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.

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