公司治理評鑑與證券報酬

Corporate Governance Evaluation and Stock Returns

本研究旨在探討於五因子模型中加入公司治理因子後，是否對我國公開交易公司證券報酬具增額解釋能力。以參與公司治理評鑑之台灣上市櫃公司為研究樣本，並採用台灣證券交易所公司治理中心之評鑑結果衡量公司治理因子。實證結果顯示，在三因子模型與五因子模型中加入公司治理因子後，對於模型的整體解釋力皆有提升，且公司治理因子與股票超額報酬間呈顯著正相關。此項發現一方面符合代理理論中公司治理佳的公司，股東對公司的監督成本較低，相對地降低了股東的預期報酬；另一方面也印證高風險、高報酬的概念。這些發現隱喻，公司治理因子似可成為五因子以外的風險因子。

The purpose of this study is to test whether including a corporate governance factor (PMG) in the Fama-French five-factor model helps explain stock returns in Taiwan's stock market. We used the publicly traded companies in Taiwan as the sample and use the corporate governance (CG) evaluation results as the proxy of PMG variable. Our results suggest that the refined models better explain the differences in stock returns, given the governance factor as constructed. We also provide evidence that expected stock returns are positively related to firm-level CG. This result is consistent with intuition from agency theory that better CG reduces the expected return on equity to the extent that it reduces shareholders' monitoring and auditing cost. Overall, our results support that governance factor should be an important factor beyond the five factors used in Fama and French's model.