کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
975214 | 933020 | 2015 | 14 صفحه PDF | دانلود رایگان |
• 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.
Journal: Pacific-Basin Finance Journal - Volume 35, Part A, November 2015, Pages 367–380