Learning and the disappearing association between governance and returns

• 成果类型: Article
• 署名作者: Bebchuk, Lucian A.; Cohen, Alma; Wang, Charles C. Y.
• 署名单位: National Bureau of Economic Research; Harvard University; Tel Aviv University; Harvard University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2012.10.004
• 发表日期: 2013
• 页码: 323-348
• 关键词: CORPORATE GOVERNANCE; Governance indices; GIM; G-Index; E-Index; SHAREHOLDER RIGHTS; entrenchment; market efficiency; learning; Earning announcements; Analyst forecasts; IRRC provisions; behavioral finance; asset pricing

摘要

The correlation between governance indices and abnormal returns documented for 1990-1999 subsequently disappeared. The correlation and its disappearance are both due to market participants' gradually learning to appreciate the difference between good-governance and poor-governance firms. Consistent with learning, the correlation's disappearance was associated with increases in market participants' attention to governance; market participants and security analysts were, until the beginning of the 2000s but not subsequently, more positively surprised by the earning announcements of good-governance firms; and, although governance indices no longer generated abnormal returns during the 2000s, their negative association with firm value and operating performance persisted. (C) 2012 Elsevier B.V. All rights reserved.