The Impact of Investability on Asset Valuation
构建国际资产定价模型，利用标普可投资权重因子衡量新兴市场可投资性约束对资产定价的影响，发现非可投资公司转为部分可投资时股权成本降低26.33%，部分可投资转为无限制时再降12.51%，为市场自由化政策的经济效益提供证据。
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.