Modigliani and Miller（1958）證明市場在完美的狀態下，企業資本結構與投資決策無關。但企業在資本市場不完全的情況下，若加上資訊不對稱與代理成本等，將造成公司內部與外部資金成本產生差異，導致公司面臨財務限制的融資問題，也使公司無法做出正確的投資決策。此外，當財務限制影響總體經濟行為時，財務限制高的公司相對就面臨較高的風險，而本文即想探討公司財務限制是否影響公司的系統風險。結果發現公司財務限制程度越高，公司的系統風險也越高；在不同的投資組合下，投資組合期間越長，則愈顯著看出財務限制因子對系統風險的影響力。將三因子和動能因素加入後，發現財務限制高的公司雖擁有較高的系統風險，但並沒有同時反應在股票的風險溢酬。

Mdigliani and Miller (1958) proposed that in a perfect capital market, the investment decisions are independent of the capital structure. However, the imperfections of capital market usually lead to difficulties in financing for firms. With the existence of asymmetric information and agency problem, a considerable disparity between the costs internal and external financing arises. In other words, firms will ineffectively execute the investment decisions when they are financially constrained. If financial constrains influence macroeconomic behavior, financially constrained firms may be riskier than unconstrained. Therefore, we study whether financial constrains affect corporate systematic risk. We find that financially constrained firms are indeed riskier than unconstrained because they have higher systematic risk. Consequently, the financial constrain factors provide more significant explanatory strength for the portfolios with longer investment period. Including three factors and momentum, the empirical result also shows that the financial constrain factors may not significantly improve the ability in explaining risk premium.