Corporate Governance and Stock Returns in China - A Long Horizon Event Study
(2012) NEKN03 20121Department of Economics
- Abstract
- This study investigates the relationship between the adoption of ‘good’ corporate
governance practices and the subsequent stock performance of China’s publicly listed
firms. Using the Shanghai Stock Exchange Corporate Governance Index (SSE CGI) that
was launched in January 2008, a portfolio of CGI firms is benchmarked against a
portfolio of matched conventional firms, their sector indices and market index for the
four-year period following the launch. The results indicate that CGI firms were able to
significantly outperform their respective sector indices as well as the Shanghai
Composite Index, but were unable to significantly outperform their control firms matched
on size and market-to-book ratios. Additionally, wealth relative... (More) - This study investigates the relationship between the adoption of ‘good’ corporate
governance practices and the subsequent stock performance of China’s publicly listed
firms. Using the Shanghai Stock Exchange Corporate Governance Index (SSE CGI) that
was launched in January 2008, a portfolio of CGI firms is benchmarked against a
portfolio of matched conventional firms, their sector indices and market index for the
four-year period following the launch. The results indicate that CGI firms were able to
significantly outperform their respective sector indices as well as the Shanghai
Composite Index, but were unable to significantly outperform their control firms matched
on size and market-to-book ratios. Additionally, wealth relative cross-sectional
regressions compliment these results, showing no significant support for the hypothesis
that the acquisition of CG status is linked to subsequent superior performance. These
results provide evidence that Chinese investors are not yet willing to pay a premium for
CGI stocks. (Less)
Please use this url to cite or link to this publication:
http://lup.lub.lu.se/student-papers/record/3046673
- author
- Gardiner, Susannah LU
- supervisor
-
- Hans Byström LU
- organization
- course
- NEKN03 20121
- year
- 2012
- type
- H1 - Master's Degree (One Year)
- subject
- keywords
- Corporate governance, stock performance, Shanghai Stock Exchange, China
- language
- English
- id
- 3046673
- date added to LUP
- 2012-09-27 10:42:24
- date last changed
- 2012-09-27 10:42:24
@misc{3046673, abstract = {{This study investigates the relationship between the adoption of ‘good’ corporate governance practices and the subsequent stock performance of China’s publicly listed firms. Using the Shanghai Stock Exchange Corporate Governance Index (SSE CGI) that was launched in January 2008, a portfolio of CGI firms is benchmarked against a portfolio of matched conventional firms, their sector indices and market index for the four-year period following the launch. The results indicate that CGI firms were able to significantly outperform their respective sector indices as well as the Shanghai Composite Index, but were unable to significantly outperform their control firms matched on size and market-to-book ratios. Additionally, wealth relative cross-sectional regressions compliment these results, showing no significant support for the hypothesis that the acquisition of CG status is linked to subsequent superior performance. These results provide evidence that Chinese investors are not yet willing to pay a premium for CGI stocks.}}, author = {{Gardiner, Susannah}}, language = {{eng}}, note = {{Student Paper}}, title = {{Corporate Governance and Stock Returns in China - A Long Horizon Event Study}}, year = {{2012}}, }