融券回補之資訊內涵及其獲利性投資策略之研究

有別以往文獻關於信用交易的研究，大部分是針對信用交易對股市造成的影響(如吳其昌，1998；Seguin，1990) 或上市上櫃公司被公告為暫停信用交易對其所產生之負面影響，本研究利用事件研究法（Event study），以2005年至2010年間的台灣上市公司為研究對象，探討台灣上市公司於融券最後回補日前後是否有異常報酬的產生。本文之實證結果發現整體上市公司融券強迫回補前具超額報酬行情，融券最後回補日行情電子類股比金融類股來得顯著且報酬率較高。若依據個股之特色做分類則可發現，價值型股無法證實具除權除息融券強迫回補超額報酬行情，成長型股票則有；小型股股東會融券最後回補日後之超額報酬率亦呈現均顯著為正的現象；另外，高融券股之融券回補行情優於低融券股股票。整體而言，投資人在進行股東會融券最後回補行情上，若想獲得最大的異常報酬率，則避開融券最後回補日後一個營業日所產生的異常負報酬可說是主要關鍵點。在選擇個股時，投資類股的選擇也是一項重要指標。根據事件研究法的統計結果顯示，投資人在研究期間內，若遇到股票融券強迫回補即提前進行先買後賣的投資操作，雖不保證每一次均會賺到超額報酬，但整個期間累積下來，應可得到正向的超額報酬，且達到統計上顯著的要求。本研究的發現比較支持市場是不具效率性的臆說，市場可能真的不如以往學者所認為的那麼有效率。因為投資人非理性的決策、資訊的不對稱、資訊的取得來源與股票交易成本等原因，使消息無法立即的被反應在價格上。透過以上的研究結果，說明在台灣股市的確可以於融券強迫回補前，運用「買入持有」策略投資，透過慎選類股，並配合個股特色，將可達到超越大盤的超額報酬行情。

關鍵字

融資；融券；信用交易；股東會；除權除息；事件研究法

並列摘要

It is distinguishable that past literature regarding credit transaction, that mostly focused on impact towards stock market by means of the investment strategy(e.g. Wuqi Chang, 1998; Seguin, 1990), or negative impact towards the listed or OTC companies which are officially announced suspension of credit transactions. This study uses methodology of the event study and focuses on the listed companies in Taiwan from 2005 to 2010, to examine whether any abnormal return may occur before and after the final short sale covering date for the listed companies in Taiwan. Empirical results for this study show that the total listed companies indicate the excess return before the forced short sale covering, and stocks in electronic sector show higher rate of abnormal return than those in the financial sector at the final short sale covering date. Classification based on the characteristics of the individual stocks finds it is not verified that whether the value stocks do have abnormal returns when ex-dividends and ex-rights short sale covering are executed, whereas the growth stocks do. On the day after final short sale covering deadline for small caps board of shareholders meetings, the growth stocks also demonstrate significantly positive excess returns. In addition, stocks with higher short selling position yield better than that with lower short selling position. In general, the investors who hope to obtain the maximum abnormal return from the short selling on market within shareholders' meeting period should avoid negatively abnormal return incurred at the day next to the final short sale covering deadline. Moreover, it is also important to choose the stock sector before investing in individual stocks. According to the statistic result of the event study methodology, investors who conduct buy-and-sell investment strategy while encountering forced covering of the short selling stock during the research period, though, it is not guaranteed achieving abnormal return, however, achieving a significantly positive abnormal return for the entire period is possible. The findings of this study do not support the hypothesis of efficiency of the market. The market may not be efficient as what scholars previously posited. Due to irrational decision-making from investors, the information asymmetry, the disability in acquisition of information source and transaction cost of the stocks etc., which inhibit messages immediately to be delivered in accordance with stock price on market. The above research results explicit that it is viable to operate “buy-and-hold” investment strategy through carefully selecting stock sector and considering its attributes, investors can then achieve significantly positive abnormal return in Taiwan's stock market.