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

Abstract

本文以美國投資者角度，分析在美國市場與亞太新興市場中，公司治理評等指標是否將有助於投資績效之提升。主要實證結果如下：第一，美國市場中，混合揭露基礎下之公司治理評等指標對投資績效有正面效果；第二，在亞太新興市場中，公司治理評等無法為投資績效帶來助益甚至具有反向之效果；第三，利用LLSV(1998)文獻指出國家不同法源將對投資人保護程度有所差異，本文在此顯示國家所屬之法律體制並非影響公司治理評等對投資績效效果之因素；第四，利用里昂證券對亞太新興市場制定治理評等之七大項目，本文發現其中唯有公平性(fairness)有助於投資績效提升，然而，董監事獨立性(independence)、可信賴性(accountability)與責任性(Responsibility)則對投資績效無法產生正面效果且有反向反應產生。

This is the first study that investigates the relation between Corporate Governance and investment performance from the point of view of American investors. We utilize the empirical finding of American and the Asian-Pacific’s samples and show that better disclosure rankings on a composite basis result in higher investment performance in American samples. However, in the Asian-Pacific samples, the Corporate Governance rankings of Credit Lyonnais Securities Asia (CLSA) do not show useful information in investors’ portfolio decision. The research also considers the performance of different corporate governance portfolios under different legal origins. The results do not support the hypothesis that corporate governance index of CLSA provides useful information of portfolio decisions for countries with weak legal origin.