Sovereign wealth funds (SWFs) are investment portfolios and savings funds that are controlled and actively managed by a sovereign government. In this paper, we document the investment behaviour of a specific fund, Temasek Holdings, which is the Singapore government’s SWF. Using a sample...

Capital market theory is concerned with the equilibrium relationship between risk and expected return on risky assets. Within this framework, this paper seeks to extend the mounting evidence against the view that the beta coefficient of the Capital Asset Pricing Model is the sole measure of...