Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/89782
Authors: 
Parigi, Bruno Maria
Pelizzon, Loriana
von Thadden, Ernst-Ludwig
Year of Publication: 
2013
Series/Report no.: 
CESifo Working Paper 4496
Abstract: 
This paper proposes a theoretical model that incorporates corporate governance into the basic CAPM, where corporate governance affects the disutility of managerial effort and the possibility of managers to divert company resources. It shows that corporate governance affects firms' stock returns and also how the quality of corporate governance is chosen endogenously. The model predicts that in equilibrium the quality of corporate governance correlates positively with â and idiosyncratic volatility and negatively with returns on assets. Various tests with U.S. firm data using the corporate governance index of Gompers, Ishii, and Metrick (2003) confirm these predictions.
Subjects: 
corporate governance
CAPM
variability of returns
JEL: 
G32
G38
K22
Document Type: 
Working Paper

Files in This Item:
File
Size





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.