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. Key Words: Corporate Governance Index, Expected Stock Return, 3-Factor Model Of Fama and French (1993), Risk Factor.