Does corporate governance still affect firm performance after controlling the distress factor?

Syouching Lai, Hung-chih Li, Bin Li

研究成果: Article

摘要

We explore the impact of corporate governance on firm performance. We first identify whether corporate governance can still be an influential factor or has been largely captured by the traditional Fama-French three-factor model. More importantly, our study adds a financial distress factor to the Fama-French three-factor model to form a four-factor pricing model (labelled as the ‘financial distress four-factor model’). We find that for the US Russell 1000 firms, the financial distress four-factor model is the better model of the two models considered. We further find that the financial distress four-factor model has a higher explanatory power in capturing the return variation. We find that the differences between the return of firms with good (weak) corporate governance and the expected return are insignificantly different from zero for most portfolios in all the two models. The financial distress four-factor model, however, has the fewer portfolios with return difference being significantly different from zero, implying that corporate governance has been better priced in the financial distress factor.

原文English
頁(從 - 到)1197-1209
頁數13
期刊Applied Economics
48
發行號13
DOIs
出版狀態Published - 2016 三月 15

All Science Journal Classification (ASJC) codes

  • Economics and Econometrics

指紋 深入研究「Does corporate governance still affect firm performance after controlling the distress factor?」主題。共同形成了獨特的指紋。

  • 引用此