券資比效應：台灣股市之證據

論文提要內容：本研究針對台灣股市檢定股票報酬與券資比之間的實證關係，使用1999年1月至2018年12月間，於臺灣證券交易所上市或中華民國證券櫃檯買賣中心上櫃之普通股股票為研究對象，依據每月平均（或月底）券資比來建構投資策略，探討各券資比組合之投資績效，檢定是否存在券資比效應，並試圖使用不同公司特性與風險因子作解釋，最後檢視券資比效應對樣本特性或研究期間之敏感度。結果顯示台灣股市存在顯著之券資比效應，即較低券資比股票經風險調整後之平均報酬高於高券資比股票。即使在控制樣本期間、交易所、產業別、規模、淨值市價比、獲利與投資等因素之下，此券資比效應仍然存在。不過，在多頭市場並不存在顯著券資比效應。

關鍵字

券資比；信用交易；股票報酬；台灣股市

並列摘要

Abstract: The study examines the empirical relationship between the stock return and the short sale/margin purchase ratio for Taiwan listed companies from January 1999 to December 2018. According to the monthly average short sale/margin purchase ratio (or the short sale/margin purchase ratio at end of the month) to construct investment strategies, exploring the investment performance of each ratio’s portfolio. Then, this paper tests whether there is a short sale/margin purchase ratio effect, and tries to explain using different company characteristics and risk factors. Finally, this study examines the sensitivity of the short sale/margin purchase ratio effect to characteristics or periods of the sample. The results show that there is a significant short sale/margin purchase ratio effect in the Taiwan stock market. It means lower short sale/margin purchase ratio stocks have higher average returns after adjusting risk. Short sale/margin purchase ratio effects persist event after controlling for sample period, exchange, industry, size, book-to-price, profitability, and investment factors. However, there exists an insignificant short sale/margin purchase ratio effect during up markets.