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Anchoring Effect and Momentum Strategy. An Empirical Attempt to Identify Factors Determining the Investment Decision of Sovereign Wealth Funds
Abstract
This article addresses the issue of factors determining the investment decisions of Sovereign Wealth Funds (SWFs). Using the data from the London Stock Exchange the author employs regression to analyze whether and to what extent the investment made by SWFs in the current year is determined by the previous ownership level in the company as well as by previous stock returns. Empirical findings of this research do not support those hypotheses. The past capital engagement in the company has negative impact on future decision to increase the capital allocation in target companies. The study also suggests that sovereign wealth funds do not use momentum strategy in their investments. In conclusion, the author presents potential avenues of future research in this field.
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DOI: http://dx.doi.org/10.17951/h.2016.50.4.533
Date of publication: 2017-02-20 17:31:15
Date of submission: 2016-03-30 13:46:03
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