公司治理对股票收益率的影响研究

发布时间：2018-03-01 09:30

本文关键词： 公司治理治理溢价三因素模型　出处：《山东财经大学》2013年硕士论文　论文类型：学位论文

【摘要】：麦肯锡公司对全球超过200家机构投资者的调查发现，在公司其他方面因素相同的情况下，超过80%的机构投资者愿意为治理质量好的公司股票支付更高的价格，与同类型的公司相比，亚洲市场投资者平均愿意多支付20%。公司治理制度作为对公司内外众多利益相关方权利和义务的规范，在公司的经营管理中具有重要地位，必然会影响投资者为股票支付的对价。投资者愿意多支付对价，这种意愿在资本市场上有什么样的体现，公司治理质量与股票收益率有什么样的联系，本文从实证的角度对这个问题进行了探讨。本文提出，公司治理质量的差异体现了一种治理风险，这种治理风险越大，外部投资者的权益越难以保护。治理风险越大，股票的预期收益率应该越高，以匹配预期收益的高风险。由于公司治理的概念是一系列权力义务的约定，并不是一个量化的指标，为了定量研究公司治理与股票收益率的关系，，本文构建了一个治理质量综合评价指标R，来量化评价公司的治理质量。R由6个分项指标综合计算得到，6个分项指标从股权结构、股东权利、控制人性质、董事会构成和激励机制方面反映了公司治理情况。对所有样本按照R值大小分组后，发现不同分组的收益率经过法玛三因素模型调整后并没有显著的超额收益率。这表示当前的股价水平已经包含了投资者对公司治理质量差异的预期，投资于治理质量好的组合也不能获得超额收益。本文还发现，公司治理质量越好，股票收益率对市场风险的敏感系数越小，这体现出治理质量好的公司经营更加稳健，人员配置和经营战略更加连贯。
[Abstract]:McKinsey's survey of more than 200 institutional investors around the world found that more than 80% institutional investors are willing to pay higher prices for quality corporate shares when other factors are the same. On average, investors in the Asian market are willing to pay 20 percent more than the same type of companies. Corporate governance, as a norm of the rights and obligations of a large number of stakeholders inside and outside the company, plays an important role in the operation and management of the company. It will inevitably affect the price investors pay for the stock. This paper discusses this problem from the perspective of empirical analysis. What is the expression of this willingness in the capital market, and what is the relationship between the quality of corporate governance and the stock return rate? The difference of corporate governance quality reflects a kind of governance risk. The greater the governance risk, the harder it is for the rights and interests of external investors to be protected. The greater the governance risk, the higher the expected return rate of stock should be, in order to match the high risk of expected income. Since the concept of corporate governance is a series of rights and obligations, it is not a quantitative index. In order to quantitatively study the relationship between corporate governance and stock returns, In this paper, a comprehensive evaluation index of governance quality is constructed to quantitatively evaluate the governance quality of the company. The composition of the board of directors and incentive mechanism reflect the corporate governance situation. After grouping all samples according to the R value, It is found that there is no significant excess rate of return after the adjustment of the Fama three-factor model. This indicates that the current stock price level has already included investors' expectations of the difference in corporate governance quality. It is also found that the better the corporate governance quality, the less sensitive the stock yield to the market risk, which indicates that the company with good governance quality is more stable. More coherent staffing and business strategy.
【学位授予单位】：山东财经大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F831.51;F271

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