作者:郝臣

关键字:公司治理 治理溢价 资产定价模型 治理指数

摘要/Abstract

在界定公司治理溢价的基础上,基于Fama-French三因子定价模型检验中国股票市场是否存在公司治理溢价。依据利用32个反映上市公司治理状况的指标进行因子分析计算出的指数构建投资组合,结果显示在考虑市场溢价因子和Fama-French模型三因子的情况下,模型截距项即超额回报随着组合公司治理水平的提高呈现出总体上增大的趋势;买入公司治理好的组合股票,卖出公司治理差的组合股票,可获得超额回报,在应用Fama-French模型的情况下,中国股市存在36%的公司治理溢价。最后从公司治理价值相关性的视角解释了治理溢价的存在。公司治理溢价的存在有利于提高我国上市公司治理水平和资本市场的效率。

After defining corporate governance premium, this paper tests whether there is corporate governance premium on the Chinese stock markets using Fama-French three factors pricing model. We use factor analysis results to construct portfolio. The paper puts forward intercepts shows increasing trends with the increased level of corporate governance among different portfolios, we can get 36% the abnormal returns when we buy the good corporate governance portfolio and sell the poor one with Fama-French model. In addition, we explain the phenomenon from the aspect of corporate governance value relevance. The phenomenon mentioned above is inductive to the corporate governance and market efficiency.