Investor Protection, Equity Returns, and Financial Globalization
研究投资者保护如何影响股票回报和投资组合选择。模型显示，保护弱时富人会争当控股股东，推高股价，导致弱治理股票预期回报偏低，并影响国内外投资者的持股行为。
Abstract We study the effects of investor protection on stock returns and portfolio allocation decisions. In our theoretical model, if investor protection is weak, wealthy investors have an incentive to become controlling shareholders. In equilibrium, the stock price reflects the demand from both controlling shareholders and portfolio investors. Due to the high demand from controlling shareholders, the price of weak corporate governance stocks is not low enough to fully discount the extraction of private benefits. Thus, stocks have lower expected returns when investor protection is weak. This has implications for domestic and foreign investors’ stockholdings. In particular, we show that portfolio investors’ participation in the domestic stock market and home equity bias are positively related to investor protection and provide original evidence in their support.