The Combination of Corporate Governance and Investment Policies
Date Issued
2004
Date
2004
Author(s)
Cheng, Chia-Wen
DOI
en-US
Abstract
The major intention of this paper is to clarify the relationship between corporate governance and stock valuation. If the value of corporate governance is fairly priced, investment strategies based on corporate governance practice cannot generate superior risk-adjusted return. Following the basic idea of arbitrage portfolios, we replace the past performance with integrated index, excess control and pledge ratio, which are confirmed to be decidedly influential to the stock return. Analyzing listed companies in Taiwan from 2000 to 2002, we discover that investment strategies based on the CGI, change level of CGI and pledge ratio are profitable after controlling other risk factors, but the profitability of the deviation portfolios are not verified by the empirical results.
Subjects
投資策略
公司治理
corporate governance
investment policy
Type
thesis
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