Kridsda NimmanuntaKakinuma, Yosuke2020-08-142020-08-142018b208808https://repository.nida.ac.th/handle/662723737/5078Thesis (Ph.D. (Business Administration))--National Institute of Development Administration, 2018This paper provides the following three novel findings to the literature. First, the effects of the corporate governance ratings on stock returns are inconstant, non-liner, and time-varying over the long-run. Second, by taking advantage of the time-varying characteristics of expected returns from the quality of corporate governance, an optimal investment strategy with adaptation of Markov switching model is developed. Third, incorporation of style switching strategy with value premium in recessions and momentum premium in expansions improves expected returns of portfolios sorted by the corporate governance ratings.128 leavesapplication/pdfengThis work is licensed under a Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.e-ThesisMarkov switching modelSwitching investment strategyValue and momentum premiumsCorporate governancetext--thesis--doctoral thesis10.14457/NIDA.the.2018.27