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1、SystemicLiquidityandtheCompositionofForeignInvestment: TheoryandEmpiricalEvidenceTheoryandEmpiricsbyItayGoldstein,AssafRazin,andHuiTongFebruary2007ThekeypredictionofthemodelisthatcountriesthathaveahighprobabilityofanaggregateliquiditycrisiswillbethesourceofmoreF
2、PIandlessFDI.Theintuitionisthatastheprobabilityofanaggregateliquidityshockincreases,agentsknowthattheyaremorelikelytoneedtoselltheinvestmentearly,inwhichcase,iftheyholdFDI,theywillgetalowpricesincebuyersdonotknowwhethertheysellbecauseofanindividualliquidityneedo
3、rbecauseofadverseinformationontheproductivityoftheinvestment.Asaresult,theattractivenessofFDIdecreases,andtheratioofFPItoFDIincreases.“Imaginealargecompanythathasmanyrelativelysmallshareholders.Then,eachshareholderfacesthefollowingwell-knownfree-riderproblem:ift
4、heshareholderdoessomethingtoimprovethequalityofmanagement,thenthebenefitswillbeenjoyedbyallshareholders.Unlesstheshareholderisaltruistic,shewillignorethisbeneficialeffectonothershareholdersandsowillunder-investintheactivityofmonitoringorimprovingmanagement.”Oliv
5、erHart.TheEfficiencyAdvantageTheDisadvantage:APrematureLiquidationHowever,wheninvestorswanttoselltheirinvestmentprematurely,becauseofaliquidityshock,theywillgetlowerpriceiftheyareconceivedbythebuyertohavemoreinformation.Because,otherinvestorsknowThatthesellerhas
6、informationontheFundamentalsandsuspectThatthesalesresultfrombadprospectsoftheprojectRatherthanliquidityshortage.LiquidityShocksandResaleValuesThreeperiods:0,1,2;ProjectisinitiallysoldinPeriod0andmaturesinPeriod2.ProductionfunctionDistributionFunctionProductionFu
7、nction:SpecialFormInPeriod1,aftertherealizationoftheproductivityshock,Themanagerobservestheproductivityparameter.Thus,iftheownerownstheassetasaDirectInvestor,thechosenlevelofKis:ExpectedReturnInPeriod1,aftertherealizationoftheproductivityshock,Themanagerobserves
8、theproductivityparameter.Thus,iftheownerownstheassetasaDirectInvestor,thechosenlevelofKis:ExpectedReturnLiquidityShocksandResaleValuesThreeperiods:0,1,2;Projectisinit
