信用交易、意見分歧與股票報酬

MARGIN TRADING, DIFFERENCES OF OPINION, AND STOCK RETURNS

丁碧慧(Pi-Hui Ting)；呂振揚(Chen-Yang Lu)；周賓凰(Pin-Huang Chou)

信用交易 ； 意見分歧 ； 股票報酬 ； 賣空餘額 ； 投資人基礎 ； Margin trading ； Divergence of opinion ； Stock returns ； Short interest ； Investor base

經濟論文

46卷3期（2018 / 09 / 01）

323 - 366

繁體中文

本文擴充Miller（1977）的意見紛歧理論觀點，證明在存在投資人異質下，融資餘額與融券餘額分別導致正向與反向的定價差距，因而對後續報酬有負向與正向的影響。與融券賣空不同的是，以機構投資人為主的借券賣出餘額具有資訊內涵與價格修正二種效果；由於二效果的相對大小不確定，因而借券賣出與後續報酬的關係也不確定。我們以台灣證券交易所所有上市公司為樣本，發現高融資餘額與高借券賣出餘額都會造成後續股票報酬下修；高融券餘額則與後續股票報酬有正向相關。

We extend Miller's (1977) divergence-of-opinion theory to the case where heterogeneous investors engage in margin trading due to their differences in sentiment. Specifically, we show that long purchasing and short selling activities due to individual investors, contribute to positive and negative mispricing respectively, thereby having negative and positive effects on subsequent stock returns. By contrast, short selling activities due to institutional investors have two opposite effects on mispricing: an information effect, which predicts a negative effect on subsequent stock returns and a price correction effect, which predicts a positive effect; the net effect will be negative if the former dominates the latter. Based on a monthly sample period for all stocks listed on the Taiwan Stock Exchange for 2006-2015, we find strong empirical evidence supporting our theoretical argument.

1. 曾翊恆、魏品揚(2017)。盤前公開資訊、開盤價格發現與投資人委託決策。經濟論文，45(4)，503-597。
   連結：
2. 蔡佩蓉、王元章、張眾卓(2009)。投資人情緒、公司特徵與台灣股票報酬之研究。經濟研究，45(2)，273-322。
   連結：
3. Asquith, P.,Pathak, P.,Ritter, J. R.(2005).Short Interest, Institutional Ownership, and Stock Returns.Journal of Financial Economics,78,243-276.
4. Boehmer, E.,Jones, C. M.,Zhang, X.(2008).Which Shorts Are Informed?.Journal of Finance,63,491-527.
5. Bris, A.,Goetzmann, W. N.,Zhu, N.(2007).Efficiency and the Bear: Short Sales and Markets Around the World.Journal of Finance,62,1029-1079.
6. Campbell, J. Y.,Kyle, A. S.(1993).Smart Money, Noise Trading and Stock Price Behaviour.Review of Economic Studies,60,1-34.
7. Chang, E. C.,Luo, Y.,Ren, J.(2014).Short-Selling, Margin-Trading, and Price Efficiency: Evidence from the Chinese Market.Journal of Banking and Finance,48,411-424.
8. Christophe, S. E.,Ferri, M. G.,Angel, J. J.(2004).Short-Selling Prior to Earnings Announcements.Journal of Finance,59,1845-1876.
9. Daniel, K.,Hirshleifer, D.,Subrahmanyam, A.(1998).Investor Psychology and Security Market Under- and Overreactions.Journal of Finance,53,1839-1885.
10. D'Avolio, G.(2002).The Market for Borrowing Stock.Journal of Financial Economics,66,271-306.
11. De Long, J. B.,Shleifer, A.,Summers, L. H.,Waldmann, R. J.(1990).Noise Trader Risk in Financial Markets.Journal of Political Economy,98,703-738.
12. Dechow, P.,Hutton, A.,Meulbroek, L.,Sloan, R. G.(2001).Short-Sellers, Fundamental Analysis, and Stock Returns.Journal of Financial Economics,61,77-106.
13. Desai, H.,Ramesh, K.,Thiagarajan, S. R.,Balachandran, B. V.(2002).An Investigation of the Informational Role of Short Interest in the NASDAQ Market.Journal of Finance,57,2263-2287.
14. Diamond, D. W.,Verrecchia, R. E.(1987).Constraints on Short-Selling and Asset Price Adjustment to Private Information.Journal of Financial Economics,18,277-311.
15. Diether, K. B.,Lee, K. H.,Werner, I. M.(2009).Short Sale Strategies and Return Predictability.Review of Financial Studies,22,575-607.
16. Engelberg, E.,Adam, V. R.,Matthew, C. R.(2012).How Are Shorts Informed? Short Sellers, News, and Information Processing.Journal of Financial Economics,105,260-278.
17. Hong, H.,Stein, J. C.(2007).Disagreement and the Stock Market.Journal of Economic Perspectives,21,109-128.
18. Johnson, N. L.,Kotz, S.,Balakrishnan, N.(1994).Continuous Univariate Distributions.New York:Wiley & Sons.
19. Jones, C.,Lamont, O.(2002).Short Sales Constraints and Stock Returns.Journal of Financial Economics,66,207-239.
20. Karpoff, J. M.,Lou, X.(2010).Short Sellers and Financial Misconduct.Journal of Finance,65,1879-1913.
21. Lo, A.,Wang, J.(2000).Trading Volume: Definitions, Data Analysis,and Implications of Portfolio Theory.Review of Financial Studies,13,257-300.
22. Merton, R. C.(1987).A Simple Model of Capital Market Equilibrium with Incomplete Information.Journal of Finance,42,483-510.
23. Miller, E. M.(1977).Risk, Uncertainty, and Divergence of Opinion.Journal of Finance,32,1151-1168.
24. Mohamad, A.,Jaafar, A.,Hodgkinson, L.,Wells, J.(2013).Short Selling and Stock Returns: Evidence from the UK.The British Accounting Review,45,125-137.
25. Newey, W. K.,West, K. D.(1987).Hypothesis Testing with Efficient Method of Moments Estimation.International Economic Review,28,777-787.
26. Seneca, J. J.(1967).Short Interest: Bearish or Bullish?.Journal of Finance,22,67-70.
27. Takahashi, H.(2010).Short-Sale Inflow and Stock Returns: Evidence from Japan.Journal of Banking and Finance,34,2403-2412.
28. Wooldridge, J. M.(2006).Introductory Econometrics.Mason, OH:South-Western Cengage Learning.
29. Wurgler, J.,Zhuravskaya, E.(2002).Does Arbitrage Flatten Demand Curves for Stocks?.Journal of Business,75,583-608.
30. 朱家倫(2017)。近期融資融券業務新規範介紹。證券暨期貨月刊，35，5-25。
31. 周賓凰、張宇志、林美珍(2007)。投資人情緒與股票報酬互動關係。證券市場發展季刊，19，153-190。
32. 林崇英(2012)。我國證券借貸與信用交易制度概述。證交資料，599，47-51。
33. 張文毅(2013)。有價證券借貸之釋疑、啟示及建議。證券暨期貨月刊，31，12-23。