Abstract: This paper construct a “Governance Index” which uses the incidence of 71 governance rules according to governance mechanism of China’s listed companies and investigates the impact of corporate governance on equity return. We use three-factor model of Fama-French (1993) to control the effect of market system risk, size factor and book-to-market ratio factor and to get abnormal stock return by using rolling regression. We find that internal governance index is positively significant with abnormal return, while external governance index and total governance index are not. Our results are robust to excluding effects of firm’s growth, capital market, background, year and industry. Our results provide empirical evidence for stock holder to improve governance, regulator to exact governance regulation and investor to format investing strategies.

摘要： 依据上市公司治理中的机制设计，选择47项指标综合衡量公司治理质量，并从资本市场研究治理机制作用。研究结果发现在控制公司成长性、资本市场风险、制度背景、年度和行业变量下，通过滚动回归逐步剔除市场风险因子、公司规模因子和账面市值比因子的影响后，公司治理质量的进步将显著提高公司对应在下年度的超额回报率，公司治理溢价存在。研究结果为股东改善公司治理质量、监管机构对公司治理实施监管和投资者制定投资策略提供了经验证据。