CORPORATE GOVERNANCE AND CAPITAL ASSET PRICING MODELS

ABSTRACT Purpose: This study aimed to analyze the inclusion of corporate governance in the explanation of Fama and French’s (1993, 2015) three and five-factor asset pricing models. Originality/value: This research differs from other works by inserting corporate governance as an explanatory factor in the pricing model of financial assets. Thus, it is intended to contribute to the research area by trying to identify previously unexplored characteristics, as the proposed method, that helps and adds explanation to the pricing models of financial assets, thus helping investors and professionals in the financial area. Design/methodology/approach: The research sample consists of 387 companies listed in B3, in the period between 2012 and 2016. For data analysis, panel data regressions were used according to the methodology of Fama and French studies (1993, 2015) through the Stata software. Findings: The results indicate that corporate governance has a negative impact on the return of the actions of small companies with lower levels of corporate governance and that the reverse is true for large companies with high levels of governance. Other variables were also found to be impacting on stock returns, such as market value, book-to-market, profitability, and investments.

摘要
研究目的：本研究旨在分析公司治理在法玛-弗伦奇（Fama and French）1993年、2015年提出的三因子与五因子资产定价模型的解释体系中的纳入情况。
原创性/价值：本研究将公司治理作为金融资产定价模型的解释因子，这一设计使其区别于其他同类研究。本研究拟通过所提出的方法识别此前未被发掘的特征，为金融资产定价模型的解释力提升提供补充，进而助力金融领域的投资者与专业从业者。
研究设计/方法：本研究样本涵盖2012年至2016年间在B3证券交易所上市的387家公司。数据分析环节，依据法玛-弗伦奇（1993、2015）的研究方法，借助Stata统计软件开展面板数据回归分析。
研究发现：结果表明，公司治理对治理水平较低的小型上市公司的股票收益具有负向影响，而对于治理水平较高的大型上市公司，其影响则恰好相反。此外研究还发现，市值、账面市值比、盈利能力与投资水平等其他变量同样会对股票收益产生影响。