Corporate Governance and Firms' Market Values: Time Series Evidence from Russia

Sandra E. Black (), Inessa Love and Andrei Alexandrovich Rachinsky

No w0053, Working Papers from Center for Economic and Financial Research (CEFIR)

Abstract: 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 in OLS with firm clusters and in firm random effects and firm fixed effects regressions. We also find significant differences in the predictive power of different indices, and in the components of these indices. How one measures governance matters.

Keywords: Russia; corporate governance; corporate governance index; law and finance; firm valuation; disclosure; emerging markets (search for similar items in EconPapers)
JEL-codes: G32 G34 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cfn, nep-cis, nep-fin, nep-fmk and nep-tra
Date: 2005-11
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