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Using a sample of 192 US firms over a period from 2000 to 2011, we study the relationship between the efficiency of the corporate governance structure and the stock performance. We used a corporate
governance index derived from the method of data envelopment analysis (DEA). These scores included in the market model and the 3-factors model developed by Fama and French (1993) confirm our hypothesis that the investment strategy of buying stock firms with good governance and selling those firms with weak governance is a profitable strategy. It reached a monthly abnormal return of 0.69% or 8.28% per year. Also, the use of fundamental analysis and the variable dividend on prices as a proxy of expected stock return reveals that the coefficients of the corporate governance index is significantly negative; so, a better
corporate governance structure corresponds a decrease in the rate of stock return required by shareholders. It highlighted the importance of corporate governance structures as an additional explanatory factor of the expected stock return.
TEBER ZITOUNI. (2016) Corporate Governance A Risk Factor To Remunerate, International Review of Management and Business Research, Volume 5, Issue 1.
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