Current issue - vol. 13, nr 1all articles

THE COLOR OF GOVERNMENT MONEY. DO INVESTORS DIFFERENTLY VALUE THE INVESTMENT OF SOVEREIGN WEALTH FUNDS?

Dariusz Urban
pages: 25-34, JEL classification: F21, G14, G23, Keywords: sovereign wealth funds, event study, London Stock Exchange, investment, Abstract: The article aims at pointing out the differences in market reactions regarding the announcement of an investment of selected Sovereign Wealth Funds in companies listed on the London Stock Exchange. The research sample consists of 796 market transactions made by four selected Sovereign Wealth Funds. The author employed event study methodology to calculate the average abnormal returns and cumulative abnormal returns for each fund in subsamples. The empirical findings suggest that investors react differently to the information about a fund’s investment. To the best of the author’s knowledge, the literature does not provide any answer as to how the market reacts to information disclosure of individual funds. Therefore, this paper bridges the gap in the literature within this field.
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