公司治理好的投資組合是否會有較多的分散利益？

Abstract

在先前的研究發現，公司的反併購條款較少會有比較好的公司價值、股價表現、營運績效，研究也發現在1990-1999實行買進公司治理好的投資組合和放空公司治理差的投資組合之投資策略每年會有8.5%的異常報酬(Gompers, Ishii, and Metrick, 2003)。公司治理好的投資組合因為資訊不對稱的情況降低，所以其可分散風險較高也就是投資人會將得到的資訊迅速反映在市場上，因此如果在投資組合中納入反併購條款少的公司，會使投資組合的風險降低。 本篇利用1990-2005美國上市公司作為樣本，探討一個已持有各國國家基金的國際投資人，其使用美國公司治理指標選擇投資標的使否會獲得較多的分散利益，我們的實證結果顯示，加入美國的資產本身就會有相當程度的分散利益，公司治理好的投資組合並不一定會有較好的分散利益。

Previous researches indicate that the firms with few antitakeover provisions will have better firm value, stock return, and operating performance. The hedge portfolio that long a better corporate governance portfolio and short a worse corporate governance portfolio generates the abnormal return of 8.5% per year during the 1990 to 1999 (Gompers, Ishii, and Metrick, 2003). Firms with fewer antitakeover provisions decrease the asymmetric information to the investors. The market quickly reflects the information and adjusts the stock price to equilibrium. Thus, better corporate governance has higher idiosyncratic risk. We can reduce the portfolio risk by included the well-governed portfolio. We assume that the international investors have already hold country funds or country equity market indices. And discuss the influence of different corporate governance on original asset. Our empirical results indicate that we can gain the diversification benefits from adding the U.S assets, but better corporate governance cannot provide more diversification benefits than worse corporate governance portfolio.