公司治理指標運用於投資組合分散策略—以美國股市和ADR市場為例

Abstract

本研究探討較佳的公司治理是否能帶來較多的分散利益。我們以1990年至2005年的美國股市為測試資產，ADR市場為基礎資產，並沿用Gompers, Ishii, and Metrick等人於2003年建構的公司治理指標(G-index)，將測試資產之投資組合分為具有較佳公司治理的公司(G<=5)與較差公司治理的公司(G>=14)。為精確探討這些公司分別對投資組合分散效益的影響，因此使用平均數-變異數擴張檢定，觀察基礎資產之效率前緣在加入測試資產前後的移動。本文實證結果指出，在1990年至2005年間具有較佳公司治理的公司之股票並不能比公司治理差的公司之股票帶來較多的分散效益。但在1990至1999年的樣本結果中，公司治理較好的公司卻能夠比公司治理較差的公司帶來明顯較佳的分散效益。最後本文以2000年左右發生的網路泡沫化與Core, Guay, and Rusticus (2006)年提出的特定時間效果之說法來解釋我們的結果。

The purpose of this study is to examine whether stocks of better corporate governance firms provide better diversification benefits. We investigate the effects of the mean-variance frontiers before and after adding stocks of well-governed/badly governed firms to a set of benchmark assets sorted by the American Depository Receipts (ADRs) of 12 countries. We find that in the full sample period from 1990 to 2005, stocks of well-governed firms cannot provide more diversification benefits than stocks of badly-governed firms. However, during the sub-sample period from 1990 to 1999, stocks of strong governance firms can significantly improve the investment opportunity set more than that of stocks of weak governance firms. Overall, we consider the influence of the “Internet bubble” around April 2000, which is the “time-period-specificity” period suggested by Core, Guay, and Rusticus (2006), which helps to provide evidence to confirm our results.