本文以 2009–2025 年台灣 25 個產業類股指數為樣本，運用分位數迴歸（quantile regression, QR）與分位數對分位數迴歸（quantile-on-quantile regression, QQR），分析槓桿比率對股票報酬之影響，並進一步檢驗累積報酬對槓桿比率之反向關係，以探討台灣資本結構與股票報酬之間的非線性、雙向性與狀態依賴特徵。在方法上，本文將 QQR 中的槓桿分位由整體樣本分位調整為產業內分位，以更精確捕捉各產業在其相對槓桿位置下的局部影響。實證結果顯示，槓桿比率對後續報酬在多數分位呈現負向影響，惟其效果會隨報酬分位與槓桿分位而有所變化。進一步之產業內分位 QQR 分析發現，在中等槓桿分位附近存在局部正向效果，顯示適度槓桿可能對資金運用或企業成長具有支撐作用；但當槓桿處於相對偏低或偏高分位時，其影響則較容易轉為負向，此結果呼應權衡理論所強調之槓桿利益與成本取捨。反向檢驗結果則指出，過去四季累積報酬與後續槓桿比率多呈負向關係，支持市場時機理論中過去股價表現較佳時，企業可能透過權益融資或因權益價值上升而降低未來槓桿水準的觀點。整體而言，本文結果顯示，台灣資本結構與股票報酬之關係無法以單一平均效果加以解釋，須同時考量報酬狀態、槓桿相對位置及其雙向互動機制。

This study uses 25 Taiwanese industry indices from 2009 to 2025 and applies quantile regression (QR) and quantile-on-quantile regression (QQR) to examine the effect of leverage on stock returns. It also tests the reverse relationship between cumulative returns and leverage to explore the nonlinearity, bidirectionality, and state dependence between capital structure and stock returns in Taiwan. Methodologically, this study refines the QQR framework by redefining leverage quantiles from pooled-sample quantiles to industry-specific quantiles, to better identify local effects at each industry’s relative leverage position. The empirical results show that leverage has a negative effect on subsequent returns across most quantiles; however, this effect varies with both return and leverage quantiles. The industry-specific QQR further reveals localized positive effects around the middle leverage quantiles, suggesting that moderate leverage may support capital utilization or firm growth. However, when leverage is located at relatively low or high quantiles, its effect tends to become negative, which is consistent with the trade-off theory’s view on the balance between the benefits and costs of leverage. The reverse test shows that past four-quarter cumulative returns are generally negatively associated with subsequent leverage, supporting the market timing view that stronger past stock performance may reduce future leverage through equity financing or valuation effects. Overall, the findings indicate that the relationship between capital structure and stock returns in Taiwan cannot be explained by a single average effect, but requires considering return states, relative leverage positions, and their bidirectional interaction.

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