Luxembourg School of Finance, University of Luxembourg, Luxembourg, Luxembourg.
PLoS One. 2019 Apr 5;14(4):e0214930. doi: 10.1371/journal.pone.0214930. eCollection 2019.
In this paper, I aim to explore the effect of good governance on equity returns, and empirically investigate if governance at the country level has asset pricing implications and contributes to the idiosyncrasy of price jumps. Jumps are found to be far less systematic than the smooth (non-jump) component of country price indexes. Hence, if jumps are more idiosyncratic, governance should primarily affect the jump risk component. This is good news for international investors, because diversification provides insurance against jumps. Relying on an equilibrium asset-pricing model in an economy under jump diffusion, I decompose the moments of the returns of international stock markets into a diffusive (systematic) risk and a (idiosyncratic) jump risk part. For a balanced panel of 52 countries, my results suggest that governance is an important determinant of (idiosyncratic) jump risk. Stock markets in poorly governed countries are characterized by higher volatility and more negative return asymmetry, primarily driven by the higher jump risk. Regulatory quality, the government effectiveness and the control of corruption appear to be most important. Results are robust to the inclusion of various controls for other country- or market-specific characteristics.
本文旨在探讨良好治理对股权回报的影响，并实证研究国家层面的治理是否具有资产定价意义，并对价格跳跃的特质产生影响。研究发现，跳跃远不如国家价格指数的平滑（非跳跃）部分系统。因此，如果跳跃更具特质性，那么治理应该主要影响跳跃风险成分。这对国际投资者来说是个好消息，因为多元化提供了跳跃风险的保险。在跳跃扩散的经济环境下，我依赖均衡资产定价模型，将国际股票市场的回报矩分解为扩散（系统）风险和（特质）跳跃风险部分。对于一个由 52 个国家组成的平衡面板，我的结果表明，治理是（特质）跳跃风险的一个重要决定因素。治理不善的国家的股票市场波动性更高，负向回报不对称性更大，主要是由更高的跳跃风险驱动的。监管质量、政府效能和腐败控制似乎最为重要。结果在纳入其他国家或市场特定特征的各种控制变量后仍然稳健。
