Journal of Financial & Quantitative Analysis. Volume 50, Issue 6 December 2015 , pp. 1389-1414

可投资性对资产定价的影响

作者：Vihang Errunza (McGill University, Desautels Faculty of Management)

Hai Ta (University of Winnipeg, Faculty of Business Administration and Economics)

摘要：我们构建了一个国际的资产定价模型用来度量可投资性约束对资产定价的影响。对18个新兴市场样本来说，我们利用标准普尔的可投资权重因子(IWF)发现当不可投资公司变成部分可投资时，股权资本成本下降26.33%；当部分可投资公司变为无投资限制时，股权资本成本下降12.51%。我们发现通过检验带有全球/美国存托凭证和国外机构持有的股票得到的可投资权重因子是能广泛并且有效替代可投资性的指标。我们的结论提供了充足的证据表明市场自由化政策能带来经济效益。

The Impact of Investability on Asset Valuation

Vihang Errunza (McGill University, Desautels Faculty of Management)

Hai Ta (University of Winnipeg, Faculty of Business Administration and Economics)

ABSTRACT

We develop an international asset pricing model to measure the impact of investability constraints on asset pricing. For a sample of 18 emerging markets, we use Standard & Poor’s investable weight factor (IWF) to show a 26.33% reduction in the cost of equity capital when non-investable firms become partially investable, with a further 12.51% reduction when partially investable firms become unrestricted. We demonstrate the generality and usefulness of the IWF by examining stocks with global/American depositary receipts and foreign institutional holdings as alternate investability proxies. Our results provide strong evidence of the economic benefits of market liberalization policies.

原文链接: https://www.cambridge.org/core/journals/journal-of-financial-and-quantitative-analysis/article/impact-of-investability-on-asset-valuation/9E3F0C36986C07133DFC1D048D515560

翻译：汪国颂