The Combination of Corporate Governance and Investment Policies

• Main Authors: Chia-Wen Cheng, 鄭家雯
• Other Authors: Tsun-Siou Lee
• Format: Others
• Language: en_US
• Published: 2004
• Online Access: http://ndltd.ncl.edu.tw/handle/97970959172609976767

碩士 === 國立臺灣大學 === 財務金融學研究所 === 92 === 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.