信用交易與股價報酬：意見分歧觀點

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姓名

呂振揚(Chen-Yang LU) 查詢紙本館藏

畢業系所

財務金融學系

論文名稱

信用交易與股價報酬：意見分歧觀點

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摘要(中)

本論文探討信用交易餘額及投資者意見分歧與股價報酬之關係。本文以 Fama-MacBeth 橫斷面迴歸分析融資餘額、融券餘額與借券賣出餘額對報酬的解釋能力。研究結果發現高融資餘額與高借券賣出餘額高都會造成後續股價報酬反轉，融券餘額高則否。融資交易與借券賣空交易造成後續股價反轉現象大約會持續六個月，符合 Miller (1977) 所提出的理論。此外，我們也將賣空交易區分成大多由一般投資者使用的融券賣空交易與專屬於特定機構法人使用的借券賣空交易，可以清楚發現借券賣空交易有助於將錯估的股價拉回基本面，而融券賣空交易拉回的力道相對弱許多。

摘要(英)

In this paper, we focus on the relationship between the balance of margin trading and stock return and diverence of opinion among investors. In the sample period from July 2006 to December 2015, we use balances of marin trading: balances of financing, balances of short selling, balances of securities lending for short selling to do Fama-MacBeth cross-sectional regression analysis. We found that high balance of financing and t balance of securities lending for short selling will cause the subsequent stock retrun reversal, but high balances of short selling does not cause the subsequent stock price pullback. This is mainly due to divergence of opinion among investors, in particular, that noise traders and rational arbitrageurs have different cognitive on stock price.

關鍵字(中)

★ 信用交易
★ 意見分歧
★ 股價報酬
★ 賣空餘額
★ 投資者基數

關鍵字(英)

★ margin trading
★ divergence of opinion
★ stock returns
★ short interest
★ investor base

論文目次

目錄頁數
中文摘要 i
英文摘要 ii
目錄 iii
圖目錄 iv
表目錄 iv

壹. 緒論 1
貳. 台灣信用交易市場介紹 3
參.文獻探討及研究假說 9
肆.研究方法 17
伍.實證結果與分析 18
陸.結論 27
參考文獻 28
附錄 31

參考文獻

中文文獻
台灣證券交易所融資融券交易相關規章彙編
( 法令資料截止日期為 104 年 12 月 31 日止 )

台灣證券交易所有價證券借貸交易相關規章彙編
( 法令資料截止日期為 104 年 12 月 31 日止 )

英文文獻
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Fama, Eugene F., and Kenneth R. French, 1993, Common risk factors in the returns on stocks and bonds, Journal of Financial Economics 33, 3–56.
Fama, Eugene F., and James MacBeth, 1973, Risk, return and equilibrium: Empirical tests, Journal of Political Economy 71, 607–636.
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Miller, Edward M., 1977, Risk, uncertainty, and divergence of opinion, Journal of Finance 32, 1151–1168.
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指導教授

周賓凰(Pin-Huang Chou)

審核日期

2016-7-6

推文