帳面市值比效應為股票基本面分析中重要的一環，此外，公司財務結構對於公司價值及股價亦有深刻影響，因此本研究欲探究公司財務在帳面市值比效應中的影響，在研究中以Hansen (1999) 縱橫門檻模型為主要研究架構，探討在不同負債比之下，帳面市值比對預期報酬影響的不同變化，以作為投資人做投資決策時的參考依據。
縱橫門檻模型主要用以分析變數間的非線性轉變，以門檻變數作為結構轉折因素，門檻值為結構轉折點，說明變數間的關係因門檻變數產生不同的變化，本研究以在台灣股市中的上市公司為研究樣本，研究期間自1998年第一季至2020年第一季為止，共計12年48期季資料，以負債比為門檻變數，經實證結果發現，台灣股市中的帳面市值比與預期報酬之間存在負債比的單一門檻效果，並進一步將樣本區分為高科技電子產業，傳統產業與金融產業，個別進行實證分析，結果顯示，電子產業與傳統產業的帳面市值比效應具有負債比的單一門檻效果，但門檻估計與影響不盡相同，而金融產業分析結果顯示其帳面市值比效應不具負債比的門檻效果。

The book-to-market ratio effect is an important part of the analysis of stock fundamentals. In addition, the firm’s financial structure also has a profound impact on the firm value and stock price. Therefore, this study wants to explore the impact of firm's finance on the book-to-market ratio effect. The panel threshold model proposed by Hansen (1999) is the main research framework, which explores the different changes in the book-to-market ratio on the expected return under different debt ratios, as a reference for investors when making investment decisions.
The panel threshold model is mainly used to analyze the nonlinear transformation between variables. The threshold variable is used as a structural turning factor. The threshold value is the structural turning point, indicating that the relationship between the variables changes differently due to the threshold variable. This study uses listed companies in the Taiwan stock market as a research sample. During the study period, from the first quarter of 1998 to the first quarter of 2020, a total of 12 years and 48 quarters of data were used, with the debt ratio as the threshold variable. The empirical results found that In Taiwan’s stock market, there is a single threshold effect of debt ratio between the book-to-market ratio and the expected return, and the sample is further divided into high-tech electronics industry, traditional industry and financial industry, and individual empirical analysis is carried out. The results show that in the electronics industry and the traditional industry, the book-to-market ratio effect has a single threshold effect of debt ratio, but the threshold estimate and impact are not the same. The analysis results of the financial industry show that its book-to-market ratio effect does not have a threshold effect of debt ratio.

論文審定書…………………………………………………………… i
謝辭…………………………………………………………………… ii
中文摘要……………………………………………………………… iii
英文摘要…………………………………………...…………………. iv
第 一 章 緒 論……………………………………………………… 1
1.1研究動機……………………………………………………….. 1
1.2研究目的……………………………………………………….. 3
1.3研究架構……………………………………………………….. 3
第 二 章 文 獻 回 顧……………………………………………… 4
2.1帳面市值比效應……………………………………………….. 4
2.2負債比與預期報酬…………………………………………….. 6
2.3負債比與帳面市值比………………………………………….. 7
第 三 章 經 濟 模 型 設 定……………………………………… 9
第 四 章 研究 方 法…………………………………………...… 12
4.1門檻模型設定…………………………………………………. 12
4.2門檻值估計……………………………………………………. 13
4.3門檻效果檢定…………………………………………………. 15
4.4門檻估計漸進分配……………………………………………. 16
4.5多重門檻模型…………………………………………………. 17
第 五 章 實 證 分 析……………………………………………... 18
5.1資料說明………………………………………………………. 18
5.2變數說明………………………………………………………. 18
5.3實證結果………………………………………………………. 19
5.3.1敘述統計……………………………………………….... 19
5.3.2門檻模型實證分析…………………………………….... 21
第 六 章 結 論…………………………………………..…………. 26
參考文獻………………………………………………………………. 29

國內文獻
1. 胡玉雪（1994），「益本比、淨值/市價比及公司規模對股票報酬之影響：相似無關迴歸法之應用」，碩士論文，國立臺灣大學商學研究所。
2. 方智強，姚明慶（1998），「台灣上市公司的淨價市值比現象」，管理學報15卷第三期，pp.367-391。
3. 王裕仁（2005），「台灣股市的淨值市價比效應」，碩士論文，國立東華大學國際經濟研究所。
4. 吳貞宜（2007)，「以Hansne門檻迴歸探討台灣股票市場異常報酬之研究」，碩士論文，國立成功大學統計學研究所。
5. 李俊龍（1990)，「公司規模、負債權益比與股票報酬關係之證實研究」，碩士論文，東海大學企業管理研究所。
6. 趙志遠（2003），「台灣股市之效率檢定及多因素模型之探討–長期追蹤資料之計量分析」，碩士論文，國立中央大學產業經濟研究所。
7. 何蘋軒（2014)，「負債比對股價的影響–縱橫平滑轉換迴歸模型之應用」，碩士論文，中原大學國際經貿研究所。

國外文獻
1. Bhandari, L.C. (1988), Debt/Equity Ratio and Expected Common Stock Returns: Empirical Evidence, Journal of finance,43(2), pp.507-528.
2. Bai, J. (1997), Estimating multiple breaks one at a time. Econometric Theory Vol.13, p.p.315-352.
3. Chui, C.W. and Wei, K.C. (1998), Book-to-market, firm size, and the turn-of-the-year effect: Evidence from Pacific-Basin emerging markets, Pacific-Basin Finance Journal, Vol.6, pp.275-293.
4. Chen, L. and Zhao, X.L. (2006), On the relation between the market-to-book ratio, growth opportunity, and leverage ratio, Finance research letters, 3(4), pp.253-266.
5. Cai, Z. and Zhang, Z. (2011), Leverage change, Debt overhang and Stock price,
Journal of Corporate Finance, 17(3), pp.391-402.
6. Daniel, K. and Titman, S. (1997), Evidence on the Characteristics of Cross Sectional Variation in Stock Returns, Journal of finance, 52(1), pp.1-33.
7. Fama, E.F. and French, K.R. (1992), The Cross-Section of Expected Stock Returns, Journal of finance, 47(2), pp.427-465.
8. Hansen, B.E. (1999), Threshold effects in non-dynamic panels: Estimation, testing, and inference, Journal of Econometrics, 93(2), pp.345-368.
9. Lakonishok, J., Shleifer, A., and Vishny, R. (1994), Contrarian Investment, Extrapolation and Risk, Journal of finance, 49(5), pp.1541-1578.
10. Lin, F.L. and Chang, T.Y. (2011), Does debt affect firm value in Taiwan? A panel threshold regression analysis, Applied economics, 43, pp.117-128.
11. Lyle, M.R. and Wang, C.Y. (2015), The cross section of expected holding period returns and their dynamics: A present value approach, Journal of financial economics, 116(3), pp.505-525.
12. Matemilola, B.T., Azman-Saini, W.N.W., Bany-Ariffin, A.N., and Nassir, A.M. (2016), Non-linearity in Debt and Return Relationship: Evidence from Dynamic Panel Threshold Method, Journal of Applied Sciences, 16(9), pp.438-444.
13. Ozdagli, A.K. (2012), Financial Leverage, Corporate Investment, and Stock Returns, The Review of Financial Studies, 25(4), pp.1033-1069.
14. Penman, S.H., Richardson, S.A., and Tuna, I. (2006), The Book-to-Price Effect in Stock Returns: Accounting for Leverage, Journal of Accounting Research, 45(2), pp.427-467.