The Effects of Corporate Governance and Investing Strategies on Stock Returns in Taiwan

• Main Authors: HSIEH, CHEN-YING, 謝貞瑩
• Other Authors: HUANG,PAO-YU
• Format: Others
• Language: zh-TW
• Published: 2017
• Online Access: http://ndltd.ncl.edu.tw/handle/5hbu5e

碩士 === 東吳大學 === 國際經營與貿易學系 === 105 === The purpose of this study is to investigate the impact of three factors, multi-factor, corporate governance and investment strategy on stock returns for listed companies in Taiwan. Besides classified portfolio analysis, we have risk premium model and nonrisk premium model that according to Fama and French three-factor model. The research methodology employs multiple regression model. The results showed following. First, the classification of portfolio analysis results show that use of the market value, net price ratio, benefit ratio, dividend yield, turnover and corporate governance classification, classification variables have a significant positive impact on stock returns, investors just through classification set up a portfolio to get a better reward. Second, during this period, a short-term inversion strategy can be used to obtain excess remuneration. Due to the possible overreaction of the market, the momentum strategy is negative and the long-term inversion strategy is not significant in the multi-factor model. Third, the companies with good corporate governance have higher stock returns, and with three consecutive years into the governance evaluation, corporate governance have led to a significant increase in stock returns. In this paper, the risk premium model is included in the investment strategy and the corporate governance variables, which can help to improve the model’s explanatory ability. The results of this study have practical and academic reference value.