《跨国公司财务管理基础》教师手册 (13)[15页]
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CHAPTER 13: INTERNATIONAL PORTFOLIO INVESTMENT 1 CHAPTER 13 INTERNATIONAL PORTFOLIO INVESTMENT The basic message of this chapter is that international stock and bond diversification can provide substantially higher returns with less risk than investment in a single market. A major reason is that international investment offers a much broader range of opportunities than domestic investment alone, even in a market as large as the U.S. An investor restricted to the U.S. stock market, for example, is cut off, in effect, from about two-thirds of the available investment opportunities. International diversification pushes out the efficient frontier – the set of portfolios that has the smallest possible standard deviation for its level of expected return and has the maximum expected return for a given level of risk--allowing investors simultaneously to reduce their risk and increase their expected return. The chapter shows how to measure the total dollar return on foreign currency-denominated securities as well as how to estimate the risk-return trade-off associated with foreign portfolio investing. It does this by providing the formulas for the expected return and standard deviation for a portfolio consisting of a fraction a invested in U.S. stocks and the remaining fraction, 1 - a, invested in foreign stocks. The chapter details the several ways in which U.S. investors can diversify into foreign securities: buying stocks of firms that have listed their securities on the New York Stock Exchange or the American Stock Exchange; buying American Depository Receipts or American shares; and buying shares in the growing number of internationally diversified mutual funds. SUGGESTED ANSWERS TO “DEUTSCHE BANK LISTS AS A GLOBAL SHARE” 1. List the pros and cons of Deutsche Bank listing on the NYSE as a global share instead of an ADR. ANSWER. Pros include the savings to U.S. investors in trading Deutsche Bank global shares as opposed to ADRs, the fact that it can be traded in dollars, and the increased expected demand for Deutsche Bank’s global shares given this greater trading convenience and lower trading costs. These features should translate into a higher issue price for Deutsche Bank’s global shares. Negatives include the higher costs to Deutsche Bank associated with a global share issue along with the need to coordinate clearing and settlement systems and regulatory issues between the U.S. and German markets. 2. Are these pros and cons of a GSR issue likely to change over time? In which direction? ANSWER. Yes. As markets increasingly move toward 24-hour-a-day trading, the necessary coordination of clearing and settlement systems will naturally occur. The result will be to lower the costs of global shares relative to ADRs. 3. What changes would increase the desirability of issuing global shares? ANSWER. Greater coordination of clearing and settlement systems across countries would increase the desirability of issuing global shares. In addition, greater harmonization of regulatory systems and rules would lower the cost and increase the desirability of global shares. INSTRUCTORS MANUAL: FOUNDATIONS OF MULTINATIONAL FINANCIAL MANAGEMENT, 6TH ED. 2 SUGGESTED ANSWERS TO CHAPTER 13 QUESTIONS 1. What characteristics of foreign securities lead to diversification benefits for American investors? ANSWER. The two basic characteristics are: i Many foreign securities are issued by companies that produce goods and services not available from U.S. companies. ii) All U.S. companies are more or less subject to the same cyclical economic fluctuations. Foreign securities by contrast involve claims on economies whose cycles are not perfectly in phase with the U.S. economic cycle. Thus, just as movements in different stocks partially offset one another in an all-U.S. portfolio, so also movements in U.S. and non-U.S. stocks cancel out each other somewhat. 2. Will increasing integration of national capital markets reduce the benefits of international diversifications? ANSWER. Despite increasing integration of national capital markets, they still don’t march in lock step. Some economies and, hence, their markets will do better than others at any given time, so having stakes in several countries still spreads risks. Nonetheless, increasing integration could lead to more co-movement in common risk factors (e.g., real interest rate changes). If so, this will increase the correlation of national markets and decrease the risk-reducing benefits of diversifying internationally. Ultimately, it’s an empirical issue, and one that should be addressed, as to whether the benefits of international investing are declining. My sense is that international investing can still reduce portfolio risk but the degree of risk reduction is less today than in the past. 3. Studies show that the correlations between domestic stocks are greater than the correlations between domestic and foreign stocks. Explain why this is likely to be the case. What implications does this fact have for international investing? ANSWER. Domestic stocks are more highly correlated because they are all subject in one way or another to the state of the domestic economy. The lower correlations between domestic and foreign stocks reflect the lower correlations between the domestic and foreign economies. These lower correlations also imply that international investing is likely to lead to greater diversification than just investing across industries within a country. As the text shows, these lower correlations appear to be persisting despite the greater integration of the global economy. 4. Who is likely to gain more from investing overseas, a resident of the U.S. or of Mexico? Explain. ANSWER. Mexican investors will gain much more from international investing. The size of the U.S. economy is such that the U.S. and world stock markets are highly correlated whereas the Mexican stock market, being much smaller, shows a much lower correlation with the world stock market. The result is greater diversification (and, hence, risk reduction) benefits for the Mexican investor than for the U.S. investor. In addition, the U.S. has a much greater range of industries than does Mexico, giving much more scope for industry diversification outside Mexico than would be true for a U.S. investor who has access to such a broad range of industries already. 5. Suppose Mexican bonds are yielding more than 100% annually. Does this high yield make them suitable for American investors looking to raise the return on their portfolios? Explain. CHAPTER 13: INTERNATIONAL PORTFOLIO INVESTMENT 3 ANSWER. These returns are denominated in nominal peso terms, subjecting them to currency risk. Nonetheless, holding a small percentage of your portfolio in Mexican bonds will reduce its risk, without sacrificing expected return. This is because arbitrage will equilibrate expected returns across countries at the same time that the actual returns from the Mexican peso bonds are relatively uncorrelated with returns on the U.S. stock market. Hence, the primary reason for holding Mexican bonds is to reduce risk, not raise expected return. 6. According to one investment advisor, “I feel more comfortable investing in Western Europe or Canada. I would not invest in South America or other regions with a record of debt defaults and restructuring. The underwriters of large new issues of ADRs of companies from these areas assure us that things are different now. Maybe, but who can say that a government that has defaulted on debt won't change the rules again?” Comment on this statement. ANSWER. True. A nation that has already defaulted on its debt is less trustworthy than one that never has. However, this possibility has already been factored into the prices of that nation’s bonds and stocks in the form of a large discount to what they would sell for absent that past experience. The important question is whether the discount is high enough to provide an expected return high enough to compensate for those risks. If so, Latin American stocks and bonds would be a reasonable investment since they would provide additional diversification benefits. 7. As noted in the chapter, from 1949 to 1990, the Japanese market rose 25,000%. 7.a. Given these returns, does it make sense for Japanese investors to diversify internationally? ANSWER. Note that the same argument could be made as to why non-Japanese investors should also invest all their money in Japan. Implicit in this argument is the expectation that historically high returns will persist into the future. Such an expectation is an unreasonable one in efficient markets. Thus, unless one unrealistically expects these superior returns to persist into the future, diversification would make sense for both Japanese and non-Japanese investors. The benefits of this diversification were pointed out in 1990, when the Tokyo Stock Exchange fell 35% in dollar terms (39% in yen), while the Morgan Stanley Capital International World Index fell by “just” 18.6% in dollar terms. 7.b. What arguments would you use to persuade a Japanese investor to invest overseas? ANSWER. Here are two arguments. First, you can’t expect stock markets to keep going up in a straight line. All markets entail risk, and one way to counter that risk is through diversification. This argument should by now be bolstered by the crash of the Japanese stock market in 1990. Second, to the extent that the Japanese investor consumes foreign goods and services, international investing can reduce the risk associated with the investor’s consumption stream by matching foreign currency inflows with foreign currency outflows. For example, if the yen depreciates, the higher yen cost of buying foreign goods and services will be offset by the higher yen value of foreign assets. 本文来源：https://www.wddqw.com/doc/7fd5c401753231126edb6f1aff00bed5b9f37375.html