對(duì)外直接投資和對(duì)外證券投資-foreigndirectinvestmentandforeignportfolioinvestment(已修改)
2025-01-18 02:36 本頁(yè)面
【正文】 Systemic Liquidity and the Composition of Foreign Investment: Theory and Empirical Evidence Theory and Empirics by Itay Goldstein, Assaf Razin, and Hui Tong February 2021 The key prediction of the model is that countries that have a high probability of an aggregate liquidity crisis will be the source of more FPI and less FDI. The intuition is that as the probability of an aggregate liquidity shock increases, agents know that they are more likely to need to sell the investment early, in which case, if they hold FDI, they will get a low price since buyers do not know whether they sell because of an individual liquidity need or because of adverse information on the productivity of the investment. As a result, the attractiveness of FDI decreases, and the ratio of FPI to FDI increases. “ Imagine a large pany that has many relatively small , each shareholder faces the following wellknown freerider problem:if the shareholder does something to improve the quality of management, then the benefits will be enjoyed by all shareholders. Unless the shareholder is altruistic, she will ignore this beneficial effect on other shareholders and so will underinvest in the activity of monitoring or improving management.” Oliver Hart. The Efficiency Advantage The Disadvantage: A Premature Liquidation However, when investors want to sell their investment prematurely, because of a liquidity shock, they will get lower price if they are conceived by the buyer to have more information. Because, other investors know That the seller has information on the Fundamentals and suspect That the sales result from bad prospects of the project Rather than liquidity shortage. Liquidity Shocks and Resale Values 221)1()(39。)(,1)1(,0)1(),()1)((AKKRGgGGGc dfKFR????????????????Three periods: 0, 1, 2。 Project is initially sold in Period 0 and matures in Period 2. Production function Distribution Function Production Function: Special Form In Period 1, after the realization of the productivity shock, The manager observes the productivity parameter. Thus, if the owner owns the asset as a Direct Investor, the chosen level of K is: AEAAAEAK2)1(121)1)(1(1)(*22?????????????????????? ??????Expected Return In Period 1, after the realization of the productivity shock, The manager observes the productivity parameter. Thus, if the owner owns the asset as a Direct Investor, the chosen level of K is: AEAAAEAK2)1(121)1)(1(1)(*22?????????????????????? ??????Expected Return Liquidity Shocks and Resale Values 221)1()(39。)(,1)1(,0)1(),()1)((AKKRGgGGGc dfKFR????????????????Three periods: 0, 1, 2。 Project is initially sold in Period 0 and matures in Period 2. Production function Distribution Function Production Function: Special Form Portfolio Investor will instruct the manager to maximize the expected return, absent any information on the productivity parameter. AEAAEAK2)21(21)1(1?? ???????????Expected return Liquidity Shocks and Resales APGdgAdgAPGypr o bab ilitt hr e s hol dDDDDDDD2)1()()1()(221)(2)1()1()()1(2,11112,1??????????????????????????????? ????Period1Price is equal to the expected value of the asset from the buyer’s viewpoint. Productivity level under which the direct owner Is selling with no liquidity shock The owner sets the threshold so that she Is indifferent between the price paid by buyer And the return when continuing to hold the asset D?D?PDDPPAPAdgAP,1,111,121021)(221??????? ???????If a Portfolio Investor sells the asset, everybody knows that it does so only because of the liquidity shock. Hence: Since Tradeoff between Direct Investment and Portfolio Investment ???????????????????????????????????????????????dgAdgAAVdgAdgAr e t ur nAPDDDDDDDDDD)(2)1()(2)1()1(2)1()(2)1()(2)1(2)1(1 21221 2122,1If investor does not observe liquidity shock: ExAnte expected return on direct investment: Direct Investment Return when observing liquidity shock. Portfolio Investment AVAAEAPPP21212)21(21,1?????When a liquidity shock is observed, return is: When liquidity shock is not observed return is: Exante expected return is: ????????CVVD ifCVVD ifPDPD)()(??Firms sold to Direct Investor Firms sold to Portfolio Investor ?0 1 Dif(0) Direct Investment Portfolio investment )(C?Probability of midstream sales Direct Investment ?????)()1(DG??Resale probability: Portfolio Investment Resale probability: Only in a few cases, the probability Of an early sale in an industry with Direct investment is higher than for An industry owned by portfolio investors. Heterogeneous Investors Suppose there is a continuum [0,1] of investors. Proportion 189。 of them have high expected liquidity needs, , and proportion 189。 have low expected liquidity needs, . H?L?LH ?? ?? 21Different investors face a price which Does not reflect their true liquidityneeds. This may generate An incentive to signal the true parameter By choosing a specific investment vehicle. rational expectations equilibrium Assuming that rational expectations hold in the market, has to be consistent with the equilibrium choice of
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