空頭，基本分析，與股票報酬率之關係

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Title:	空頭，基本分析，與股票報酬率之關係
Other Titles:	Short-Sellers, Fundamental Analysis, and Stock Returns
Authors:	廖國宏 Liaw, Gwo-Horng
Contributors:	行政院國家科學委員會東海大學經濟系
Keywords:	融券放空;基本比率;交易成本 Short-selling;Fundamental ratio;Transaction costs
Date:	2005
Issue Date:	2011-11-17T06:30:56Z (UTC)
Abstract:	本研究目的在於探討台灣股票市場投資人融券放空策略之行為.研究資料包括台灣1992至2003期間所有上市公司.我們希望檢定股票預期報酬與放空策略之決定因素,包括基本財務比率與交易成本兩者.現行台灣股市之研究大多以時間序列探討融券行為,尚未有以橫剖面為研究方式者,本研究及彌補此方面之缺失. 以Dechow等人(2001)之實證模型為基礎,用四項替代變數( 盈餘對價格, 帳面對市場, 現金流量對價格, 以及價值對市場)衡量基本對市場之比率. 同時又以四項替代變數(市場價值,法人持有比率, 法人加數, 以及股利率) 衡量交易成本.依存變數是股票預期報酬.本計畫預期替代變數所代表之資訊將會決定放空投資人放空預期報酬下跌的股票. This project intends to examine the strategies of short-sellers in the Taiwan stock market. The database for this project consists of all firms trading on the Taiwan Stock Exchange from 1992 to 2003. We want to test the relation between expected returns and the determinants of short-selling strategies including two factors that affect the sophisticated investors: the ratios of fundamental to market value and transaction costs. There is paucity of literature in Taiwan on this subject using cross-section analysis. Most of them are time series methods. This project fills this empty. Based Dechow et al.'s empirical models, we use four measures (earnings-to-price, book-to-market, cash-flow-to-price, and value-to-market) to proxy the ratios of fundamental to markets. We also use for measures (market value, institutional holdings, number of institutions, and dividend yield) to proxy transaction costs. The dependent variable is short position. Ex ante we expected that short-sellers would use information in these proxies to take positions in stocks with lower expected future returns.
Relation:	研究編號：NSC94-2416-H029-004 研究期間：2005-08 ~ 2006-07
Appears in Collections:	[Department of Economics ] National Research Council Research Report

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