Corporate Governance and Expected Stock Returns: Evidence from Germany
构建德国上市公司治理评级，发现治理好的公司估值更高，且预期股票收益与治理质量负相关；买入高评级、卖空低评级公司的策略年化超额收益约12%。
Abstract Recent empirical work shows evidence for higher valuation of firms in countries with a better legal environment. We investigate whether differences in the quality of firm‐level corporate governance also help to explain firm performance in a cross‐section of companies within a single jurisdiction. Constructing a broad corporate governance rating (CGR) for German public firms, we document a positive relationship between governance practices and firm valuation. There is also evidence that expected stock returns are negatively correlated with firm‐level corporate governance, if dividend yields are used as proxies for the cost of capital. An investment strategy that bought high‐CGR firms and shorted low‐CGR firms earned abnormal returns of around 12% on an annual basis during the sample period.