本文利用反購併條款建立公司治理指數衡量外部公司治理程度，探討外部公司治理機制對股價動能投資策略的影響。為了驗證此議題，將公司治理指數作為股東權力衡量指標，並以反購併條款少的公司形成民主投資組合(股東權力大)，反購併條款多的公司形成獨裁投資組合(股東權力小)。依據監督成本假說，公司面臨較大的股東與管理者間資訊不對稱問題，股東將會依賴外部監理機制監管公司管理者，因此較低的公司治理指數意味著較嚴格的外部監理，故民主投資組合展現出較高的資訊不對稱程度。股東與管理者間存在嚴重的資訊不對稱問題，促使公司特有資訊於投資大眾間散佈緩慢，股價產生反應不足的現象。實證結果顯示買入過去六個月民主贏家投資組合與賣出過去六個月民主輸家投資組合所形成的股價動能策略，再接續六個月後，每個月可以獲得1.57%的異常報酬，但是買入過去六個月獨裁贏家投資組合與賣出過去六個月獨裁輸家投資組合無法獲得正的報酬，股價動能報酬經由延遲持有調整、產業類別調整、三因子之系統性風險調整、贏家與輸家投資組合組成比例調整後依舊存在，此結果也間接證明民主投資組合與獨裁投資組合之股價動能報酬差異是由資訊不對稱程度不同而所形成。This thesis uses the anti-takeover provisions to construct a governance index as a proxy for external corporate governance and investigates the interaction between external corporate governance mechanism and stock momentum profits. To examine this issue, I use the governance index as a proxy for the shareholder rights and construct a democracy portfolio which is composed of firms with lower governance index and stronger shareholder rights and a dictatorship portfolio which is composed of firms with higher governance index and weaker shareholder rights. According to the monitoring cost hypothesis, firms with greater asymmetric information between shareholders and managers will rely on the external monitoring to discipline their managers. Thus, a lower governance index indicates fewer anti-takeover provisions and a higher intensity of external monitoring. Therefore, the democracy portfolio displays higher level of asymmetric information. That serious problem of asymmetric information between shareholders and managers leads to firm-specific information diffuse among investors slowly and stock prices under-react to information. The empirical results suggest that a momentum strategy which buys past six-month winners in the democracy portfolio and shorts past six-month losers in the democracy portfolio can achieve 1.57% abnormal returns per month, but a momentum strategy that buys past six-month winners in the dictatorship portfolio and shorts past six-month losers in the dictatorship portfolio can’t earn positive returns over the subsequent six months. After adjusting the effects of the delayed holding period, the industry types, the systematic returns captured by the three-factor risk model, and the portfolio of composition proportion of the winners and the losers, these strategies are still profitable. This paper presents strong evidence that different levels of asymmetric information cause differences in momentum profits between democracy portfolio and dictatorship portfolio.
