| Summary: | 碩士 === 國立雲林科技大學 === 財務金融系碩士班 === 95 === Most of the related literatures show, the company that has good corporate governance also has good performance. Investors will prefer put their money in the company that have good corporate governance too. Does it mean that the company has good corporate governance also has good stock performance? The answer is not firmed. Since the related documents also show momentum strategy can get abnormal profit. It means that the market is inefficiency. This paper uses corporate governance and performance to exam is their still have any momentum profit or such strategy can get more profit.
The data covers the period from September 1986 to June 2005. The evidence shows that pure momentum strategy, buying winners and selling losers, can get significantly profit.
For seeking better portfolio accurately, this study uses a cross analysis to analyze the relationship between corporation governance index and growth rate of revenue, growth rate of net income and growth rate of earning before tax. The result is in terms of zero cost investment of buying winners and selling losers, every portfolio has economic and statistic meaning, continuous momentum, and tend to be steadier as well and the momentum profit is larger than pure momentum strategy.
This outcome reveals an important meaning: abnormal returns might come from the phenomenon of price reaction lag to information. This causes stock prices have the character--those strong become stronger, those weak become weaker. So investors can get profits by taking the opposite investing strategy, which is buying loser portfolio with long-term undervaluation and selling winner portfolio with long-term overvaluation. Investors also can get excess returns by using momentum strategy, which is buying the stock with good short-term performance and selling the stock with poor short-term performance.
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