Corporate Governance and Conditional Skewness in the World’s Stock Markets
In this paper, we investigate why stock returns in emerging markets tend to be more positively skewed than those in developed markets tend to be. We argue that differences in the quality of corporate governance matter for return skewness. There are two reasons for this phenomenon. First, poorly governed economies facilitate risk sharing among affiliated firms. Second, the lack of mechanisms to govern managerial discretion in poorly governed economies or firms allows managers to have a wider scope to hide bad news. Using return data from more than 14,000 individual stocks in 38 countries around the world, we find that positive skewness is most profound in stocks from markets that have poor corporate governance. In addition, our results are robust to a variety of model specifications, different measures of return asymmetries, and alternative measures of corporate governance. Finally, analogous results are also obtained from aggregate stock market returns.
Kee-Hong Bae Chanwoo Lim K.C. John Wei
College of Business Administration Korea University Seoul, Korea Department of Finance Hong Kong University of Science and Technology Clear Water Bay, Kowloon, Hong
国际会议
昆明
英文
2005-07-05（万方平台首次上网日期，不代表论文的发表时间）