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In December 2000, the São Paulo Stock Exchange launched a new premium market segment for companies that voluntarily commit to “good practices of corporate governance.” We construct a composite index (NM6) that combines six proxies for the main governance practices targeted by Bovespa's reform. We find that higher scores for our index are related to greater market value but not to better operating performance. An investment strategy that purchased stocks of firms with high NM6 and sold stocks of firms with low NM6 would have earned abnormal returns of 10.68% per year from 2001 to 2005.
Braga‐Alves et al. (Tue,) studied this question.