本研究主要探討償債能力因子是否可作為解釋台灣股市證券報酬的有效資訊。由於企業的償債能力會因行業而有所不同，本文將依據不同行業來探討償債能力因子的有效性。過去有關投資因子的文獻較多是以獲利能力和成長率作為主要探討的對象，因為通常成長性因子和盈利因子對於股票報酬率具有較佳的預測效果，但當經濟衰退時期，償債能力因子便被視為衡量企業經營能力的重要指標，本研究希望針對償債能力這方面的文獻缺口進行實證研究，提供各產業的研究資訊給投資者做參考。

本文利用信息比率 (Information Ratio) 衡量償債能力因子的有效性，並利用Fama and French (1993) 三因子模型分析投資組合報酬率，觀察償債能力因子是否顯著影響投資組合的報酬率。研究結果發現，汽車工業的償債能力因子與證券報酬率間具有較強的相關性，且由償債能力因子所建構的投資組合當中，汽車工業和電子零組件皆有顯著的超額報酬，結果證實償債能力因子對部分產業的證券報酬率具有可解釋能力。

This study focuses on whether the solvency factor can explain the return of securities in the Taiwan stock market. Since the solvency of a company varies from industry to industry, this study examine the effectiveness of the solvency factor across different industries. Generally, growth and profit factors can better predict stock returns. However, during economic recession period, the solvency factor is considered as an incremental important indicator of the company’s ability to operate. To the best of my knowledge, this study is one of the very few paper to examine whether solvency factors are related to future stock returns and can be used to explain stock returns.

We use Information Ratio (IR) to test the effectiveness of the solvency factor and Fama and French (1993) three-factor model to test the relation between solvency factor and portfolio returns, to examine whether the portfolio selected by the solvency factor has significant excess returns. Our results find that the solvency factor has a strong correlation with the rate of return of securities in the samples of the automobile industry. In addition, in the investment portfolio constructed by the solvency factor, for both the automobile and the electronics component industries have significant excess returns. The results confirm that the solvency factor can explain the returns of securities of some industries.

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