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題名 槓桿比率對未來股價報酬率的影響
The Impact of Leverage Ratios on Stock Returns作者 林育辰
Lin, Yu-Chen貢獻者 徐政義
Shiu, Cheng-Yi
林育辰
Lin, Yu-Chen關鍵詞 槓桿比率
Fama-Macbeth模型
Fama-French五因子模型
買入並持有策略
股價報酬率
Leverage ratio
Fama-Macbeth model
Fama-French five factors model
Buy-and-hold returns
Stock returns日期 2024 上傳時間 4-Sep-2024 16:34:04 (UTC+8) 摘要 本研究主要為探討槓桿比率與未來股價報酬率之關係。研究採用 2000 年至2022 年底之財報資訊，並於每年底依槓桿比率高低建構四個投資組合後，依據財報公布時間點將投資組合對應至 2001 年 5 月至 2024 年 3 月之投資區間，並使用買入持有一年策略、Fama-Macbeth 橫斷面迴歸分析與 Fama-French 五因子模型檢視槓桿比率與未來股價報酬率之關聯性。 本研究驗證了台灣企業槓桿比率與股價報酬率之間的正向關係。債務融資能帶來稅盾優勢，提高企業價值，而槓桿隨之而來的風險也會使投資人要求相對的風險溢酬。此外，本研究也發現企業中為了財務靈活性而保持低槓桿的多為大規模企業，小規模企業則因財務限制而無法提高槓桿比率。另外，大規模企業因其複雜的管理結構和更多的業務部門，致使舉債帶來的破產以及相關風險更高，降低企業價值。
This study investigates the relationship between leverage ratio and future stock returns. Using financial data from 2000 to 2022, four investment portfolios are constructed annually based on leverage ratios. These portfolios are mapped to the investment period from May 2001 to March 2024. The relationship is examined using a buy-and-hold strategy, Fama-MacBeth cross-sectional regression, and the Fama-French five-factor model. The study confirms a positive relationship between leverage ratio and stock returns for Taiwanese companies. Debt financing provides tax shield benefits and increases firm value, while the risks associated with leverage lead investors to demand higher risk premiums. Additionally, large companies maintain low leverage for financial flexibility, whereas small companies are constrained by financial limitations. Large companies face higher bankruptcy risks due to their complex structures and numerous business units, which can reduce their firm value.參考文獻 第一節 中文文獻 俞洪昭、許崇源、洪盈斌、戚務君，2000，兩稅合一制度對公司屬性與股票報酬關聯性之影響，會計評論，第 32 期，頁 81-101 張漢君，1991，上市公司財務結構決定因素與融資順位理論之實證研究，私立淡江大學管理科學研究所碩士論文，頁 1-102 陳寶盛，2015，台灣企業低度財務槓桿決定因素研究，東吳大學企業管理學系研究所碩士學位論文，頁 1-60 劉維琪、李怡宗，1993，融資順位理論之調查研究，管理評論，第 12 卷，頁 119-143 Banz, R.W., 1981, The Relationship Between Return and Market Value of Common Stocks, Journal of Financial Economics 9, 3-18. Barclay, M.J., and Smith, C.W., 2005, The Capital Structure Puzzle: The Evidence Revisited, Journal of Applied Corporate Finance 17 (1), 8-17. Bessler, W., Drobetz, W., Haller, R. and Meier, I., 2013, The international zero leverage phenomenon, Journal of Corporate Finance 23, 196–221 Bhandari, L.C., 1988, Debt/Equity Ratio and Expected Common Stock Returns: Empirical Evidence, The Journal of Finance 43, 507-528 Binsbergen, V., Graham, J., and Yang, J., 2010, The Cost Of Debt, Journal of Finance 65, 2089-2136. Booth, L., Aivazian, V., Demirguc-Kunt, A., and Maksimovic, V., 2001, Capital Structures in Developing Countries, Journal of Finance 56, 87-130. Cui, W., 2020, Is Debt Conservatism the Solution to Financial Constraints? An Empirical Analysis of Japanese Firms, Applied Economics 52, 2526-2543. DeAngelo, H., DeAngelo, L., and Whited, T.M., 2011, Capital Structure Dynamics and Transitory Debt, Journal of Financial Economics 99, 235-261. DeAngelo, H., Gonçalves, A.S., Stulz, R.M., 2018, Corporate Deleveraging and Financial Flexibility, Review of Financial Studies 31, 3122–3174. Devos, E., Dhillon, U., Jagannathan, M. and Krishnamurthy, S., 2012, Why are firms unlevered? , Journal of Corporate Finance 18, 664-682. D'Mello, R. and Gruskin, M., 2014, Are the benefits of debt declining? The decreasing propensity of firms to be adequately levered, Journal of Corporate Finance 29, 327-350. Eckbo, B.E., and Kisser, M., 2021, The Leverage-Profitability Puzzle Resurrected, Review of Finance 25, 1089-1128. Fahlenbrach, R., Rageth, K., Stulz, R.M., 2021, How Valuable Is Financial Flexibility when Revenue Stops? Evidence from the COVID-19 Crisis, Review of Financial Studies 34, 5474–5521. Fama, E. and French, K.R., 1992, The Cross-Section of Expected Stock Returns, The Journal of Finance 47, 427-465. Fama, E.F. and French, K.R., 2015, A five-factor asset pricing model, Journal of Financial Economics 116, 1-22 Fama, E.F. and MacBeth, J.D, 1973, Risk, Return, and Equilibrium: Empirical Tests, Journal of Political Economy 81, 607–636 Giambona, E., Golec, J., and Lopez-de-Silanes, F, 2021, Do Firms Purposefully Change Capital Structure? Evidence from an Investment-Opportunity Shock to Drug Firms, Journal of Financial and Quantitative Analysis 56, 915-944. He, W., Hu, M.R., Mi, L., and Yu, J., 2021, How Stable Are Corporate Capital Structures? International Evidence, Journal of Banking and Finance 126, 106103. Hermuningsih, S., 2013, Profitability, Growth Opportunity, Capital Structure and The Firm Value, Bulletin of Monetary Economics and Banking 16, 1-22. Jensen, M.C. and Meckling, W.H., 1976, Theory of the Firm: Managerial Behavior, Agency Costs and Ownership Structure, Journal of Financial Economics 3, 305-360. Jiang, W., Kang J. and Kim, H.S., 2024, Is the zero-leverage policy value enhancing?, Quarterly Review of Economics and Finance 93, 176–189. Korteweg, A., 2010, The net benefits to leverage, Journal of Finance 65, 2137–2170. Kraus, A. and Litzenberger, R.H., 1973, A State-Preference Model of Optimal Financial Leverage, Journal of Finance 28, 911-922. Lai, K., Prasad, A., Wong, G., and Yusoff, I., 2020, Corporate Deleveraging and Financial Flexibility: A Chinese Case-Study, Pacific-Basin Finance Journal 61, 101299. Lam, F.Y.E.C., Ma, T., Wang, S., and Wei, K.C.J., 2015, On the Positive Relation between Cash Holdings and Stock Returns, Retrieved from https://www.deakin.edu.au/__data/assets/pdf_file/0003/438600/eric-lam-paper.pdf Lambrinoudakis, C., Skiadopoulos, G., and Gkionis, K., 2019, Capital Structure and Financial Flexibility: Expectations of Future Shocks, Journal of Banking and Finance 104, 1-18. Li, D., 2011, Financial Constraints, R&D Investment, and Stock Returns, The Review of Financial Studies 24, 2974-3007. Modigliani, F. and Miller, M. H., 1958, The Cost of Capital, Corporation Finance and the Theory of Investment, The American Economic Review 48, 261–297. Modigliani, F. and Miller, M. H., 1963, Corporate Income Taxes and the Cost of Capital: A Correction, The American Economic Review 53, 433–443. Myers, S.C. and Majluf, N.S., 1984, Corporate Financing and Investment Decisions when Firms Have Information that Investors Do Not Have, Journal of Financial Economics 13, 187-221. Pinchuk, M., 2023, Zero-Leverage Puzzle, Papers 2302.00761, arXiv.org Rajan, R.G., and Zingales, L., 1995, What Do We Know about Capital Structure? Some Evidence from International Data, Journal of Finance 50, 1421-1460. Saona, P., Muro L. and Gregoriou, A., 2023, The phenomenon of zero-leverage policy: Literature review, Research in International Business and Finance 66. Smolyansky, M., 2023, End of an era: The coming long-run slowdown in corporate profit growth and stock returns, Finance and Economics Discussion Series 2023-041. Strebulaev, I.A. and Yang, B., 2013, The mystery of zero-leverage firms, Journal of Financial Economics 109, 1–23. 描述 碩士
國立政治大學
國際經營與貿易學系
111351015資料來源 http://thesis.lib.nccu.edu.tw/record/#G0111351015 資料類型 thesis dc.contributor.advisor 徐政義 zh_TW dc.contributor.advisor Shiu, Cheng-Yi en_US dc.contributor.author (Authors) 林育辰 zh_TW dc.contributor.author (Authors) Lin, Yu-Chen en_US dc.creator (作者) 林育辰 zh_TW dc.creator (作者) Lin, Yu-Chen en_US dc.date (日期) 2024 en_US dc.date.accessioned 4-Sep-2024 16:34:04 (UTC+8) - dc.date.available 4-Sep-2024 16:34:04 (UTC+8) - dc.date.issued (上傳時間) 4-Sep-2024 16:34:04 (UTC+8) - dc.identifier (Other Identifiers) G0111351015 en_US dc.identifier.uri (URI) https://nccur.lib.nccu.edu.tw/handle/140.119/153580 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 國際經營與貿易學系 zh_TW dc.description (描述) 111351015 zh_TW dc.description.abstract (摘要) 本研究主要為探討槓桿比率與未來股價報酬率之關係。研究採用 2000 年至2022 年底之財報資訊，並於每年底依槓桿比率高低建構四個投資組合後，依據財報公布時間點將投資組合對應至 2001 年 5 月至 2024 年 3 月之投資區間，並使用買入持有一年策略、Fama-Macbeth 橫斷面迴歸分析與 Fama-French 五因子模型檢視槓桿比率與未來股價報酬率之關聯性。 本研究驗證了台灣企業槓桿比率與股價報酬率之間的正向關係。債務融資能帶來稅盾優勢，提高企業價值，而槓桿隨之而來的風險也會使投資人要求相對的風險溢酬。此外，本研究也發現企業中為了財務靈活性而保持低槓桿的多為大規模企業，小規模企業則因財務限制而無法提高槓桿比率。另外，大規模企業因其複雜的管理結構和更多的業務部門，致使舉債帶來的破產以及相關風險更高，降低企業價值。 zh_TW dc.description.abstract (摘要) This study investigates the relationship between leverage ratio and future stock returns. Using financial data from 2000 to 2022, four investment portfolios are constructed annually based on leverage ratios. These portfolios are mapped to the investment period from May 2001 to March 2024. The relationship is examined using a buy-and-hold strategy, Fama-MacBeth cross-sectional regression, and the Fama-French five-factor model. The study confirms a positive relationship between leverage ratio and stock returns for Taiwanese companies. Debt financing provides tax shield benefits and increases firm value, while the risks associated with leverage lead investors to demand higher risk premiums. Additionally, large companies maintain low leverage for financial flexibility, whereas small companies are constrained by financial limitations. Large companies face higher bankruptcy risks due to their complex structures and numerous business units, which can reduce their firm value. en_US dc.description.tableofcontents 第一章 緒論 1 第一節 研究背景與動機 1 第二節 研究目的 3 第三節 研究架構 4 第二章 文獻探討 5 第一節 低槓桿現象與其成因 5 第二節 公司資本結構相關理論與成因 8 第三節 影響股價報酬率之公司特徵變數 11 第三章 研究方法 14 第一節 資料來源 14 第二節 分組原則 15 第三節 報酬率與前視偏誤 16 第四節 買入持有策略(Buy-and-hold returns, BHR) 17 第五節 Fama-MacBeth 橫斷面迴歸分析 18 第六節 Fama-French 五因子模型 20 第四章 實證結果 21 第一節 敘述性統計 21 一、槓桿比率 21 二、變數敘述性統計 23 三、樣本月報酬 25 第二節 買入持有策略(Buy-and-hold returns, BHR) 26 第三節 Fama-MacBeth 橫斷面迴歸分析 27 第四節 Fama-French 五因子模型 30 第五章 結論與建議 35 參考資料 37 第一節 中文文獻 37 第二節 英文文獻 37 zh_TW dc.format.extent 1225434 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0111351015 en_US dc.subject (關鍵詞) 槓桿比率 zh_TW dc.subject (關鍵詞) Fama-Macbeth模型 zh_TW dc.subject (關鍵詞) Fama-French五因子模型 zh_TW dc.subject (關鍵詞) 買入並持有策略 zh_TW dc.subject (關鍵詞) 股價報酬率 zh_TW dc.subject (關鍵詞) Leverage ratio en_US dc.subject (關鍵詞) Fama-Macbeth model en_US dc.subject (關鍵詞) Fama-French five factors model en_US dc.subject (關鍵詞) Buy-and-hold returns en_US dc.subject (關鍵詞) Stock returns en_US dc.title (題名) 槓桿比率對未來股價報酬率的影響 zh_TW dc.title (題名) The Impact of Leverage Ratios on Stock Returns en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) 第一節 中文文獻 俞洪昭、許崇源、洪盈斌、戚務君，2000，兩稅合一制度對公司屬性與股票報酬關聯性之影響，會計評論，第 32 期，頁 81-101 張漢君，1991，上市公司財務結構決定因素與融資順位理論之實證研究，私立淡江大學管理科學研究所碩士論文，頁 1-102 陳寶盛，2015，台灣企業低度財務槓桿決定因素研究，東吳大學企業管理學系研究所碩士學位論文，頁 1-60 劉維琪、李怡宗，1993，融資順位理論之調查研究，管理評論，第 12 卷，頁 119-143 Banz, R.W., 1981, The Relationship Between Return and Market Value of Common Stocks, Journal of Financial Economics 9, 3-18. Barclay, M.J., and Smith, C.W., 2005, The Capital Structure Puzzle: The Evidence Revisited, Journal of Applied Corporate Finance 17 (1), 8-17. Bessler, W., Drobetz, W., Haller, R. and Meier, I., 2013, The international zero leverage phenomenon, Journal of Corporate Finance 23, 196–221 Bhandari, L.C., 1988, Debt/Equity Ratio and Expected Common Stock Returns: Empirical Evidence, The Journal of Finance 43, 507-528 Binsbergen, V., Graham, J., and Yang, J., 2010, The Cost Of Debt, Journal of Finance 65, 2089-2136. Booth, L., Aivazian, V., Demirguc-Kunt, A., and Maksimovic, V., 2001, Capital Structures in Developing Countries, Journal of Finance 56, 87-130. Cui, W., 2020, Is Debt Conservatism the Solution to Financial Constraints? An Empirical Analysis of Japanese Firms, Applied Economics 52, 2526-2543. DeAngelo, H., DeAngelo, L., and Whited, T.M., 2011, Capital Structure Dynamics and Transitory Debt, Journal of Financial Economics 99, 235-261. DeAngelo, H., Gonçalves, A.S., Stulz, R.M., 2018, Corporate Deleveraging and Financial Flexibility, Review of Financial Studies 31, 3122–3174. Devos, E., Dhillon, U., Jagannathan, M. and Krishnamurthy, S., 2012, Why are firms unlevered? , Journal of Corporate Finance 18, 664-682. D'Mello, R. and Gruskin, M., 2014, Are the benefits of debt declining? The decreasing propensity of firms to be adequately levered, Journal of Corporate Finance 29, 327-350. Eckbo, B.E., and Kisser, M., 2021, The Leverage-Profitability Puzzle Resurrected, Review of Finance 25, 1089-1128. Fahlenbrach, R., Rageth, K., Stulz, R.M., 2021, How Valuable Is Financial Flexibility when Revenue Stops? Evidence from the COVID-19 Crisis, Review of Financial Studies 34, 5474–5521. Fama, E. and French, K.R., 1992, The Cross-Section of Expected Stock Returns, The Journal of Finance 47, 427-465. Fama, E.F. and French, K.R., 2015, A five-factor asset pricing model, Journal of Financial Economics 116, 1-22 Fama, E.F. and MacBeth, J.D, 1973, Risk, Return, and Equilibrium: Empirical Tests, Journal of Political Economy 81, 607–636 Giambona, E., Golec, J., and Lopez-de-Silanes, F, 2021, Do Firms Purposefully Change Capital Structure? Evidence from an Investment-Opportunity Shock to Drug Firms, Journal of Financial and Quantitative Analysis 56, 915-944. He, W., Hu, M.R., Mi, L., and Yu, J., 2021, How Stable Are Corporate Capital Structures? International Evidence, Journal of Banking and Finance 126, 106103. Hermuningsih, S., 2013, Profitability, Growth Opportunity, Capital Structure and The Firm Value, Bulletin of Monetary Economics and Banking 16, 1-22. Jensen, M.C. and Meckling, W.H., 1976, Theory of the Firm: Managerial Behavior, Agency Costs and Ownership Structure, Journal of Financial Economics 3, 305-360. Jiang, W., Kang J. and Kim, H.S., 2024, Is the zero-leverage policy value enhancing?, Quarterly Review of Economics and Finance 93, 176–189. Korteweg, A., 2010, The net benefits to leverage, Journal of Finance 65, 2137–2170. Kraus, A. and Litzenberger, R.H., 1973, A State-Preference Model of Optimal Financial Leverage, Journal of Finance 28, 911-922. Lai, K., Prasad, A., Wong, G., and Yusoff, I., 2020, Corporate Deleveraging and Financial Flexibility: A Chinese Case-Study, Pacific-Basin Finance Journal 61, 101299. Lam, F.Y.E.C., Ma, T., Wang, S., and Wei, K.C.J., 2015, On the Positive Relation between Cash Holdings and Stock Returns, Retrieved from https://www.deakin.edu.au/__data/assets/pdf_file/0003/438600/eric-lam-paper.pdf Lambrinoudakis, C., Skiadopoulos, G., and Gkionis, K., 2019, Capital Structure and Financial Flexibility: Expectations of Future Shocks, Journal of Banking and Finance 104, 1-18. Li, D., 2011, Financial Constraints, R&D Investment, and Stock Returns, The Review of Financial Studies 24, 2974-3007. Modigliani, F. and Miller, M. H., 1958, The Cost of Capital, Corporation Finance and the Theory of Investment, The American Economic Review 48, 261–297. Modigliani, F. and Miller, M. H., 1963, Corporate Income Taxes and the Cost of Capital: A Correction, The American Economic Review 53, 433–443. Myers, S.C. and Majluf, N.S., 1984, Corporate Financing and Investment Decisions when Firms Have Information that Investors Do Not Have, Journal of Financial Economics 13, 187-221. Pinchuk, M., 2023, Zero-Leverage Puzzle, Papers 2302.00761, arXiv.org Rajan, R.G., and Zingales, L., 1995, What Do We Know about Capital Structure? Some Evidence from International Data, Journal of Finance 50, 1421-1460. Saona, P., Muro L. and Gregoriou, A., 2023, The phenomenon of zero-leverage policy: Literature review, Research in International Business and Finance 66. Smolyansky, M., 2023, End of an era: The coming long-run slowdown in corporate profit growth and stock returns, Finance and Economics Discussion Series 2023-041. Strebulaev, I.A. and Yang, B., 2013, The mystery of zero-leverage firms, Journal of Financial Economics 109, 1–23. zh_TW
