Corporate Governance, Learning and Stock Returns

• Main Authors: Yu,Chia-Te, 俞佳德
• Other Authors: 黃宜侯
• Format: Others
• Language: zh-TW
• Published: 2016
• Online Access: http://ndltd.ncl.edu.tw/handle/y75v42

碩士 === 國立交通大學 === 財務金融研究所 === 104 === The learning effect is: from 1990 to 2000, we can use the E Index to explan the excess return, however, the correlation disappeares subsequently. We use the method of Bebchuk et al. (2009) to construct the E Index, and use the factors in Fama-French five-factor model as control variables to test whether the learning effect still exists. We use MISPP (the absolute value of MISP, which is the Mispricing Index) as the proxy of learning effect and add the information variables to better describe the learning process. In addition, we construct the E Index from 2007 to 2014 as new sample period and find out that there is a new interpretation in this sample period. The E Index should be a proxy of the independency and the stability of the strategy for the specific company during the new sample period.