借券費率對未來股票報酬率之影響

NCUIR > School of Management at National Central University > Graduate Institute of Finance > Electronic Thesis & Dissertation > Item 987654321/80742

Please use this identifier to cite or link to this item: http://ir.lib.ncu.edu.tw/handle/987654321/80742

Title:	借券費率對未來股票報酬率之影響
Authors:	楊馥慈;Yang, Fu-Tzu
Contributors:	財務金融學系
Keywords:	借券費率;借券餘額;股票報酬率
Date:	2019-06-12
Issue Date:	2019-09-03 15:06:22 (UTC+8)
Publisher:	國立中央大學
Abstract:	本篇論文主要探討借券費率對未來股票報酬率之關聯性，將台灣2013年1月至2017年12月上市(櫃)普通股，每月將股票借券費率取平均值或是中位數，依照排序分為三個投資組合: 「高借券費率」、「中借券費率」、以及「低借券費率」；依照每月月底股票借券餘額市值佔流通在外市值比率，分為三個投資組合: 「高借券餘額」、「中借券餘額」、以及「低借券餘額」，並且觀察各投資組合於後續兩個月(T+1、T+2)的月報酬率。研究發現，在高借券餘額投資組合中，高借券費率投資組合的未來報酬表現比中借券費率與低借券費率投資組合報酬率差，顯示在借券需求程度高時，放空成本高會造成股票被高估，進而造成後續表現不佳。;This paper examines the lending fee rate and stock returns during the period from 2013 to 2017. The result shows that the return of high lending fee rate portfolio performs worse than return of low lending fee rate portfolio. The paper then adds on open-interest factor to exam the portfolio return. However, portfolio with high lending fee rate and high open-interest tends to performs the worst. It shows that the stocks with high demand but hard to achieve won’t perform well compared with stocks with low costs.
Appears in Collections:	[Graduate Institute of Finance] Electronic Thesis & Dissertation

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