Can governance quality predict stock market returns? New global evidence

Narayan, Paresh, Sharma, Susan and Thuraisamy, Sivananthan 2015, Can governance quality predict stock market returns? New global evidence, Pacific Basin finance journal, vol. 35, no. Part A, pp. 367-380, doi: 10.1016/j.pacfin.2015.02.007.

Attached Files
Name Description MIMEType Size Downloads

Title Can governance quality predict stock market returns? New global evidence
Author(s) Narayan, PareshORCID iD for Narayan, Paresh
Sharma, SusanORCID iD for Sharma, Susan
Thuraisamy, SivananthanORCID iD for Thuraisamy, Sivananthan
Journal name Pacific Basin finance journal
Volume number 35
Issue number Part A
Start page 367
End page 380
Total pages 14
Publisher Elsevier
Place of publication Amsterdam, The Netherlands
Publication date 2015-11
ISSN 0927-538X
Keyword(s) Country characteristics
Social Sciences
Business, Finance
Business & Economics
Summary We develop country-level governance indices using governance risk factors and examine whether country-level governance can predict stock market returns. We find that country-level governance predicts stock market returns only in countries where governance quality is poor. For countries with well-developed governance, there is no evidence that governance predicts returns. Our findings also confirm that investors in countries with weak governance can utilise information contained in country-level governance indicators to devise profitable portfolio strategies.
Language eng
DOI 10.1016/j.pacfin.2015.02.007
Field of Research 150202 Financial Econometrics
1502 Banking, Finance And Investment
1501 Accounting, Auditing And Accountability
Socio Economic Objective 900101 Finance Services
HERDC Research category C1 Refereed article in a scholarly journal
ERA Research output type C Journal article
Copyright notice ©2015, Elsevier
Persistent URL

Document type: Journal Article
Collections: Faculty of Business and Law
School of Accounting, Economics and Finance
Connect to link resolver
Link to Related Work
Unless expressly stated otherwise, the copyright for items in DRO is owned by the author, with all rights reserved.

Version Filter Type
Citation counts: TR Web of Science Citation Count  Cited 24 times in TR Web of Science
Scopus Citation Count Cited 37 times in Scopus
Google Scholar Search Google Scholar
Access Statistics: 449 Abstract Views, 5 File Downloads  -  Detailed Statistics
Created: Mon, 11 May 2015, 11:28:11 EST

Every reasonable effort has been made to ensure that permission has been obtained for items included in DRO. If you believe that your rights have been infringed by this repository, please contact