本文主要探討臺灣地區上市公開發行公司資本結構變化、財務槓桿操作對股價報酬率與資產報酬率的關係，並進一步引入人民幣在2005年與2010年匯率機制改革前、後匯率風險干擾因子，同時針對不同波動性程度分析兩者關聯性之變化，實證結果顯著發現資本結構變化及人民幣匯率機制改革對股價報酬率與資產報酬率，兩者具有顯著相關。
   另外，在2010年人民幣匯率機制改革之後，財務槓桿操作對資產報酬率與股價報酬率的影響變得不顯著，此原因可推究於；廠商交易意願，公司營運與避險需求，預期報酬心理等因素所引致，故本研究建議投資人可引入匯率波動性指標，政府應適時開放法人交易，公司應進行全面性匯率、利率避險。

This essay aims to discuss the changes of capital structure toward stock returns and return on assets, with a further introduction of interference factors of RMB exchange rate risks. The correlational changes of both the factors would be analyzed in terms of different fluctuation levels. The empirical results show significant discoveries: both the factors have positive correlations. Reasons can be deduced from the willingness of trading firms, the company operational requirements, and the psychology of return expectation. Thus, this study suggests the investors to include exchange rate fluctuation index, while the government shall timely open up to corporate transactions and the corporate should carry out overall exchange rate and interest rate hedging.

目錄



中文目錄	IV
圖目錄    	VI
表目錄	        VII



第一章 緒論	                                                                                             1
  第一節 研究背景與主題	                                                                     1
  第二節 研究動機與目的	                                                                     7
第二章 文獻探討與回顧	                                                                     9
  第一節 資本結構和公司績效的關聯性   	                                             9
  第二節 匯率波動、自由現金流量與財務槓桿                                    10
  第三節 人民幣匯率機制改革	                                                           11
第三章 變數與研究方法	                                                                   14
  第一節 資料來源                                                                                 14
  第二節 迴歸模型檢定與選取	                                                           18
    第三節 迴歸模型檢定統計量	                                                           23
第四章 敘述性統計分析	                                                                   27
  第一節 資料來源與選樣標準	                                                           27
  第二節 敘述性統計	                                                                           28
第五章 實證分析與結果	                                                                   32
  第一節 以中國大陸兩次匯率機制改革為次樣本的基本統計分析	32
  第二節 以市場績效表現及會計績效表現為指標的全樣本迴歸估計結果分析	35
  第三節 以中國大陸兩次匯率機制改革迴歸結果分析	                   37
第六章 結論		                                                                                   40
參考文獻		                                                                                   42

圖目錄 圖目錄
【圖 1.1 】臺灣 央行重貼現率 ................................ ................................ ......................... 2
【圖 1.2 】美國聯邦基金目標利率 ................................ ................................ ................. 2
【圖 1.3 】美元兌 新台幣 匯率及 變動率 ................................ ................................ ......... 2
【圖 1.4 】臺灣中國 大陸美GDP 成長率 ................................ ................................ ... 4
【圖 1.5 】中國基準利率 ................................ ................................ ................................ . 4
【圖 1.6 】2000 年至 2014 年人民幣 存放款成長率 ................................ ...................... 4
【圖 1.7 】人民幣放款存利差 ................................ ................................ ..................... 5
【圖 2.1 】美元兌 人民幣 變動率 ................................ ................................ ................... 13

表目錄 表目錄
【表 1.1 】自由現金流量與負債比矩 陣表 ................................ ................................ ..... 8
【表 3.1 】Fama and French Fama and French Fama and French Fama and French Fama and French Fama and French Fama and French Fama and French 三因子模型投資組合區分 ................................ ............. 17
【表 4.1 】2005 到 2013 年敘述性統計 ................................ ................................ ........ 29
【表 4.2 】PearsonPearsonPearsonPearson 相關係數與變異因子 相關係數與變異因子 ................................ ................................ ..... 30
【表 4.3 】市場基礎績效指標模型檢定 ................................ ................................ ....... 31
【表 4.4 】會計基礎績效指標模型檢定 ................................ ................................ ....... 31
【表 5.1 】人民幣兩次匯率機制改革為樣本群組的敘述性統計 ........................... 34
【表 5.2 】全樣本隨機效果 估計結................................ ................................ ........... 36
【表 5.3 】人民幣兩次匯率機制改革樣本隨效果 估計結............................... 39

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