کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
975214 933020 2015 14 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Can governance quality predict stock market returns? New global evidence
ترجمه فارسی عنوان
آیا می توان کیفیت حکومت بازده بازار سهام را پیش بینی کرد؟ شواهد جهانی جدید ؟؟
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
چکیده انگلیسی


• We test whether governance predicts stock returns for 38 countries.
• A time-series governance index is created.
• We find that for 10 of these countries stock returns are predictable.
• A mean-variance investor is able to make statistically significant profits in predictable stock markets.

We develop country-level governance indices using governance risk factors and examine whether country-level governance can predict stock market returns. We find that country-level governance predicts stock market returns only in countries where governance quality is poor. For countries with well-developed governance, there is no evidence that governance predicts returns. Our findings also confirm that investors in countries with weak governance can utilise information contained in country-level governance indicators to devise profitable portfolio strategies.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Pacific-Basin Finance Journal - Volume 35, Part A, November 2015, Pages 367–380
نویسندگان
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