Academics and practitioners have developed different constructs to quantify corporate governance quality. Despite the limitations of the existing measures, they are still being commonly used. The literature finds that the relationship between performance and corporate governance quality can be positive, non-existing or even negative. To resolve this puzzle, we introduce a multi-criteria decision analysis (MCDA) approach to construct an alternative corporate governance quality synthesising companies’ practices and mechanisms through an exhaustive pair comparison procedures based on outranking relationships analysis. Our approach compares the aggregate quality with a well-known corporate governance index, ASSET4 ESG in Thomson Reuters Datastream, using data for the U.S. firms. Using this MCDA approach based on PROMETHEE methods and econometric analysis, we obtain consistently a negative and strong link between firm performance and corporate governance quality. The findings are of particular interest to both scholars and decision makers including providers of corporate governance indices and rating agencies.