شاخص اداره امور شرکت و ارزش بازار شرکت ها: شواهدی سری زمان از روسیه

There is increasing evidence that broad measures of firm-level corporate governance predict higher share prices. However, almost all prior work relies on cross-sectional data. This work leaves open the possibility that endogeneity or omitted firm-level variables explain the observed correlations. We address the second possibility by offering time-series evidence from Russia for 1999–present, exploiting a number of available governance indices. We find an economically important and statistically strong correlation between governance and market value both in OLS and in fixed effects regressions with firm-index fixed effects. We also find large differences in coefficients and significance levels, including some sign reversals, between OLS and fixed effects specifications. This suggests that cross-sectional results may be unreliable. We also find significant differences in the predictive power of different indices. How one measures governance matters.

There is evidence that broad measures of firm-level corporate governance predicts higher share prices in emerging markets. This evidence comes from both single-country studies (Black, 2001 on Russia; Black et al., 2006a on Korea; Gompers et al., 2003 on the U.S.) and multicountry studies (Durnev and Kim, 2005 and Klapper and Love, 2004). However, most prior work relies on cross-sectional data. This leaves open the possibility that endogeneity or bias due to omitted firm-level variables explain the observed correlations. Here, we address the omitted variable bias issue by offering time-series evidence from Russia for 1999–2005.

Most studies of the connection between firm-level corporate governance and share prices are limited to cross-sectional data and simple OLS specifications. We study the connection between the firm-level governance of Russian firms and their market values over 1999–2005, a period of dramatic change in Russian corporate governance, using both OLS and firm fixed effects specifications. The importance of corporate governance to investors in Russian firms has spawned no less than six different indices, of which four remain active today. We draw on all six here. A combined index is economically and statistically strong with firm-index fixed effects; and is robust to choice of firm-value variable (Tobin's q, market/book, or market/sales). This work strengthens the case for a causal association between firm-level governance and firm market value, by ruling out some (though not all) of the non-causal explanations for this association.