Kurumsal Yönetim ve Portföy Performansı: BRICS Ülkeleri Örneği

Year 2021, , 57 - 72, 03.10.2021

Aslı Aybars , Mehtap Öner , Emre Zehir

https://doi.org/10.33203/mfy.829883

Cited By: 1

Abstract

Son yıllarda ortaya çıkan kurumsal yönetim skandalları ile birlikte firmalar şeffaf ve hesap verebilir bir yapıya ulaşmak için kurumsal yönetim uygulamalarını arttırmışlardır. Bu uygulamaların firmaların finansal performansı ve hisse getirisi üzerindeki olası etkisi de dikkat çeken araştırma konularından biri olmuştur. Bu çalışmada 2011-2019 döneminde BRICS ülkeleri hisse senedi piyaslarında kurumsal yönetim uygulamalarına sahip firmalardan oluşturulan portföylerin performansları incelenmiştir. Finansal Varlıkları Fiyatlama Modeli ve Fama-French Üç Faktör Modeli kullanılarak yapılan analizler kurumsal yönetim skoruna göre oluşturulan portföylerde etkin piyasa hipotezi ile uyumlu olarak normal üstü getiri elde edilemediğini ve pazar risk priminin de portföy getirisi üzerinde anlamlı bir etkisinin olmadığını göstermiştir.

Keywords

Kurumsal Yönetim, Portföy Performansı, Etkin Piyasalar, BRICS

Corporate Governance and Portfolio Performance: Evidence from BRICS Countries

Abstract

Together with the corporate governance scandals in last two decades, firms have increased corporate governance applications to achieve transparent and accountable structures. These applications’ impact on firms’ financial performance and stock returns has become an appealing research topic. In this paper, the performance of portfolios constructed with BRICS firms having corporate governance applications between years 2011-2019 have been investigated by utilizing CAPM and Fama-French Three Factor Model. The findings show no abnormal returns in portfolios formed on the basis of corporate governance scores consistent with the Efficient Market Hypothesis. Furthermore, market risk premium has also no impact on portfolio returns.

Keywords

Corporate Governance, Portfolio Performance, Efficient Markets, BRICS

References

• Aman, H., Nguyen, P. (2008). Do stock prices reflect the corporate governance quality of Japanese firms? J. Japanese Int. Economies, 22, 647-662.
• Auer, B. R., & Schuhmacher, F. (2016). Do socially (ir)responsible investment pay? New evidence from international ESG data. The Quarterly Revies of Economics and Finance, 59, 51-62.
• Bauer, R. M. M. J., Günster, N. K. ve Otten, R. R. A. E. (2004). Empirical Evidence on Corporate in Europe: The Effect on Stock Returns, Firm Value and Performance. Journal of Asset Management, 5(2), 91-104.
• Bebchuk, L. A., Cohen, A., ve Wang, C. C. Y. (2013). Learning and the disappearing association between governance and returns. Journal of Financial Economics, 108, 323-348.
• Brooks, C. (2008). Introductory Econometrics for Finance, Cambridge University Press, New York, , Second Edition.
• Carvalhal, A. ve Nobili, C. (2011). Does corporate governance matter for stock returns? Estimating a four-factor asset pricing model including a governance index. Quantitative Finance, 11(2), 247-259.
• Celik, S., Aktan, B., Tvaronaviciene, M. Ve Bengitoz, P. (2017). Linkage between Company Scores and Stock Returns. Journal of International Studies, 10(1), 219-232.
• Drobetz, W., Schillhofer, A. ve Zimmermann H. (2004). Corporate Governance and Expected Stock Returns: Evidence from Germany. European Financial Management, 10(2), 267-293.
• Dünya Bankası, https://datatopics.worldbank.org/world-development-indicators/stories/services-drive-economic-growth.html, (tarih: 29.11.2019).
• Fama, E. F., & French, K. R. (1992). The cross‐section of expected stock returns. the Journal of Finance, 47(2), 427-465.
• Fama, E. F. Ve French, K. (1993). Common Risk Factors in the Return on Stocks and Bonds. Journal of Financial Economics, 33(1), 3-56.
• Fischer, K. ve Khoury, N. (2007). The Impact of Ethical Ratings on Canadian Security Performance: Portfolio Management and Corporate Governance Implications. The Quarterly Review of Economics and Finance,47, 40–54.
• Gompers, P., Ishii, J. ve Metrick, A. (2003). Corporate Governance and Equity Prices, The Quarterly Journal of Economics, 118, 107-155.
• İçke, B. T., İçke, M. A., Aytürk, Y. (2011). Corporate Governance and Stock Returns in Istanbul Stock Exchange, Journal of Accounting and Financa, 11(2), s. 128-138.
• Kempf, A., Osthoff, P. (2007). The Effect of Socially Responsible Investing on Portfolio Performance, European Financial Management, Vol. 13, No. 5, s. 908–922.
• Kouwenberg, R., Salomons, R., & Thontirawong, P. (2014). Corporate governance and stock returns in Asia. Quantitative Finance, 14(6), 965-976.
• Newey, W. K., & West, K. D. (1987). Hypothesis testing with efficient method of moments estimation. International Economic Review, 777-787.
• Turnacıgil, S., Güler, H., Doğukanlı, H. (2019). The Effect of Corporate Governance on Stock Returns by PVAR : An Investigation in BIST, Uluslararası Ekonomi, İşletme ve Politika Dergisi, 3(2), s.367-380.
• Türkiye Kurumsal Yönetim Dernegi ve Deloitte. (2006). ‘Nedir Bu Kurumsal Yönetim?’ İstanbul.