Corporate Governance and Systematic Liquidity Risk

[[abstract]]近來許多研究將流動性視為資本資產定價的共同因素，並提出各種模型去衡量系統流動性風險，除了發現系統流動性風險是資產定價的重要因素之外，也發現某些公司特性會影系統流動性風險。許多研究者指出，在1997-98 年亞洲金融風暴期間，公司治理較佳的股票，其股價表現相對抗跌。因此，本文提出「飛向良好公司治理」的假說，主張當市場流動性降低時，資金會轉向公司治理較好的股票，而使公司治理較佳的股票，具有較低的系統流動性風險。本研究計畫以自創的公司治理指數，將股票依公司治理指數排序分組，並衡量各股票組合的系統流動性風險，以此檢驗公司治理與系統流動性風險的關係。[[abstract]]Asset pricing literature has focused on the ways asset prices are affected by commonality in liquidity. Some empirical models try to measure systematic liquidity risk, showing that systematic liquidity risk is important on asset pricing. In addition, some of firm’s characteristic variables can be used to predict liquidity beta. Since firms with better corporate governance seem to have better performance on their stock prices during the 1997-98 Asian financial crisis, this study plans to test the hypothesis “flight to good corporate governance.” That is, when market illiquidity rises, investors demand more stocks with better corporate governance and, as a result, reducing the systematic liquidity risk of good corporate governance stocks. To test this hypothesis, we construct a corporate governance index and sort the index to form 10 governance-based portfolios. Then, the systematic liquidity risk of each portfolio is measured by three models based on literature. Finally, the relationship between corporate governance and systematic liquidity risk is examined. Keywords: corporate governance, systematic liquidity risk, assets pricing[[note]]NSC98-2410-H327-02