Vis enkel innførsel

dc.contributor.authorMork, Knut A.
dc.contributor.authorEap, Hanna Marisela
dc.contributor.authorHaraldsen, Magnus Eskedal
dc.date.accessioned2020-03-25T09:22:58Z
dc.date.available2020-03-25T09:22:58Z
dc.date.created2020-03-24T11:42:56Z
dc.date.issued2020
dc.identifier.citationInternational Journal of Financial Studies (IJFS). 2020, 8 (1), .en_US
dc.identifier.issn2227-7072
dc.identifier.urihttps://hdl.handle.net/11250/2648494
dc.description.abstractWe consider the portfolio choice of a government with a Sovereign Wealth Fund (SWF) when government revenues depend on exhaustible resources, such as oil and gas. The question is whether the SWF portfolio should underweight shares in the resource industry. Some studies have found that these share prices correlate more closely with the overall stock market than the resource price, which would seem to weaken the case for underweighting. However, equity price movements depend not only on changes in expectations of future cash flows, but also on time variation in discount factors. We analyze cash flows directly, rather than trying to disentangle these effects. We have collected cash-flow data for the companies in all of the major industries of the FTSE Global All Cap index, the basis for the strategic index of the Norwegian Government Pension Fund Global. Subsequently, we look at the correlations between each industry’s cash flow and the Norwegian government’s cash flow from oil and gas. We find a close, statistically significant, and persistent correlation for the oil and gas industry. The correlations for other industries are small and mostly insignificant. We believe that our findings can be used to support proposals for SWFs in countries with significant petroleum revenues to underweight shares in this industry.en_US
dc.language.isoengen_US
dc.publisherMDPIen_US
dc.rightsNavngivelse 4.0 Internasjonal*
dc.rights.urihttp://creativecommons.org/licenses/by/4.0/deed.no*
dc.titlePortfolio Choice for a Resource-Based Sovereign Wealth Fund: An Analysis of Cash Flowsen_US
dc.typePeer revieweden_US
dc.typeJournal articleen_US
dc.description.versionpublishedVersionen_US
dc.source.pagenumber20en_US
dc.source.volume8en_US
dc.source.journalInternational Journal of Financial Studies (IJFS)en_US
dc.source.issue1en_US
dc.identifier.doi10.3390/ijfs8010014
dc.identifier.cristin1803190
dc.description.localcode©2020 by the authors. Licensee MDPI, Basel, Switzerland. This article is an open accessarticle distributed under the terms and conditions of the Creative Commons Attribution(CC BY) license (http://creativecommons.org/licenses/by/4.0/)en_US
cristin.ispublishedtrue
cristin.fulltextoriginal
cristin.qualitycode1


Tilhørende fil(er)

Thumbnail

Denne innførselen finnes i følgende samling(er)

Vis enkel innførsel

Navngivelse 4.0 Internasjonal
Med mindre annet er angitt, så er denne innførselen lisensiert som Navngivelse 4.0 Internasjonal