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。;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.
