Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/84432
Authors: 
Apreda, Rodolfo
Year of Publication: 
2007
Series/Report no.: 
Serie Documentos de Trabajo, Universidad del CEMA: Área: finanzas 356
Abstract: 
Although global investors have been paying more heed than ever to Corporate Governance for the last decade, the evolving premium risk stemming from variegated governance issues has not been factored yet into the expected return of any investor's portfolio. From a theoretical standpoint, this paper sets forth firstly a weighted-average index built up by choosing distinctive and relevant governance variables that go beyond provisions usually embedded in the founding charter. Afterwards, a measure of governance risk premium will be derived out of the index rate of change. Lastly, it will be introduced a multiplicative model of expected returns with a risk adjustment factor over the risk-free asset comprising systematic, nonsystematic, country and governance risk premiums.
Subjects: 
governance risk
governance index
governance rate
expected return
risk adjustment
JEL: 
G11
G34
G12
Document Type: 
Working Paper

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