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研究生： 朱孝恩
Shiaw-en Ju
論文名稱： 動量策略與董事會大小關係之研究-以臺灣證券交易市場為例
Momentum Strategy and Board Size: Evidence from TWSE
指導教授： 羅庚辛
Keng-shin Lo
口試委員:
學位類別： 博士
Doctor
系所名稱： 管理學院 - 企業管理學系
Department of Business Administration
畢業學年度： 100
語文別： 英文
論文頁數： 31
中文關鍵詞： 動量策略 、董事會 、公司治理
外文關鍵詞： momentum strategy, board size, corporate government
相關次數： 點閱：12  下載：0 
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    • 本研究建立動量策略報酬與董事會人數大小之關係。研究結果顯示，動量策略應用於臺灣證券交易所交易的股票，其產生的報酬主要來自具有小型與中型董事會的公司，但不存在於具大型董事會公司。臺股的動量策略報酬無法由Fama三因子模式所解釋。動量策略報酬主要來自中小型董事會的公司的研究結果，經分別控制公司規模大小與帳面價值對公平市價比率後，動量策略報酬與董事會大小之關係依舊穩健。董事會大小對動量策略報酬的效應，可能肇因於董事會團體決策的過程，及較有權力的CEO可能採取較為保守的經營活動所致。

    This thesis establishes a link between momentum profitability and board size. We use stocks listed on the Taiwan Stock Exchange (TWSE) to show that momentum profits are derived mainly from firms with small and medium board size, but it is nonexistent among large board size firms. The momentum profitability across small and medium board size firms does not represent for system risk based on the Fama-French three-factor model. After controlling by firm size, book-to-market value, our findings are still robust. This board size effect on momentum profits may be due to group decision process and an incentive to engage in risk-reduction activities for more powerful CEOs.

    Abstract----------------------------------------i Table of Contents------------------------------ iv List of Tables---------------------------------- v Chapter 1 Introduction ------------------------- 1 1.1 Literature review ------------------------- 1 1.2 Research purpose---------------------------- 3 Chapter 2 Methodology and initial evidence------5 2.1 Data and methodology------------------------ 5 2.2 Initial evidence of momentum profits and board size-- 6 Chapter 3 Momentum profits and board size---------------- 9 3.1 Momentum profits in various board size firms-------- 9 3.2 Momentum profits as board size extended------------- 12 Chapter 4 Robustness------------------------------------ 14 4.1 Adjusting for size and book-to-market factors------ 14 4.2 Size effect----------------------------------------- 15 4.3 Book to market effect-------------------------------- 17 Chapter 5 Conclusions------------------------------------ 19 Reference ----------------------------------------------- 20

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