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Corporate Governance and Stock Returns in China - A Long Horizon Event Study

Gardiner, Susannah LU (2012) NEKN03 20121
Department 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)
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author
Gardiner, Susannah LU
supervisor
organization
course
NEKN03 20121
year
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},
  keyword      = {Corporate governance,stock performance,Shanghai Stock Exchange,China},
  language     = {eng},
  note         = {Student Paper},
  title        = {Corporate Governance and Stock Returns in China - A Long Horizon Event Study},
  year         = {2012},
}