| Summary: | 碩士 === 國立高雄應用科技大學 === 國際企業系 === 99 === Lately, financial tsunami has been permeating through many countries, thus hitting the world economy badly. In a global economy and a recession time, firms should effectively enhance operational efficiency in order to maintain perpetual growth by improving corporate governance. As the issue of corporate governance, this study intends to use corporate governance as the criterion of stock selectivity in style investing. We construct a corporate governance indicator (CGI) from seven dimensions and 20 measurable variables. According to the CGI, we form a style portfolio of corporate governance. For comparison, several style portfolios such as value, growth, large-capitalization, and small-capitalization stocks are also formed to examine whether the style portfolio of corporate governance would outperform the other portfolios and thus yield an excess return.The data are sourced from publicly listed firms in the Taiwan Economic Journal (TEJ) for the period from 2001 to 2009. By rebalancing the portfolios semiannually and then conducting a pair-wise t testing, we find that there is no excess return from the portfolio of corporate governance. It is also found that the value stocks outperform the other style portfolios, thus confirming the value effect in Taiwan.
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