Time-varying relation between corporate governance and expected stock return
Issued Date
2018
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2561
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eng
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application/pdf
No. of Pages/File Size
128 leaves
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b208808
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This work is licensed under a Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.
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National Institute of Development Administration. Library and Information Center
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Citation
Kakinuma, Yosuke (2018). Time-varying relation between corporate governance and expected stock return. Retrieved from: https://repository.nida.ac.th/handle/662723737/5078.
Title
Time-varying relation between corporate governance and expected stock return
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Abstract
This paper provides the following three novel findings to the literature. First, the effects of the corporate governance ratings on stock returns are inconstant, non-liner, and time-varying over the long-run. Second, by taking advantage of the time-varying characteristics of expected returns from the quality of corporate governance, an optimal investment strategy with adaptation of Markov switching model is developed. Third, incorporation of style switching strategy with value premium in recessions and momentum premium in expansions improves expected returns of portfolios sorted by the corporate governance ratings.
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Thesis (Ph.D. (Business Administration))--National Institute of Development Administration, 2018