公司治理水平对股票资产定价的影响研究——基于扩展的Fama-French三因子模型实证分析

Research on the Influence of Corporate Governance on the Pricing of Stock Assets--An Empirical Analysis Based on Extended Fama-French Three-Factor Model

鉴于公司治理的重要性,越来越多的上市公司开始注重治理水平的提升,同时投资者购买股票时考虑公司治理水平。然而鲜有学者将公司治理水平考虑到资本资产定价模型中,公司治理水平是否会对股票资产定价产生影响及如何产生影响有待深入研究。本文基于Fama-French三因子模型,创新性地将公司治理水平作为溢价因子考虑到资本资产定价模型当中进行实证分析,对传统的Fama-French模型进行了扩展,旨在基于扩展的资本资产定价模型探讨我国上市公司治理水平是否会对股票资产定价产生影响,具有一定的理论意义。实证结果表明,公司治理水平有益于诠释股票组合的收益率,表现在公司治理因子回归系数显著,但扩展模型的R2相比于传统的Fama-French模型提高比率较低,说明公司治理水平对股票异常收益率解释力的提升程度较小。基于此,本文从信息披露机制不完善和我国上市公司股权结构不合理两方面分析了原因,对我国上市公司治理及股票市场的发展具有一定的现实意义。

Given the importance of corporate governance,more and more listed companies are beginning to focus on improving governance levels,while investors consider corporate governance when buying stocks.However,few scholars have considered the level of corporate governance in the capital asset pricing model.Whether the level of corporate governance will affect the pricing of stock assets and how it will affect is yet to be further studied.Based on the Fama-French three-factor model,this paper innovatively considers the corporate governance level as a premium factor in the capital asset pricing model for empirical analysis.The traditional Fama-French model is extended to extend the capital asset pricing model.It is of theoretical significance to explore whether the governance level of listed companies in China will have an impact on the pricing of stock assets.The empirical results show that the corporate governance level beneficial to interpret the return ratio of the stock portfolio,which is reflected in the significant regression coefficient of the corporate governance factor,but the R^2 of the extended model is lower than the traditional Fama-French model,indicating that the corporate governance level has a lesser degree of explanatory power.Based on this,this paper analyzes the reasons from the imperfect information disclosure mechanism and the unreasonable shareholding structure of listed companies in China,which has certain practical significance for the governance of listed companies and the development of stock market in China.