ABSTRACT Assets managed by sovereign wealth funds (SWF) have grown nine-fold since 2002, reaching USD 8 trillion in 2018. Around 80% of these investments correspond to cross-border investments. SWFs of Arab countries, mainly oil-rich GCC economies, hold a sizable fraction of these funds (40%). Asset allocation, nevertheless, presents a significant anomaly: despite the presence of highly endowed Arab-owned SWFs, cross-border investment in Arab economies is negligible in terms of transactions as well as of value. We study the allocation decisions of SWFs, both in terms of the probability of investing abroad (extensive margin) as well as the level of investment (intensive margin). In particular, we ask whether SWF investment decisions, at both margins, are largely determined by economic factors – e.g. profitability and risk – or are also influenced by strategic considerations, such as geopolitical interests. Our findings show that, while foreign investors have a positive bias for the Arab destination countries at the extensive margin level, there is a negative bias against them at the intensive one. At the sectoral level, results are highly heterogeneous as some sectors are sensitive to institutions (e.g. industry and consumer discretionary), while others are insensitive, such as energy.

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主权财富基金和跨境投资偏向：阿拉伯国家的情况

摘要自2002年以来，主权财富基金（SWF）管理的资产增长了9倍，到2018年达到8万亿美元。其中约80％的投资属于跨境投资。阿拉伯国家的主权财富基金，主要是石油丰富的海湾合作委员会经济体，在这些基金中占有相当大的比例（40％）。但是，资产分配存在明显的异常情况：尽管存在高度赋权的阿拉伯拥有的主权财富基金，但在阿拉伯国家经济中的跨境投资无论在交易还是在价值上都是微不足道的。我们从投资海外的可能性（广泛的保证金）和投资水平（密集的保证金）两方面研究主权财富基金的分配决策。特别是，我们要问SWF的两个方面的投资决策是否主要由经济因素决定，例如 盈利能力和风险–或还受到战略考虑因素的影响，例如地缘政治利益。我们的研究结果表明，尽管外国投资者对阿拉伯目的地国在宽裕的水平上有积极的偏见，但在密集的国家对他们却有消极的偏见。在部门一级，结果是高度异类的，因为某些部门对机构（例如，行业和非必需消费品）敏感，而其他部门对能源不敏感。