| 中文摘要 |
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. |
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