本研究中採用負債權益比、週轉率與市場報酬率三個因子模型為基礎，再加入第四因子-營業收入淨額為轉換門檻變數，探討此三因子模型是否會因為營業收入的不同而對股價報酬有不同的影響，並且利用平滑移轉模型檢驗這些因子與股價報酬間是否只是存在單純的線性關係，以及因子對股價報酬的影響是否會隨時間改變，以ETF50、ETF50電子成分股與ETF50金融成分股股票為樣本，在實證的結果皆發現股票報酬率與營業收入存在著非線性的關係。在三個因子中以週轉率對門檻有明顯的反轉現象，在低於門檻前與股票報酬率有正相關，而當營業收入高於門檻值後則轉向為負相關。

In this study, debt/equity ratio, turnover ratio and market return are chosen to construct a three-factor model. Taking such factor model as a basis, the fourth factor, net amount of sales income, is selected as a transition variable to detect whether sales income has influence on stock return or not. We also utilize smooth transition model to examine the linear relationship between stock return and relevant variables and whether such influence is time-variant or not. Sampled from ETF50 composition stocks, our empirical results show that there exists a non-linear relationship between stock return and sales income. Besides, an obvious reversal phenomenon for turnover ratio has been found, that is, positive relationship with stock return when the sales income is below the threshold, and negative relationship with stock return when the sales income is above the threshold

目  次
第一章    緒論
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
     第一節    營業收入與多因子模型相關文獻………………………………..6
     第二節    交易量與股票報酬之相關文獻…………………………………11
     第三節    負債比率與股票報酬之相關文獻………………………………15

第三章    理論模型與研究方法
     第一節    資本資產定價模型………………………………………………19
     第二節    研究期間與資料選取……………………………………………22
     第三節    縱橫門檻平滑移轉模型…………………………………………23

第四章    實證結果
     第一節    各變數之敘述統計量分析………………………………………32
     第二節    ETF50-縱橫平滑移轉模型之實證結果………………………...34
     第三節    ETF50之電子成分股-縱橫平滑移轉模型之實證結果………..39
     第四節    ETF50之金融成分股-縱橫平滑移轉模型之實證結果………..42

第五章    結論與建議
     第一節    結論………………………………………………………………47
     第二節    建議………………………………………………………………48
參考文獻
    國外文獻……………………………………………………………………….49
    國內文獻……………………………………………………………………….52
圖  次
圖1-1 研究架構圖…………………………………………………………………..5
圖3-1 m=1之轉換模型……………………………………………………………...26
圖3-2 m=2之轉換模型……………………………………………………………...27
圖4-1轉換函數-ETF50……………………………………………………………..39
圖4-2轉換函數- ETF50之電子成份股……………………………………………42
圖4-3轉換函數- ETF50之金融成份股……………………………………………46
表  次
表2-1 營業收入與多因子模型相關文獻彙整……………………………………..10
表2-2 交易量與股票報酬之相關文獻彙整………………………………………..14
表2-3 負債比率與股票報酬之相關文獻彙整……………………………………..17
表4-1 樣本之產業分類表…………………………………………………………..32
表4-2 類股之敘述統計量…………………………………………………………..33
表4-3 縱橫資料之敘述統計量……………………………………………………..34
表4-4 ETF50股票報酬率對營業收入淨額之同質性檢定……...……….………...35
表4-5 ETF50股票報酬率對營業收入淨額之轉換區間個數檢定……..………….35
表4-6 ETF50模型估計結果……………………….………………………………..37
表4-7 ETF50固定效果(截距項)……………………………….…………………...38
表4-8 ETF50彙整結果……………………………………………….……………..38
表4-9 ETF50之電子成份股股票報酬率對營業收入淨額之同質性檢定………...40
表4-10 ETF50之電子成份股股票報酬率對營業收入淨額之轉換區間個數檢定.40
表4-11 ETF50之電子成份股模型估計結果……………………………………….41
表4-12 ETF50之金融成份股股票報酬率對營業收入淨額之同質性檢定……….43
表4-13 ETF50之金融成份股股票報酬率對營業收入淨額之轉換區間個數檢定.43
表4-14 ETF50之金融成份股模型估計結果……………………………………….45

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二、國內文獻
沈立平(2002)，「台灣上市公司股權結構、財務決策與公司價值之關聯性研究」，國立中正大學企業管理研究所碩士論文。
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