance variables used earlier, the

log of per capita GDP of the host country of investment, and industry fixed effects. We exclude

investments from the Norwegian Government Pension Fund because they constitute a large share

of the sample and earlier results indicated that this fund’s investment allocation and governance

differs substantially from that of other SWFs. The sample size also drops on account of missing

data on ownership stakes and on whether the firms are cash constrained. The sample reduces

from 89 to 50 firms. The results are presented in Column 1 of Table 8. We use the CAR over the

event window [-20, 10] as dependent variable, though results are robust to using alternative event

24
windows as long as they include the period [-10, 2]. We find that none of these variables enters

significantly.

Next, we consider alternative hypotheses of why SWF investments exhibit abnormal

returns. The abnormal returns of SWF investments could be because SWFs tend to invest in

firms that are financially constrained, as in Hotchkiss and Mooradian (1997), who find positive

abnormal returns when vulture investors gain control of distressed firms, suggesting these

investors add value by disciplining managers of distressed firms. Alternatively, the abnormal

returns could be due to expectations about enhanced corporate governance, because SWFs often

become large owners in firms, reducing the shareholders’ monitoring costs of managers (as in

Shleifer and Vishny, 1986).

To assess CARs are positively associated with firms being financially distressed, we

include a measure of capital constraints based on the work by Kaplan and Zingales (1997),

Lamont et al. (2001), and Bergman and Jenter (2007). We compute two alternative versions of

this measure, as presented by Bergman and Jenter (2007), that differ in terms of whether or not

Tobin’s Q is included as variable. The first measure, KZQ, equals -1.002*(Cash flow/Lagassets)

- 9.368*(Dividends/Lagassets) - 1.315*(Cash balances/Lagassets) + 3.139*Leverage +

0.283*Tobin’s Q, where Lagassets denotes the one-period lag of total assets. The second

measure, KZ, excludes the Tobin’s Q term from the KZQ measure. All components of these

capital constraints measures are winsorized at the 1% and 99% level. We include a Cash

Contrained dummy variable that takes a value of one if the KZ measure takes on a score above

the sample median, and zero otherwise. The results when adding the Cash Constrained dummy

variable are presented in Column 2 of Table 8. The results as qualitatively similar when using the

KZQ measure of capital constraints that includes Tobin’s Q.

25
 We find that CARs are positively associated with the capital constraints variable,

consistent with our hypothesis that share prices react favorably to an injection in capital when

SWFs invest in firms that are financially constrained. The economic size of the effect is large.

The average CAR of a capital constrained firm is 0.14% higher than the average CAR that is not

capital constrained.

After controlling for capital constraints, we also find that CARs are positively associated

with the logarithm of GDP per capita. To test the hypothesis that firms exhibit positive CARs

when SWFs take large stakes we include an Ownership Stake dummy variable that takes a value

of one if the SWF stake is larger than 1% of the firm’s total equity capital, and zero otherwise

(Column 3). We find that CARs are positively associated with the large owner dummy variable,

consistent with the hypothesis that large investors enhance firm value by monitoring firm

management (see Shleifer and Vishny, 1986). The economic size of the effect is large. The

average CAR of a firm with a large ownership stake (in excess of 1%) is 1.4% higher than the

average CAR of a firm with a small ownership stake.

After controlling for the size of the ownership stake, we also find that CARs are

positively associated with religious closeness, indicating that CARs are more positive if home

and host countries are more similar in terms of religious composition of their populations. This

could be because cultural familiarity mitigates concerns about conflicts between managers and

SWFs as large shareholders.

Next, we distinguish between SWFs depending on their governance scores, using a High

Governance dummy variable that takes a value of one for SWFs with above-median governance

scores according to the sum of the governance and transparency scores reported by Truman

26
(2008) to test whether the results are driven by difference in governance characteristics across

SWFs.12 This appears not to be the case (Column 4).

Finally, we include a Subprime dummy variable that takes on a value of one for

investments in banks that took place at a time when the capital positions of these banks were

under severe pressure due to large markdowns on mortgage-backed securities. Stock prices may

naturally react favorably to such capital injections at times of financial distress. However, it

appears that this is not driving the results (Column 5).

The results are qualitatively similar when we include SWF-specific fixed effects, though

the significant of the results is reduced somewhat.

Overall, we find supporting evidence for the hypotheses that the positive abnormal

returns associated with SWF investments are in part due to expectations about enhanced

corporate governance and a relaxation of capital constraints.

To assess whether there are any systematic patterns in the type of firms selected by

SWFs, in particular whether SWFs tend to target firms that are financially constrained, we

perform a matched sample analysis of firm characteristics for the firms included in the event

study. Our sample consists of 89 firms for which we have the exact announcement date for the

investment made by the SWF. For each of these firms, we identify close matches based on

country, industry (using Datastream’s industry classification for non-US firms and 1-digit US

SIC codes for US firms), year, and size (as measured by total sales). For investments made in

2008, matches are based on 2007 data because most firms have not yet reported any year 2008

financials. All accounting data are obtained from Compustat for US firms and from Datastream

and Worldscope for non-US firms. Each of the firms is matched by the average (median) of all

12
Since we exclude the Norway Pension Fund from these regressions, this High Governance dummy variable takes
a value of one of for the New Mexico State Investment Office and Temasek Holdings funds.

27
potential matches. Our final sample size reduces to 76 firms on account of not finding an

appropriate match or because of missing accounting information.

We perform the matched sample analysis on the bases of different firm characteristics.

First, we report the average Tobin’s Q of firms with SWF investments and their matched

counterparts. We calculate Tobin’s Q as the market-to-book value of assets, and use it as a proxy

for growth opportunities. Second, we report the average leverage of both sets of firms, with

leverage defined as debt to total assets. Third, we use the KZQ and KZ measures of capital

constraints introduced earlier. Table 9 reports sample averages for each variable, averages values

for matched counterparts, and a t-test of mean differences.

We find that the leverage and valuation (as measured by Tobin’s Q) of firms with SWF

investments is similar to that of their matched counterparts, but that such firms tend to be

relatively more financially constrained. We find this result across both measures of financial

constraints. These differences are not driven by differences in Tobin’s Q and leverage because

these the averages for these two variables are not significantly different between sampled firms

and their matched counterparts. These figures suggest that SWFs tend to invest in financially

constrained firms, consistent with the positive CARs of such investments reported earlier.

Given the tendency for SWFs to invest in financially constrained firms, it is noteworthy

to mention that countries often block large investments by foreign investors such as SWFs out of

nationalist and other political concerns. In 2005, for example, a United Arab Emirates-owned

company, Dubai Ports World, stirred controversy in the United States by purchasing P&O, a

British-owned shipping company, thus giving it control over parts of several U.S. port facilities.

A year after the acquisition, the company was forced to divest the US operations out of national

security concerns. Such political sentiment may be more favorable toward foreign bailouts of

28
distressed firms that otherwise would face bankruptcy. This may explain why SWFs, especially

from countries with different cultures, often take controlling stakes in firms at times of distress.

Well-known examples, included in our sample, are the investments in 2005 by the Abu Dhabi

Investment Authority in Spyker Cars of the Netherlands and Ferrari of Italy. Both companies

specialize in exclusive sports cars and faced financing issues at the time of the stock purchases

by the Abu Dhabi Investment Authority.

5.2 Long-run valuation effects

Given the positive CARs associated with SWF investments, it is natural to ask how well such

investments perform in the long run. To assess the long-run valuation effects of SWF

investments, we compute the buy-and-hold returns for each SWF investment in our sample

calculated over 1 year, 3 year and 5 year periods and aggregate these returns at the SWF level.

We calculate buy-and-hold returns using a simple market model of abnormal returns. We use

returns on the MSCI Global Equity index as proxy for the market return of a representative

global investor. We only include investments for which we have the exact investment date and

for which we have at least one year of historical data post the investment date. This reduces the

sample to 79 firm investments for the one-year buy-and-hold returns. For the three-year buy-and-

hold returns we require three years of return data after the investments, and as a result the sample

for these results drops to 74 firms. Similarly, for the five-year buy-and-hold returns, the sample

reduces to 70 firms. The results are presented in Table 10.

Despite the positive CARs around the announcement date, we find that SWF investments

exhibit negative buy-and-hold returns over a 5-year period following the initial investment of -

0.06% on average, though this return is not statistically significantly different from zero. Buy-

and-hold returns for individuals SWFs are mostly negative and in the case of the Abu Dhabi

29
Investment Council they are significantly negative at -19.1% over a period of 5-years. This is in

sharp contrast to the large, positive short-run CAR at the time of the investment.

For the Norway SWF, we do not have the exact announcement dates of investments.

However, we do have information on equity returns for 1,761 firm investments of the Norwegian

fund. Based on this information, the equity portfolio return of the Norway SWF for the year 2007

was only 6.9% while the return on the world market index (as measured by the MSCI Global

Equity index) was 9.6%, consistent with the negative buy-and-hold returns of the other SWFs in

our sample for which we have announcement dates.

These results indicate that the long-run performance of equity investments by SWFs

tends to be poor, consistent with a poor risk-return tradeoff as a result of imperfect portfolio

diversification and poor corporate governance. It is often argued that SWFs thus far have been

passive investors that have not contributed to shareholder activism. Partly in response to political

pressure, SWFs have actually refused board seats they were offered at companies in which they

hold large stakes. For example, the China Investment Corporation refused a seat on the board

offered by Blackstone Group, which sold the fund a US$ 3 billion stake in 2007, and the

Government of Singapore Investment Corporation refused a board seat offered by UBS, being its

largest shareholder, earlier this year.

6. Conclusions

We collect new data on investments by SWFs to study the investment behavior and performance

of SWFs. Several insights emerge from our analysis. First, we find that SWFs largely invest to

diversify away from industries at home but that they bias their investments toward countries with

similar cultural origins (such as religious affinity), suggesting their investment rules are not

30
entirely driven by pure profit maximizing objectives. Second, share prices of firms respond

favorably when SWFs announce investments, in part because these investments often take place

in firms that are financially constrained. Third, the long-run performance of equity investments

by SWFs tends to be poor, consistent with imperfect portfolio diversification and potential

governance problems between incumbent management and SWF shareholders.

While politicians and economists alike have expressed concerns that SWFs may serve

political objectives and invest in strategic industries, our results offer a somewhat more benign

view of SWFs. Despite exhibiting cultural biases, we find that SWFs often invest in companies

that are financially constrained, possibly alleviating financing constraints that constrain firm

growth, thus enhancing the value of such firms. Recent SWF capital injections in distressed US

investment banks are a good example of such investments, though we find that such investments

are limited to the financial services industry. Finally, we find that there is heterogeneity among

SWFs with some SWFs (such as the Norwegian SWF) being quite transparent about their

investments holdings and strategies. Still, many SWFs are not transparent about their investment

strategies and their investments generate negative long-run returns, leaving much room for

improvement in transparency, governance, and shareholder activism on the part of these funds.

Also, our finding that their investments exhibit cultural biases raises questions about the

efficiency of their asset allocation. Given their sheer size and growing importance as global

equity investors, SWFs could potentially play an important role as large shareholders in

monitoring firms, but given their lack of transparency and potentially conflicting objectives they

are unlikely to achieve such a role at this stage. Therefore, we concur with the view that SWFs

should become more transparent about their investment holdings and strategies.

31
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35
 Table 1
Overview of Sovereign Wealth Funds
This table reports summary statistics for the largest (in terms of assets) 22 sovereign wealth funds around the world. The data is
collected from the SWF Institute, Lexis-Nexis and other news stories as well as 10-K filings of individual firms. Proportion of assets
in equity (% public equity) is calculated based on the amounts of investments reported in news stories and other filings. For some
cases the actual dollar amount of investment is not given but the percentage of stake acquired is given. For publicly traded companies
the proportion of investment is calculated as proportion of market capitalization. Market capitalization is collected from Datastream
and Compustat. For investments for which we have dates we use the market capitalization as of that date. For investments for which
do not have the dates we use the market capitalization as of 2007.

Country Fund Name Assets Inception Origin SWF assets % Public

$Billion to foreign equity
reserves ratio
Abu Dhabi (UAE) Abu Dhabi Investment Council $875 1976 Oil 29.54 8.27%

Norway Government Pension Fund – Global $380 1990 Oil 6.06 34.95%

Singapore Government of Singapore Investment $330 1981 Non-Commodity 2.02 7.30%

Corporation
Saudi Arabia Monetary Authority of Saudi Arabia $300 n/a Oil 8.82

Kuwait Kuwait Investment Authority $250 1953 Oil 12.74 2.98%

China China Investment Corporation $200 2007 Non-Commodity 0.12 7.15%

China (Hong Kong) Hong Kong Monetary Authority $163 1998 Non-Commodity
Investment Portfolio
Singapore Temasek Holdings $159 1974 Non-Commodity 0.98 26.60%

Australia Australian Future Fund $61 2004 Non-Commodity 1.06 13.91%

Qatar Qatar Investment Authority $60 2000 Oil 16.79%

Libya Libyan Arab Foreign Investment $50 1981 Oil 0.76

Company
Algeria Revenue Regulation Fund $43 2000 Oil 0.43

Dubai (UAE) Dubai World ± $40 2006 Oil

United Arab Emirates Emirates Investment Authority ± $40 2007 Oil

United States Alaska Permanent Fund $39.80 1976 Oil 0.57

Russia National Welfare Fund $32 2008 Oil 0.07

Brunei Brunei Investment Agency $30 1983 Oil 0.02%

Korea Korea Investment Corporation $30 2005 Non-Commodity 0.08 18.10%

Malaysia Khazanah Nasional $25.70 1993 Non-Commodity 0.25 19.14%

Kazakhstan Kazakhstan National Fund $21.50 2000 Oil 1.12

Canada Alberta's Heritage Fund $16.60 1976 Oil 0.39

United States New Mexico State Investment Office $16 1958 Non-Commodity 0.06 12.98%
Trust

36
 Table 2
Geographic Distribution of Equity Investments of Sovereign Wealth Funds

This table reports summary statistics for sovereign wealth funds around the world. The data is collected from the SWF Institute, Lexis-
Nexis and other news stories as well as 10-K filings of individual firms. The SWF institute collects its data from official filings.
Proportion of assets in equity is calculated based on the amounts of investments reported in news stories and other filings. For some
cases the actual dollar amount of investment is not given but the percentage of stake acquired is given. For publicly traded companies
the proportion of investment is calculated as proportion of market capitalization. Market capitalization is collected from Datastream
and Compustat. For investments for which we have dates we use the market capitalization as of that date. For investments for which
do not have the dates we use the market capitalization as of 2007.

Country Abu Govt Govt of Kuwait China Temasek Qatar Brunei Korea Khazanah New Mexico Dubai
Dhabi Pension Singapore Invt. Invt. Holdings Invt. Invt. Invt. Nasional State Invt. World
Invt. Fund- Invt. Authority Corp Authority Agency Corp Office Trust
Council Norway Corp
Australia 1.53% 3.90%
Austria 5.33% 0.37% 0.32% 6.67%
Belgium 0.76%
Bermuda 0.17% 0.12% 1.21%
Brazil 0.66% 5.24%
Canada 10.32% 2.03% 0.52% 19.13%
China 0.59% 0.66% 4.28%
Czech Republic 0.09%
Denmark 0.43%
Egypt 0.23% 0.02%
Finland 0.78%
France 7.47%
Germany 9.93% 6.15% 4.16%
Greece 0.48%
Hong Kong 1.14% 0.13% 1.12% 4.06% 0.11%
India 0.12% 0.63% 1.68% 0.04%
Indonesia 0.03% 16.77%
Ireland 0.27% 0.74%
Israel 0.04%
Italy 1.49% 2.57%
Japan 7.90% 0.70% 4.11%
Korea 0.38% 1.46% 5.19% 7.94% 48.11%
Luxembourg 0.10%
Malaysia 0.05% 51.05% 77.31%
Mexico 0.38%
New Zealand 0.05%
Netherlands 3.27% 2.60% 1.74%
Norway 38.50%
Pakistan 6.91%
Philippines 0.01%
Portugal 0.20%
Russia 0.05% 0.46%
Singapore 0.54% 67.13% 2.72% 3.54%
Sweden 1.86% 0.68% 2.32%
Switzerland 4.89% 54.40%
South Africa 0.58%
Spain 2.32%
Taiwan 0.45% 0.26% 0.27% 0.99%
Thailand 0.04% 100%
Turkey 0.08%
United Arab Emirates 11.50% 2.04%
United Kingdom 8.46% 19.18% 5.14% 34.97% 7.85% 41.96% 57.48%
United States 13.80% 27.76% 34.06% 93.86% 59.79% 11.49% 4.96% 92.08% 22.05% 19.56%

37
 Table 3
Industrial Distribution of Equity Investments of Sovereign Wealth Funds
This table reports summary statistics for industrial distribution for sovereign wealth funds around the world. The data is collected from
the SWF Institute, Lexis-Nexis and other news stories as well as 10-K filings of individual firms. The SWF institute collects its data
from official filings. Proportion of assets in equity is calculated based on the amounts of investments reported in news stories and
other filings. For some cases the actual dollar amount of investment is not given but the percentage of stake acquired is given. For
publicly traded companies the proportion of investment is calculated as proportion of market capitalization Industrial classification
information is collected from Datastream and Compustat. For investments for which we have dates we use the market capitalization as
of that date. For investments for which do not have the dates we use the market capitalization as of 2007.

Country Abu Govt Govt of Kuwait China Temasek Qatar Brunei Korea Khazanah New Dubai
Dhabi Pension Singapore Invt. Invt. Holdings Invt. Invt. Invt. Nasional Mexico World
Invt. Fund- Invt. Authority Corp Authority Agency Corp State Invt.
Council Norway Corp Office
Trust
Basic materials 17.60% 3.60% 0.70% 7.90% 19.10% 29.30%

Consumer goods 0.40% 8.10% 0.10% 8.50%

Consumer services 0.10% 12.80% 6.30% 24.10% 36.20% 0.70% 12.10%

Financials 15.00% 25.50% 91.10% 93.40% 94.70% 45.00% 9.20% 92.10% 37.80% 52.10% 19.60%
Healthcare 0.20% 6.60% 0.20% 0.40% 6.80% 9.20% 7.70% 22.20%
Industrials 3.60% 9.70% 1.70% 6.10% 1.91%
Oil & Gas 60.30% 6.70% 0.10% 5.20% 23.50% 100% 45.40%
Technology 0.90% 6.80% 0.30% 4.50% 1.00% 21.10%
Telecom 1.40% 3.80% 1.60% 6.00% 2.80%

Utilities 52.60%
Unquoted equities 0.30% 1.20%

38
 Table 4
Governance and Transparency of Sovereign Wealth Funds
The table reports governance and transparency scores for SWFs in our sample. The data is collected from the Peterson
Institute for International Economics report called “A Scoreboard for Sovereign Wealth Funds” (Truman, 2008). The
governance score is based on the role of the government in setting the investment strategy, role of the manager in executing
investment strategy, guidelines for corporate responsibility and whether the fund has an ethical guideline. The governance
score has a range between 0 and 4. Transparency and accountability is based on three broad categories. First is ‘reports’
which is in turn based on whether the fund publishes annual and quarterly reports. The second broad category is termed as
‘investments’ and includes information on whether the size of the fund, returns, types of investment, location, specific
investment instruments used, currency composition and mandates are publicly available information. The third broad
category is ‘audit’ which includes questions on whether the fund has a regular audit, whether the audit report is published and
whether the audit is conducted independently. The transparency score has a range from 0-12.

Governance +
Governance Transparency transparency
Govt Pension Fund- Norway 4 10.5 14.5
New Mexico State Investment Office Trust 2 8.5 10.5
Temasek Holdings 1.5 8 9.5
Kuwait Investment Authority 3 3 6
Khazanah Nasional 1.5 4 5.5
Korea Investment Corp 2 1 3
Brunei Investment Agency 0.5 1 1.5
Government of Singapore Investment Corp 0 0.75 0.75
China Investment Corp 0 0.5 0.5
Abu Dhabi Investment Council 0 0 0
Dubai World 0 0 0
Qatar Investment Authority 0 0 0

39
 Table 5
Determinants of Foreign Bias of Sovereign Wealth Funds

The dependent variable is foreign bias, defined as the log ratio of the share of country j in fund holdings of country i to the world market capitalization weight of country j as of
end of 2007. In Column (2), foreign bias is measured with respect to the weight in the MSCI world index. In Column (3), foreign bias is measured using the average from US
mutual fund benchmark. This data is obtained from epfr.com. In Column (4), we exclude investments by the Norwegian SWF. In Column (5), foreign bias is measured with respect
to country asset allocation of the Norwegian SWF. Physical closeness is the inverse geographical distance (in kilometers) between the capitals of the source and destination country
of the SWF investment. It is inverse of distance measured in kilometers. Trade closeness is measured by the total exports and imports between source and destination country of
investment scaled by total trade of host country of the SWF as of 2000. Industrial closeness is based on industrial distance between source and destination country of investment
based on the United Nations industrial classification. Language closeness, religious closeness and ethnic closeness are cultural proximity variables that indicate similarity in culture
between the host and destination country. The variables are defined as the uncentered correlation between country pairs and are obtained from Acemoglu et al (2008). Log per
capita GDP is the logarithm of per capita GDP. Stock market development is stock market capitalization as a fraction of GDP. The third set of explanatory variables includes
corporate governance variables of the destination countries. Judicial efficiency is measure of the efficiency of the country’s judiciary. Risk of expropriation is a measure of the risk
of appropriation of investment by the destination country’s government. Accounting standards is a measure of the quality and range of information contained in firms’ financial
statements. All standard errors are heteroskedasticity consistent. ***, ** and * represent significance at the 1%, 5% and 10% respectively.

Mktcap excl. Home country Mktcap, Mktcap,

Mktcap Wt. MSCI Wt. US Mutual Fund Norway Norway Wt. fixed effects Gov>Median Gov<Median
(1) (2) (3) (4) (5) (6) (7) (8)
Physical Closeness -0.531 -0.539 -0.768 2.956 -3.268 0.495 0.260 4.147
(1.902) (0.415) (0.664) (4.859) (3.477) (0.329) (0.241) (5.017)
Trade Closeness -5.717 ** -5.470 ** -9.372 ** -7.975 ** -1.969 -6.043 ** 5.228 * -8.527
(2.388) (2.362) (3.087) (3.866) (3.417) (2.467) (2.670) (4.012)
Industrial Closeness -1.650 ** -1.677 ** -1.457 -0.563 -1.829 ** -0.552 -1.256 ** -0.286
(0.720) (0.728) (1.116) (1.261) (0.914) (2.033) (0.436) (1.364)
Ethnic Closeness 5.281 ** 5.645 ** 5.016 * -9.266 12.770 5.983 *** -13.360
(1.901) (1.964) (2.973) (18.47) (13.19) (1.741) (18.980)
Language Closeness 1.505 ** 1.539 ** 2.497 ** -3.944 3.852 -2.192 ** -5.648
(0.704) (0.713) (0.985) (7.380) (5.660) (0.795) (7.550)
Religious Closeness 1.920 ** 1.954 ** 2.390 ** 3.071 ** 4.127 *** 1.296 ** 0.548 3.237 ***
(0.849) (0.889) (1.190) (1.220) (1.003) (0.453) (0.336) (1.240)
Stock Market Development -0.191 -0.267 -1.345 0.001 -0.549 -0.430 -0.314 0.030
(0.493) (0.486) (0.565) (0.819) (0.837) (0.343) (0.254) (0.831)
Judicial Efficiency -0.176 -0.201 0.002 0.344 0.185 -0.252 * -0.289 ** 0.318
(0.162) (0.144) (0.185) (0.468) (0.410) (0.143) (0.130) (0.487)
Risk of Expropriation 0.335 0.214 0.238 -0.681 -0.604 0.135 0.072 -0.410
(0.406) (0.366) (0.476) (1.549) (1.280) (0.300) (0.221) (1.618)
Accounting Standards -0.006 -0.012 -0.072 *** -0.0303 -0.040 -0.005 -0.004 -0.028

40
 Mktcap excl. Home country Mktcap, Mktcap,
Mktcap Wt. MSCI Wt. US Mutual Fund Norway Norway Wt. fixed effects Gov>Median Gov<Median
(0.017) (0.016) (0.022 (0.047 (0.045) (0.012) (0.009) (0.047)
Log Per Capita GDP 0.883 0.760 0.934 0.037 -0.808 1.234 ** 1.425 *** -0.385
(0.751) (0.715) (0.857 (2.215 (1.677) (0.508) (0.303) (2.330)

Home country fixed effects N N N N N Y N N

N 67 67 59 38 37 67 31 36
R2 0.37 0.32 0.42 0.37 0.71 0.65 0.79 0.5

41
 Table 6
Determinants Foreign Bias of the Norway Pension Fund: 1998-2007

The dependent variable is foreign bias, defined as the log ratio of the share of country j in fund holdings of the Norway SWF (j not
equal to Norway) to the world market capitalization weight of country j at the end of year t, with t ranging from 1998 to 2007. Column
(2) includes time fixed effects. Physical closeness is the inverse geographical distance (in kilometers) between the capitals of the
source and destination country of the SWF investment. It is inverse of distance measured in kilometers. Trade closeness is measured
by the total exports and imports between source and destination country of investment scaled by total trade of host country of the SWF
as of 2000. Industrial closeness is based on industrial distance between source and destination country of investment based on the
United Nations industrial classification. Language closeness, religious closeness and ethnic closeness are cultural proximity variables
that indicate similarity in culture between the host and destination country. The variables are defined as the uncentered correlation
between country pairs and are obtained from Acemoglu et al (2008). Log per capita GDP is the logarithm of per capita GDP. Stock
market development is stock market capitalization as a fraction of GDP. The third set of explanatory variables includes corporate
governance variables of the destination countries. Judicial efficiency is measure of the efficiency of the country’s judiciary. Risk of
expropriation is a measure of the risk of appropriation of investment by the destination country’s government. Accounting standards is
a measure of the quality and range of information contained in firms’ financial statements. All standard errors are heteroskedasticity
consistent. ***, ** and * represent significance at the 1%, 5% and 10% respectively.

Mktcap Wt.,
Mktcap Wt. with time fixed effects
(1) (2)
Physical Closeness 2.064 *** 1.886 ***
(0.417) (0.383)
Trade Closeness 2.205 2.841
(6.807) (6.116)
Industrial Closeness -5.231 *** -5.203 ***
(1.481) (1.078)
Religious Closeness 0.365 0.614
(0.657) (0.579)
Stock Market Development 0.232 -0.164
(0.469) (0.453)
Judicial Efficiency 0.001 -0.078
(0.220) (0.199)
Risk of Expropriation 1.438 *** 1.470 ***
(0.327) (0.375)
Accounting Standards -0.029 -0.022
(0.023) (0.020)
Log Per Capita GDP -0.211 ** -0.167 *
(0.102) (0.095)

Year Fixed Effects - +

N 219 219
R2 0.44 0.56

42
 Table 7
Announcement Effects of Sovereign Wealth Fund Investments
The table reports the event study results. Our sample consists of 89 firms for which we have the exact announcement date for the
investment made by the SWF. Results exclude all investments of the Norwegian Government Pension Fund – Global for which the
exact date of investment is not available. The event study methodology is similar to Karpoff and Malatesta (1989). For each event we
estimate a market model ( specific to the origin of each fund) from 281 to 80 trading days prior to the event date. The parameters are
estimated from a simple market model framework (Rit=α +βRmt + εit). Abnormal returns are calculated as the difference between
actual and predicted returns based on the market model. We sum over abnormal returns to calculate cumulative abnormal returns. .
***, ** and * represent significance at the 1%, 5% and 10% respectively.

Non-US Excluding bank Gov and Gov and

Event window All investments capital injections Transp>=Median Trans<Median

[-40,-20] 0.003 0.085 0.080 -0.074 0.053

(0.050) (0.042) (0.037) (0.020) (0.021)

[-20,-10] -0.054 -0.056 -0.034 -0.244* 0.191*

(0.040) (0.033) (0.035) (0.02) (0.01)

[-10,-5] 1.101*** 0.964*** 1.170*** 0.466** 0.647**

(0.067) (0.074) (0.076) (0.030) (0.037)

[-5,2] 0.850*** 0.690** 0.803*** 1.112*** -0.262*

(0.089) (0.066) (0.067) (0.05) (0.02)

[-2,2] 0.817** 0.613** 0.935** 0.941*** -0.072

(0.116) (0.088) (0.113) (0.06) (0.05)

[2,10] -0.250 0.002 -0.498 -0.433** 0.175

(0.130) (0.112) (0.109) (0.03) (0.08)

[-20,10] 1.567*** 1.602*** 1.411*** 0.900*** 0.667***

(0.073) (0.071) (0.071) (0.033) (0.039)

43
 Table 8
Multivariate Analysis of Announcement Effects of Sovereign Wealth Fund Investments
The table reports multivariate analysis on the event study. Dependent variable is the cumulative abnormal return of the SWF
investment based on a [-20, 10] window. The event study methodology is similar to Karpoff and Malatesta (1989). For each event we
estimate a market model (specific to the origin of each fund) from 281 to 80 trading days prior to the event date. The parameters are
estimated from a simple market model framework (Rit=α +βRmt + εit). Abnormal returns are calculated as the difference between
actual and predicted returns based on the market model. We sum over abnormal returns to calculate cumulative abnormal returns.
Language closeness, religious closeness and ethnic closeness are cultural proximity variables that indicate similarity in culture
between the host and destination country. The variables are defined as the uncentered correlation between country pairs and are
obtained from Acemoglu et al (2008). Log per capita GDP is the logarithm of per capita GDP. Cash Constrained is a dummy variable
that takes a value of 1 if the KZ measure of capital constraints takes on a score above the sample median, and zero otherwise.
Ownership Stake is a dummy variable that takes a value of 1 if the SWF stake is larger than 1% of the firm’s total equity capital, and
zero otherwise. High Governance is a dummy variable that takes a value of 1 if the governance score of the SWF is above the median
and 0 otherwise. Subprime is a dummy variable that takes a value of 1 if there was a monetary injection in a financial firm that
suffered subprime mortgage assets related losses, and zero otherwise. Our sample consists of 89 firms for which we have the exact
announcement date for the investment made by the SWF. Results exclude all investments of the Norwegian Government Pension
Fund – Global for which the exact date of investment is not available. Industry fixed effects according to Datastream’s industry
classification are included in all regressions. ***, ** and * represent significance at the 1%, 5% and 10% respectively.

(1) (2) (3) (4) (5)

Ethnic Closeness -0.069 -0.189 -0.195 -0.193 -0.198
(0.163) (0.180) (0.182) (0.242) (0.260)
Language Closeness -0.020 0.051 0.059 0.057 0.062
(0.109) (0.088) (0.094) (0.134) (0.146)
Religious Closeness 0.137 0.231 0.261 * 0.264 ** 0.257 **
(0.134) (0.143) (0.145) (0.104) (0.090)
Log Per Capita GDP 0.056 0.104 * 0.104 * 0.105 * 0.105 *
(0.060) (0.058) (0.058) (0.056) (0.058)
Cash Constrained 0.143 * 0.149 * 0.150 ** 0.152 *
(0.079) (0.080) (0.075) (0.084)
Ownership Stake 1.421 * 1.418 * 1.404 *
(0.761) (0.826) (0.831)
High Governance -0.002 0.000
(0.068) (0.076)
Subprime -0.014
(0.064)
Industry Fixed Effect + + + + +

N 50 50 50 50 50
R2 0.24 0.36 0.36 0.41 0.41

44
 Table 9
Characteristics of Sovereign Wealth Fund Equity Investments: Matched Sample Analysis

The table reports summary statistics for the matched sample analysis for firms in the event study. Our sample consists of 76 firms. We
start with the sample of 89 firms for which we have the exact announcement date for the investment made by the SWF and need to
drop 13 firms for which we do not have accounting data required to perform the matched sample analysis. For each of these firms we
find matches based on country size (as measured by sales) and industry (Datastream industry classification and 1 digit SIC code) and
year. For investments made in 2008 matches were based on 2007 observations. All accounting data was obtained from Compustat and
Datastream and Worldscope. Each of the firms were then matched by the average (median) of all potential matches. KZQ and KZ are
measures of capital constraints, defined as: KZQ=-1.002*(Cash flow/Lagassets) - 39.368*(Dividends/Lagassets) - 1.315*(Cash
balances/Lagassets) + 3.139*Leverage + 0.283*Tobin’s Q, and KZ=-1.002*(Cash flow/Lagassets) - 39.368*(Dividends/Lagassets) -
1.315*(Cash balances/Lagassets) + 3.139*Leverage. All components of the capital constraints measures were winsorized at the 1%
and 99% level. ***, ** and * represent significance at the 1%, 5% and 10% respectively.

Sample average Matched sample average t-test of mean difference

Tobin’s Q 1.44 1.20 1.01
Leverage 0.22 0.27 -0.66
KZQ 1.46 0.99 2.41**
KZ 1.04 0.58 2.38**

45
 Table 10
Long Run Returns of Sovereign Wealth Fund Investments
The table reports long run abnormal returns of SWF investments. The buy and hold returns are calculated over 1 year, 3 year and 5
year returns, starting from the investment date [t=0]. The returns are abnormal returns over the market returns, starting on the
investment date. * represents significance at the 10% level.

N 1 year 3 year 5 year

Number of firm investments [79] [74] [70]

Whole Sample 79 -0.040 -0.072 -0.064

(0.286) (0.425) (0.515)

Abu Dhabi Investment Council 24 -0.103* -0.117 -0.191*

(0.306) (0.431) (0.460)
Dubai World 14 0.079 0.077 0.182
(0.308) (0.414) (0.621)
Government of Singapore Investment Corp 16 -0.106 -0.155 -0.107
(0.279) (0.420) (0.513)
Kuwait Investment Authority 2 -0.036 0.015 0.110
(0.134) (0.207) (0.342)
Temasek Holdings 22 0.005 -0.061 -0.063
(0.244) (0.426) (0.472)

46
 Appendix 1
Bank Capital Injections by Sovereign Wealth Funds

This table reports summary statistics for sovereign wealth funds which made subprime infusions into the major global banks during
2007-2008. The information is collected from Bloomberg and the SWF Institute.

Company Infusion ($ bn) Investors Stake %

Citigroup 6.8 Government of Singapore Investment Corp 3.7
7.7 Kuwait Investment Authority 4.1
7.5 Abu Dhabi Investment Authority 4.9
Merrill Lynch 6.6 Korean Investment Corp
4.4 Temasek Holdings 9.4
UBS 9.7 Government of Singapore Investment Corp 10.0
1.8 Saudi Arabia Monetary Agency 2.0
Morgan Stanley 5.0 China Investment Corp 9.9
Barclays 2.0 Temasek Holdings 2.1
Credit Suisse 0.6 Qatar Investment Authority 1.0

47
View publication stats

Appendix 2
Summary Statistics for Independent Variables in Bilateral Regressions for Foreign Bias of Sovereign Wealth Funds

The foreign bias is defined as the log ratio of the share of country j in fund holdings of country i (with i not equal to j) to the world market capitalization weight of country j and
alternatively to the weight of country j in MSCI world index as of end of 2007. Physical closeness is the inverse geographical distance (in kilometers) between the capitals of the
source and destination country of the SWF investment. It is inverse of distance measured in kilometers. Trade closeness is measured by the total exports and imports between
source and destination country of investment scaled by total trade of host country of the SWF as of 2000. Industrial closeness is based on industrial distance between source and
destination country of investment based on the United Nations industrial classification. Language closeness, religious closeness and ethnic closeness are cultural proximity
variables that indicate similarity in culture between the host and destination country. The variables are defined as the uncentered correlation between country pairs and are obtained
from Acemoglu et al (2008). Per capita GDP is the logarithm of per capita GDP. Stock market development is stock market capitalization as a fraction of GDP. The third set of
explanatory variables includes corporate governance variables of the destination countries. Judicial efficiency is measure of the efficiency of the country’s judiciary. Risk of
expropriation is a measure of the risk of appropriation of investment by the destination country’s government. Accounting standards is a measure of the quality and range of
information contained in firms’ financial statements.

Foreign Foreign GDP

Bias wrt Bias wrt Physical Trade Industrial Ethnic Language Religious per Stock Judicial Risk of Accounting
Mktcap MSCI Closeness Closeness Closeness Closeness Closeness Closeness capita Market Devt Efficiency Expropriation Standards

Mean 0.470 0.559 0.384 0.047 0.741 0.009 0.029 0.284 10.175 1.020 8.743 9.164 67.104
Std Deviation 1.535 1.458 0.571 0.063 0.248 0.067 0.140 0.355 0.572 0.494 1.844 1.053 10.577
Maximum 4.777 5.468 3.067 0.245 0.986 0.548 0.929 1.000 10.769 2.095 10.000 9.980 83.000
Minimum -2.417 -1.633 0.059 0.000 0.217 0.000 0.000 0.001 7.992 0.200 3.250 5.220 24.000
Number of observations 67 67 67 67 67 67 67 67 67 67 67 67 67

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