CONCLUSIONS - 運用公司治理指標有助於股票投資之績效嗎？美國與亞太地區之驗證

Corporate Governance system protects outside shareholders from supervisors who might steal public resource to pursue their private benefit. Generally speaking, good corporate governance increases firm value. This paper investigates this issue by using the empirical research of American and Asian Pacific samples and tries to solve this inquiry.

The empirical results reveal that T&D Rankings, which were issued by S&P’s in 2002, provided a useful benchmark for equity investment in the U.S. By F-F three-factor model, a strategy that buys firm shares with higher deciles of T&D Rankings on composite basis and sells those with lower deciles of T&D Rankings would gain abnormal return of 3% per month.

The Asian Pacific empirical results show that CG Rankings issued by CLSA for emerging markets in 2001 do not significantly raise investment performance. According to LLSV (1998), which reveals that legal laws covering protection of corporate shareholders and creditors. Countries whose legal rules are originated in the common-law tradition in particular, tend to protect investors relatively more than those countries whose laws are originated in the civil-law. In addition, this study tries to sort the stocks into portfolios by legal laws in Asian samples. However, there are not positive CG effects on investment performance in both common-law and civil-law sorted portfolios. The study also examines the legal-law sorted portfolios in nine Asian countries, and the results are inconsistent. For that reason, legal origin might not be the factor to influence the relation between CG and the performance. Eventually, the study discusses the individual effect from seven sub-categories and discovers that fairness could induce positive effect on the performance. Unfortunately, there are three sub-categories, including independence, accountability, as well as responsibility, which could influence positive effect, but even negative influence on the performance.

We do not give full support that the statement that Corporate Governance could induce positive effect on investment performance in this thesis because there are still some inconsistent results. There are inconsistent results in Asian emerging markets and developed market. The level of T&D Rankings on composite basis, which was issued by S&P’s, is positively relative to investment performance. However, the Asian empirical results do not support this statement. Some possible reasons for these different results are as follows. Firstly, Corporate Governance Indexes are lagged-information. CG effect has already been reflected on stock price. Thus, the investors could not earn the premium by Corporate Governance indices. Secondly, CG system is still on the developing stage in Asian emerging markets and the investors would not realize the concept of Corporate Governance system completely.

Thirdly, the Asian samples have been chosen. There are almost large companies in Asian samples. This might induce our empirical results insignificantly. The other potential problem is that these indexes might omit important variables in their corporate governance measurement, particularly in emerging markets. It might be the reason of incorrect response of CG effect on the performance in Asian empirical results. The investors gradually pay attention to CG system in recent years. There is still large space to improve it in whether system items or executer. In addition, there might be other unobserved firm characters to affect investment performance in the thesis. This would be the interesting discussion to be further analyzed down the line.

[APPENDIX 1] CG INDEX IN EACH SUB-CATEGORY

CG Index in Each Sub-category with Controlled BM

CG Index in Each Sub-category with Controlled Size