Association between corporate governance and stock returns based on Fama and Macbeth two-stage regression (1973): A case study on companies in the Istanbul Stock Exchange

Document Type : Research Paper


1 Department of Accounting, Malekan Branch, Islamic Azad University, Malekan, Iran

2 Faculty of Business Administration, Ataturk University, Turkey



The present study aimed to assess the relationship between corporate governance factors and stock returns based on the capital asset pricing model and the Fama and French three-factor model. The statistical population included companies acting in the Istanbul Stock Exchange from 2010 to 2020. Using a systematic elimination sampling method, 70 companies were selected. The data panel method was used along with two-stage regression of Fama and Macbeth \cite{43} and EViews11 software to estimate the models. The results represented a significant and positive relationship between the level of transparency in information disclosure, the structure of the directors' board, and the structure of ownership and shareholders' rights with stock returns based on the capital asset pricing equation. Moreover, there was a significant and positive relationship between the general index of corporate governance and the stock returns of companies based on the three-factor equation of Fama and French. This index is comprised of three sub-indices.


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Articles in Press, Corrected Proof
Available Online from 17 March 2024
  • Receive Date: 20 December 2021
  • Accept Date: 23 February 2022