楊朝成臺灣大學：財務金融學研究所李雁雯Lee, Yen-WenYen-WenLee2007-11-282018-07-092007-11-282018-07-092007http://ntur.lib.ntu.edu.tw//handle/246246/60818Titman (1988) 曾利用求解結構方程模式的統計軟體–LISREL找尋影響公司資本結構（負債比率）的隱藏因子，本文乃以此篇論文為基礎並加以延伸，除了納入原先的內生變數資本結構外，再加入另一個內生變數–股票報酬率來建立一個雙向影響的結構聯立方程式，以期研究資本結構與股票報酬率兩者是如何交互影響，並是如何由許多因子所共同決定。這些影響因子包括了預期成長率、獨特性、資產結構、規模、獲利能力、盈餘波動度、價值、流動性等外生變數，並利用LISREL來對台灣近三年的上市櫃公司進行實證研究。研究結果顯示影響資本結構的主要因素有股票報酬率、預期成長率、獨特性、資產結構、獲利能力；而影響股票報酬率的主要因素則有資本結構、預期成長率、獲利能力、價值與流動性。實證結果顯示台灣公司的負債比率與股價報酬率受上述因子所共同影響，且兩者之間亦存在相反的影響關係。Prior research on capital structure by Titman (1988) utilizes structural equation models (LISREL) to find out the determinants of capital structure. In this paper, we use the same methodology and add another endogenous variable – stock return to construct two equations. One regards capital structure and the other one regards stock returns. By solving the two equations simultaneously, we want to investigate the relationship between capital structure and stock returns and seek their common determinants as well. Our results show that stock returns, expected growth, uniqueness, asset structure, profitability, and industry classification are main factors of capital structure, while the primary determinants of stock returns are leverage, expected growth, profitability, value and liquidity. The level of debt ratios and stock returns are mutually determined by the aforementioned factors and the results that the two endogenous variables have opposite influences on each other may predict that they will both remain in a stable range.誌謝………………………………………………………………………1 論文摘要…………………………………………………………………2 Abstract……………………………………………………………...3 Contents……………………………………………………………..4 List of Tables and Figures……………………………………...5 Ⅰ. Introduction……………………………………………………...6 Ⅱ. Determinants of Capital Structure and Stock Returns 1. Determinants of capital structure………………...9 2. Determinants of stock returns……………………..14 Ⅲ. Data and Methodology………………………………………...19 Ⅳ. Results and Analysis………………………………………22 Ⅴ. Conclusion………………………………………………………38 Ⅵ. Future Researches………………………………………………41 Reference……………………………………………………………43451664 bytesapplication/pdfen-US資本結構股票報酬率結構方程模式capital structurestock returnLISRELthesishttp://ntur.lib.ntu.edu.tw/bitstream/246246/60818/1/ntu-96-R94723037-1.pdf