本研究以Fama and French五因子模型另外在納入公司治理因子進行檢驗，將所選定的樣本，分別依市值規模、淨值市價比、獲利能力、投資屬性及公司治理等5個變數進行分類排序後，分成3組投資組合，並計算各投資組合於研 究期間內的每月平均報酬，使用多變量迴歸分析以判斷各個因子對股票報酬是否有顯著的解釋能力。 本文選用2015年4月至2022年2月台灣的上市公司進行公司治理評鑑與股票報酬關聯性的探討，過去研究指出三因子模型及五因子模型納入公司治理因子後，使兩模型皆提升整體解釋力，同時公司治理因子與股票超額報酬間有顯著的正相關，本研究再進一步區分為電子業與非電子產業，探討增加樣本數及區分產業別對公司治理因子的解釋力，發現電子業公司治理因子與股票超額報酬呈正相關，非電子產業公司治理因子也與股票超額報酬呈正相關，說明區分產業及增加樣本區間數對股價報酬有顯著正相關，在不考慮電子樣本及非電子樣本公司市值規模大的投組不顯著，其餘皆是正相關，可能原因為投資人可能是存股領股息，不會因為公司治理而影響其投資，面額小風險相對小又是規模大公司可以安心把資金放著，不容易因為資訊而有大變動。;This study examines the Fama and French five-factor model (2015) and the corporate governance factor. The selected samples which are classified on the basis of small minus big, high minus low, robust minus weak, conservative minus aggressive and corporate governance factor can be divided into three portfolios and calculated the average monthly returns of each portfolio during the study period. Multivariate regression analysis is applied to find out whether the correlated relationship between each factor and stock returns. The research explores the relevance between corporate governance evaluation of listed companies in Taiwan and stock returns from April 2015 to February 2022. It showed that it can improve the overall performance after the three-factor model and the corporate governance factor are included in the five-factor model. And there is a significant positive correlation between corporate governance factors and excess stock return. The research compares the distinguishing industry with the corporate governance factor, and increasing the number of samples. It is found that the corporate governance factors of electronic industry are positively correlated with the excess return of stock, and the corporate governance factors of non-electronic industry are also positively correlated with the excess return of stock. Indicating that distinguishing industries and increasing the number of sample intervals still have a significant positive correlation with the excess stock return.
