TY - JOUR
T1 - How does corporate governace pay off? Evidence from Korean stock listings
AU - Choi, Paul Moon Sub
AU - Choi, Joung Hwa
AU - Son, Mookyong
N1 - Funding Information:
This work was supported by the Ministry of Education of the Republic of Korea and the National Research Foundation of Korea (NRF-2016S1A5B5A07915509).
Publisher Copyright:
© Paul Moon Sub Choi, Joung Hwa Choi, Mookyong Son, 2016.
PY - 2016
Y1 - 2016
N2 - Corporate governance is an envelope for the mechanisms, processes and relations through which corporations are controlled and guided. Consequently, corporate governance affects operational performance and, in turn, stock returns, as Gompers et al. (2003) find. In this research, we use the Korea Corporate Governance Stock Price Index (KOGI) to test a possible linkage between corporate governance and shareholder wealth in Korea. Factor mimicking portfolios sorted per KOGI are constructed to estimate a corporate governance risk factor ("good minus bad"). By augmenting this new factor to the existing factor models (Fama and French, 1993; Carhart, 1997) to fit multiply imputed data, we find evidence that corporate governanceinfluences stock pricing in Korea.
AB - Corporate governance is an envelope for the mechanisms, processes and relations through which corporations are controlled and guided. Consequently, corporate governance affects operational performance and, in turn, stock returns, as Gompers et al. (2003) find. In this research, we use the Korea Corporate Governance Stock Price Index (KOGI) to test a possible linkage between corporate governance and shareholder wealth in Korea. Factor mimicking portfolios sorted per KOGI are constructed to estimate a corporate governance risk factor ("good minus bad"). By augmenting this new factor to the existing factor models (Fama and French, 1993; Carhart, 1997) to fit multiply imputed data, we find evidence that corporate governanceinfluences stock pricing in Korea.
KW - CG
KW - Factor-mimicking portfolio
KW - Long-short portfolio
KW - Multiple imputation
KW - Risk factor
UR - http://www.scopus.com/inward/record.url?scp=85011886980&partnerID=8YFLogxK
U2 - 10.21511/imfi.13(4-1).2016.08
DO - 10.21511/imfi.13(4-1).2016.08
M3 - Article
AN - SCOPUS:85011886980
SN - 1810-4967
VL - 13
SP - 225
EP - 230
JO - Investment Management and Financial Innovations
JF - Investment Management and Financial Innovations
IS - 4
ER -