借券賣出交易對股票報酬率之影響

The Impact of Short Selling on Stock Returns

李志宏(Jie-Haun Lee) ； 徐政義(Cheng-Yi Shiu) ； 馬瑞辰(Jui-Chen Ma) ； 魏慧珊(Hui-Shan Wei)

《證券市場發展季刊》 29卷2期 (2017/06) Pp. 75-106

https://doi.org/10.6529/RSFM.2017.29(2).3

摘要

本文探討2007 至2011 年間臺灣上市股票借券賣出交易與股票報酬率之關聯性。從日內資料的逐筆分析，發現借券賣出交易有群聚的現象，其可能與交易人拆單有關，而借券賣出交易並不會立即衝擊日內的價格。然而，從日資料分析，借券賣出交易與股票的未來報酬率呈負向關係，即當借券賣出交易增加時，未來有顯著為負的報酬率，且股價並沒有反轉的現象，曆時的四因子模型分析亦有類似結果。研究結果顯示借券賣出交易有利於將股票的負面消息透過借券賣出來反映在股價上，有利於提升市場的效率性。

關鍵字

借券交易 ； 股票放空 ； 股票報酬率

並列摘要

This paper examines the short-selling activities and stock returns during the period from 2007 to 2011. The intraday analysis shows that short sales cluster in some trades, suggesting that short sellers split their trades into smaller orders. The tick-by-tick analysis also demonstrates that short sales do not instantaneously impact short-term stock prices. However, the daily analysis shows a negative association between short sales and future equity returns. Stocks with more short sales tend to have lower subsequent equity returns. More important, the low subsequent equity returns associated with high short sales are permanent and do not reverse in the future. The results from Fama-French and Carhart four-factor model are quantitatively similar. Overall, our empirical results suggest that short sales are helpful in incorporating negative information into the equity prices and resulting in improvement in market efficiency.

並列關鍵字

Securities Lending ； Short Selling ； Stock Return

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