The paper examines the relationship between the corporate governance and security’s market risk for a sample of 95 companies listed in the two stock markets of the United Arab Emirates (UAE). The empirical test uses the security’s ‘beta coefficient’ as dependent variable and weighted and un-weighted corporate governance indices as explanatory variables while controlling for the effects of factors such as such as firms size, financial leverage, operating leverage, industry type. The results show that weighted corporate governance disclosure index has significant negative effect on the security’s market risk in the UAE capital markets, yet the effect of un-weighted index is not significant. However, the effect is not uniform across the sample companies, particularly the disclosure of corporate governance information do not affect the market risk of the low operating leverage firms as well as that of the finance firms. The study sheds new light on the underlying factors that structure the relationship between the governance and market valuation of corporate firms.