Gompers, Ishii, and Metrick (2001)
Gompers, Paul, Joy L. Ishii, Andrew Metrick. "Corporate Governance and Equity Prices." National Bureau of Economic Research, Working Paper 8449, 2001.
Examines the relationship between 24 corporate governance practices (such as cumulative voting and poison pill provisions) and stock price for 1,500 U.S. companies in the 1990s. The authors develop a variable, G, that measures the degree to which a firm's corporate governance policies favor management or shareholders (this is based on governance data compiled by the Investor Responsibility Research Center). Finds that firms with corporate governance practices favoring management tend to have lower price/book ratios. Also finds that firms in the bottom decile on this measure had statistically significant (p<.05) negative alphas when performance was explained used a four-factor attribution model - firms in the top decile had statistically significant positive alphas. Time period was September 1990 - December 1999.
LK comment: See Bebchuck, Cohen, and Wang (2013) for the rest of the story...