Foreign Ownership Restrictions and Equity Price Premiums: What Drives the Demand for Cross-Border Investments?
利用11个国家同一公司对外和对内发行股票的价格差异，研究国际资本流动障碍的影响，发现溢价主要由外国投资者需求、市场流动性和信息等因素驱动，而非外国要求的低回报。
We study the impact of barriers to international capital flows with stock price data from 11 countries whose stock markets feature shares restricted to locals and otherwise identical shares available to foreigners. Large price premiums for unrestricted shares relative to matching restricted shares are typically observed. Although basic notions of interna? tional asset pricing offer a straightforward explanation for the price premiums, we find little evidence that the price premiums are explained by lower foreign required returns. Alternative concepts and theories centering on foreign investor demand and the supply of shares explain some of the time-series and cross-sectional variation of price premi? ums. More specifically, premiums for unrestricted shares are positively correlated with foreign investor demand in the form of international mutual fund flows, sentiment implicit in matching closed-end country fund premiums, market liquidity, and information reflected in press coverage, country credit rating, and firm size.