本篇文章主要的研究目的在於驗證公司治理是否能夠作為投資策略的準則?沿用套利投資組合的實證方法,買賣不同公司治理等級的股票,建構零成本的投資組合,並檢驗是否具有獲利機會。若公司治理已被完全反映在市場價格上,則此一投資策略無法獲取超額報酬;但若在控制了其他的因素之下,仍有獲利機會存在,則往後投資人在挑選投資標的時,可以公司治理來代替個股基本面的分析。我們使用2000~2002年台灣上市公司來進行實證,發現以綜合公司治理指標及質押比率為基礎的投資組合,在控制了其他風險因素之後仍然能賺取超額報酬;而以控制權與現金權偏離程度為基礎的投資組合,其獲利能力則不具一致性的結論。
The major intention of this paper is to clarify the relationship between corporate governance and stock valuation. If the value of corporate governance is fairly priced, investment strategies based on corporate governance practice cannot generate superior risk-adjusted return. Following the basic idea of arbitrage portfolios, we replace the past performance with integrated index, excess control and pledge ratio, which are confirmed to be decidedly influential to the stock return. Analyzing listed companies in Taiwan from 2000 to 2002, we discover that investment strategies based on the CGI, change level of CGI and pledge ratio are profitable after controlling other risk factors, but the profitability of the deviation portfolios are not verified by the empirical results.