การศึกษาผลกระทบของการประกาศเปลี่ยนแปลงอันดับการกำกับดูแลกิจการต่ออัตราผลตอบแทนของหลักทรัพย์ กรณีศึกษาตลาดหลักทรัพย์แห่งประเทศไทย / เบญจวรรณ วิเวช =The Study of Impact of Changing Corporate Governance Score Announcement on Stock Returns: an Empirical Study of the Stock Exchange of Thailand /Benjawan Wiwhet
This study was conducted to investigate the association between changes in Corporate Governance Score and stock returns. The CG data was obtained from Corporate Governance Report of Thai Listed Companies (CGR) between 2011 – 2016. The abnormal return on Total Return Index was calculated by using Event Study, Market-adjusted return approach. The findings revealed that there is no significant effect on abnormal return on the Positive and Extremely Positive CG announcements. While Negative and Extremely Negative announcements have significant negative effect on abnormal return. The results support that the investors’ behavior that responses to negative CG information while does not response to the positive CG information.
