Journal of Corporate Finance · Volume 45, August 2017, Pages 122–149

被大股东没收的风险，制度质量与股票期望收益

作者：Bruce Hearna (University of Sussex), Kate Phylaktisb (Cass Business School, City University), Jenifer Piesse (Bournemouth University)

摘要：我们采用了衡量公司治理的一种新测度，以研究不完美的投资者保护对资产定价产生的影响。这个对治理的新测度被定义为一个国家的制度质量和自由流通股份比例的乘积，自由流通股份比例刻画的是控制大股东影响。我们使用了来自50个国际股票市场的4756个蓝筹股的13年月收益率数据，扩展的CAPM模型变体的测试结果表明，将基于新投资者保护指标所构建的模拟投资组合作为两因素CAPM模型中的一个因素后，该CAPM的解释力最强，特别是对于所有权类型呈现真正变化的市场。

Expropriation risk by block holders, institutional quality and expected stock returns

Bruce Hearna (University of Sussex), Kate Phylaktisb (Cass Business School, City University), Jenifer Piesse (Bournemouth University)

ABSTRACT

We study the asset pricing implications arising from imperfect investor protection using a new governance measure. This is defined as the product of institutional quality in a country and the proportion of free float shares, which captures the impact of controlling block holders. Using monthly returns of 4756 blue chip firms from 50 international equity markets for 13 years, we show through tests of variants of the augmented-CAPM, that a two factor CAPM augmented with a factor mimicking portfolio based on our new investor protection metric yields the highest explanatory power, especially for markets that exhibit true variation in ownership types.

原文链接：

http://www.sciencedirect.com/science/article/pii/S0929119916303327

翻译：陈然