Corporate Governance and Equity Risk
@inproceedings{Kind2017CorporateGA,
title={Corporate Governance and Equity Risk},
author={A. Kind and F. Menninger},
year={2017}
}This paper studies the influence of corporate governance on equity risk. By using a Regression Discontinuity Design applied to shareholder proposals which fail or pass by a small margin, we obtain causal estimates of the influence of corporate-governance provisions on three forward-looking measures of equity risk extracted from option prices: (i) total volatility, (ii) idiosyncratic volatility, and (iii) equity beta. An improvement of the G-Index by one point increases expected stock-return… CONTINUE READING
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