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在界定公司治理溢价的基础上,基于Fama-French三因子定价模型检验中国股票市场是否存在公司治理溢价。利用32个反映上市公司治理状况的指标进行因子分析计算出的指数构建投资组合,结果显示在考虑市场溢价因子和Fama-Ftench模型三因子的情况下,模型截距项即超额回报随着组合公司治理水平的提高呈现出总体上增大的趋势;买入公司治理好的组合股票,卖出公司治理差的组合股票,可获得超额回报,在应用Fama-French模型的情况下,中国股市存在36%的公司治理溢价。最后从公司治理价值相关性的视角解释了治理溢价的存在。本文结论为公司治理溢价的存在有利于提高我国上市公司治理水平和资本市场的效率。
On the basis of defining the corporate governance premium, we test whether there is a corporate governance premium in the Chinese stock market based on the Fama-French three-factor pricing model. Using 32 indexes reflecting the governance status of listed companies, the factor analysis is used to construct the investment portfolio. The result shows that the model intercept is the excess return considering the market premium factor and Fama-Ftench model three factors. As the combined company The improvement of the governance level shows an overall trend of increasing. Buying a portfolio of well-managed companies and selling portfolio stocks with poor corporate governance can yield excess returns. In the case of the Fama-French model, the Chinese stock market has 36 % Of corporate governance premium. Finally, we explain the existence of governance premium from the perspective of corporate governance value relevance. The conclusion of this paper is that the existence of corporate governance premium helps to improve the governance level of listed companies in our country and the efficiency of capital markets.