信用交易與資產定價模式：台灣股市之證據

本研究探討台灣股市是否存在信用交易使用率效應，使用2000年至2019年間，臺灣上市(櫃)普通股股票為研究對象，以及依據信用交易使用率高低建構信用交易因子，形成市場、規模、淨值市價比、信用交易四因子模式，同時比較Black，Jensen and Scholes (1972)單因子模式、Fama and French (1993)三因子模式以及本研究之四因子模式對於解釋台灣上市(櫃)股票報酬變異的適用性。結果顯示台灣股市存在顯著信用交易使用率效應，即低信用交易使用率投資組合之平均超額報酬顯著大於高信用交易使用率投資組合平均超額報酬。而本研究所建立之四因子模式能捕捉較多的股票報酬共同時間序列變異，且能夠解釋規模、淨值市價比、信用交易使用率等異常效應。同時，該四因子模式相對較能夠解釋股票間平均報酬的橫斷面變異，結果建議四因子模式是優於單因子或三因子模式。

關鍵字

信用交易；因子模式；台灣股市

並列摘要

This study explores whether there is a margin transaction usage rate effect for Taiwan listed companies from 2000 to 2019, and constructs margin transaction factor based on the level of margin transaction usage rate to form a market, size, book to price and margin transaction, the four-factor model. Then, this paper compares the validity of the one-factor model of Black, Jensen and Scholes (1972), the three-factor model of Fama and French (1993), and the four-factor model of this study in explaining the variation in stock returns in Taiwan. The results show that the Taiwan stock market has a significant margin transaction usage rate effect, that is, the average excess return of the low-margin transaction usage rate portfolio is significantly greater than the average excess return of the high-margin transaction usage rate portfolio. The four-factor model of this study can capture more common time-series variation of stock returns, and can explain abnormal effects such as size, book to price, and margin transaction usage rate. The four-factor model is also relatively ability of explaining the cross-sectional variation of average returns among stocks. The results suggest that the four-factor model is better than the one-factor or three-factor model.