本研究探討短期與長期債務比例對台灣股市股權報酬的影響，聚焦短期債務再融資風險是否帶來額外溢酬，以及主流資產定價模型能否完整捕捉此一效應。本研究採用台灣市場 2013 至 2023 年間上市櫃非金融公司月度資料。實證結果顯示控制整體槓桿、融資成本與公司規模後，再融資強度與股權報酬呈顯著正相關，凸顯再融資風險為新興市場中重要的定價因子，並證明延長債務到期能有效降低權益資本成本。而透過 q-factor 與 Fama–French 五因子資產定價模型檢驗，發現由再融資風險帶來的超額報酬均可由既有因子完全解釋，無殘餘異常報酬。本研究在揭示債務到期風險、驗證主流定價模型完備性，以及為企業提供資本結構優化建議等方面具體貢獻。

This study examines how the ratio of short-term to long-term debt affects equity returns in the Taiwan stock market, focusing on whether the refinancing risk of short-term borrowings commands an additional premium and whether mainstream asset-pricing models fully capture this effect. Using Taiwan stock market monthly panel of non-financial listed and OTC firms from 2013 to 2023, this study found that, after controlling for total leverage, funding costs, and firm size, refinancing intensity is positively and significantly related to subsequent equity returns, highlighting refinancing risk as an important pricing factor in an emerging market and demonstrating that extending debt maturities can effectively reduce the cost of equity capital. Spanning tests using both the q-factor model and the Fama–French five-factor model indicate that the excess returns driven by refinancing risk can be fully explained by these established frameworks, leaving no residual abnormal returns. This study’s concrete contributions lie in revealing the pricing implications of debt-maturity risk, validating the completeness of leading asset-pricing frameworks, and offering practical guidance for optimizing corporate capital structure.

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