本文以董事會性別組成提出新的因子-董事會性別因子(DMN)，在臺灣市場實證中發現DMN因子之重要性正在隨年份提升，2018年初時DMN並無法有效解釋市場報酬，而在2022年時DMN因子顯著性明顯提升；DMN新三因子模型相比於Fama-French三因子模型能消除更多的異常報酬(Alpha)，更精確的解釋市場報酬，且在調整後判定係數的表現同樣逐年提升，2018年與Fama-French三因子模型相去甚遠，而2022年時DMN新三因子模型解釋力與Fama-French三因子模型近乎相同，說明董事會性別因子(DMN)影響力正隨著時間推移而不斷增加，DMN因子不僅能有效的捕捉並解釋股票報酬，其消除異常報酬的能力同樣更佳，為一有效之因子，DMN因子在臺灣市場中能有效捕捉大部分之系統性風險。

In this paper, we propose a new factor, board gender factor (DMN), based on the gender composition of the board of directors, and find that the importance of the DMN factor is increasing with each year in the Taiwan market. In addition, the DMN new three-factor model can eliminate more abnormal returns (Alpha) and explain market returns more precisely than the Fama-French three-factor model, and the performance of the adjusted judgment coefficients also improves year by year, and is very different from the Fama-French three-factor model in 2018, while the explanatory power of the DMN new three-factor model is nearly the same as the Fama-French three-factor model in 2022. The DMN factor is not only effective in capturing and explaining stock returns, but also has a better ability to eliminate abnormal returns. The DMN factor is effective in capturing most of the systemic risk in the Taiwan market.

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