全球智库信息集成服务系统(G2TT): DP6546 When Does FDI Have Positive Spillovers? Evidence from 17 Emerging Market Economies

G2TT

来源类型	Discussion paper
规范类型	论文
来源ID	DP6546
	DP6546 When Does FDI Have Positive Spillovers? Evidence from 17 Emerging Market Economies
	Jan Svejnar; Katherine Terrell; Yuriy Gorodnichenko
发表日期	2007-10-26
出版年	2007
语种	英语
摘要	The concept of risk is central to strategy research and practice. Yet, the expected positive association between risk and return, familiar from financial markets, is elusive. Measuring risk as the variance of a series of accounting-based returns, Bowman obtained the puzzling result of a negative association between risk and mean return. This finding, known as the Bowman paradox, has spawned a remarkable number of publications, and various explanations have been suggested. The present paper contributes to this literature by showing that skewness of individual firms? return distributions has a considerable spurious effect on the mean-variance relationship. I devise a method to disentangle true and spurious effects, illustrate it using simulations, and apply it to empirical data. It turns out that the size of the spurious effect is such that, on average, it explains the larger part of the observed negative relationship. My results might thus help to reconcile mean-variance approaches to risk-return analysis with other, ex-ante, approaches. In concluding, I show that the analysis of skewness is linked to all three streams of literature devoted to explaining the Bowman paradox.
主题	Industrial Organization
关键词	Mean-variance Risk Risk-return paradox Skewness
URL	https://cepr.org/publications/dp6546
来源智库	Centre for Economic Policy Research (United Kingdom)
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/535385
推荐引用方式 GB/T 7714	Jan Svejnar,Katherine Terrell,Yuriy Gorodnichenko. DP6546 When Does FDI Have Positive Spillovers? Evidence from 17 Emerging Market Economies. 2007.