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Korean Journal of Financial Studies 2009;38(4):423-454.
Published online December 31, 2009.
Do Ex Post Corporate Governance Premia Exist in the Korean Stock Market?
Kyung Suh Park, Hee Sub Byun, Eun Jung Lee
한국주식시장에 사후적 지배구조 프리미엄이 존재하는가?
박경서, 변희섭, 이은정
Abstract
This paper analyzes whether an investment strategy where firms with good corporate governance are purchased and firms with bad corporate governance are sold would result in abnormal returns in the Korean stock market. We also check how good corporate governance can lead to a better financial decision in corporate management by checking the effect of corporate governance on the cumulative abnormal returns on dividend announcements. We finally identify those corporate governance mechanisms that contribute more to the enhancement of firm values through value increasing financial decisions. Empirical analyses using cross-sectional and time series models show that purchasing the stocks of the firms with good corporate governance and selling those stocks with bad corporate governance results in abnormal returns. The positive and significant abnormal return on corporate governance based investment strategy suggests that the current stock prices do not fully reflect the value of good corporate governance and warrants our second stage analysis. Accordingly, we find that good corporate governance is positively correlated with the abnormal returns on dividend announcements, confirming our conjecture that better corporate governance leads to better financial decisions ex post. Among corporate governance mechanisms, independent board of directors and higher payout policy are found to contribute to higher firm values.
Key Words: 기업가치,기업지배구조,배당정책,이사회,주식수익률,Board of Directors,Corporate Governance,Dividend Policy,Firm Value,Stock Return


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