高槓桿產業資本結構與加權平均資金成本 之實證研究：以臺灣建設業上市公司為例

Abstract

摘要 本研究以M&M資本結構理論為核心架構，結合資本資產定價模型與加權平均資金成本，探討在升息環境下，屬於高槓桿且高度依賴外部融資的臺灣建設業，其資本結構與資金成本之間的實際關係，以及財務績效與營運策略變數對加權平均資金成本的影響。本研究動機在於利率水準企業難以控制，因此必須從可調整的資本結構與財務指標出發，尋找降低加權平均資金成本、維持競爭力的關鍵要素。

研究以TEJ資料庫為主要資料來源，選取2024年度46家上市建設公司為樣本，蒐集其財報與股價資料，估計各公司的負債資金成本和權益資金成本，進而計算加權平均資金成本。自變數包括負債比率、資產規模、盈餘成長率、現金股利率、股價年平均與資產報酬率綜合損益等六項指標，並建構三個迴歸模型，分別檢驗財務績效變數、營運策略變數，以及兩者綜合時對加權平均資金成本的解釋力。

實證結果顯示建設業負債比率與加權平均資金成本之間存在穩定且顯著的負向關係，驗證在考量公司所得稅後，舉債所帶來的稅盾效益確實能降低整體資金成本，與M&M理論修正命題相符。在整合財務績效與營運策略變數的迴歸模型中，六個解釋變數中僅負債比率保持顯著，股價年平均、資產報酬率、企業規模、盈餘成長率與現金股利率在控制資本結構與市場評價後，對加權平均資金成本的影響並不顯著，顯示資本結構仍是決定建設業資金成本的關鍵因素。

在學術上本研究補強了M&M理論與權衡理論於臺灣建設業的適用性證據，並指出分析資本結構時納入產業特性與景氣循環的重要性。在實務上，研究結果提供建設公司規畫負債水準與財務風險管理的依據，並提醒投資人與債權人可將資本結構健全性及利息保障倍數等指標，作為評估建設公司投資與授信風險的重要參考。 Abstract This study adopts the Modigliani–Miller (M&M) capital structure theory as the core analytical framework and integrates the Capital Asset Pricing Model (CAPM) with the Weighted Average Cost of Capital (WACC) to examine, in a rising interest rate environment, the actual relationship between capital structure and cost of capital in Taiwan’s construction industry, which is characterized by high leverage and heavy reliance on external financing. The research is motivated by the fact that firms have limited control over the level of interest rates; therefore, they must adjust their capital structure and financial indicators to identify key factors that can lower WACC and maintain competitiveness.

Using the TEJ database as the primary data source, this study selects 46 listed construction companies in Taiwan for the year 2024 and collects their financial statements and stock price data to estimate each firm’s cost of debt and cost of equity, and subsequently compute WACC. The independent variables include six indicators: debt ratio, asset size, earnings growth rate, cash dividend yield, average annual stock price, and return on assets (ROA) based on comprehensive income. Three regression models are specified to separately test the explanatory power of financial performance variables, operating strategy variables, and the combined set of both on WACC.

The empirical results reveal a stable and significant negative relationship between the debt ratio and WACC in the construction industry, confirming that, once corporate income tax is considered, the debt tax shield associated with borrowing effectively reduces the overall cost of capital, consistent with M&M’s revised proposition. In the regression model that simultaneously incorporates financial performance and operating strategy variables, only the debt ratio remains statistically significant among the six explanatory variables. Average annual stock price, ROA, firm size, earnings growth rate, and cash dividend yield do not exhibit significant effects on WACC after controlling for capital structure and market valuation, indicating that capital structure is still the key determinant of the cost of capital in the construction sector.

Academically, this study strengthens the empirical evidence for the applicability of both the M&M theory and the Trade-Off Theory within the Taiwanese construction industry, and highlights the importance of incorporating industry characteristics and economic cycles when analyzing capital structure. Practically, the research findings provide construction companies with a basis for planning debt levels and managing financial risk. Furthermore, the results remind investors and creditors that indicators such as the soundness of the capital structure and the interest coverage ratio can serve as important references for assessing the investment and credit risk of construction companies.