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.
