融券指標與公司治理指標對未來股票報酬影響之研究

The Effect of Short Selling Index and Corporate Governance Index on Future Stock Returns

本研究按融券指標(SI)和公司治理指標(CGI)以及結合此兩項指標的三種投資策略進行分析，觀察能否賺取股票異常報酬。首先將融券指標依大小排序分為五個組別，融券指標為融券餘額加上借券賣出餘額後除以流通在外股數，觀察其指標最佳者與指標最差者的組合是否能賺取股票異常報酬，其次，按照各公司治理指標排序等級，依高低分也形成五組，觀察指標最佳者與指標最差者的投資組合是否能轉取異常報酬。最後，再結合融券指標與公司治理指標的投資策略分析。實證結果發現，融券指標投資組合(BEST–WORST)平均可以產生一年13.5%的異常報酬，公司治理指標投資組合(BEST–WORST)平均可產生一年5.1%的異常報酬，而結合兩項指標的投資組合平均可產生一年20%的異常報酬。 在迴歸分析中，結合了這兩項指標形成投資組合，並加入Fama & French(1993)三因子、Carhart(1997)四因子以及台灣經濟新報(TEJ)市場面多因子資料庫中的多因子來控制其他影響異常報酬的因素，結果分別可得到15.4%(三因子)、14.8%(四因子)及13.7%(多因子)的異常報酬。研究結果顯示，融券指標及公司治理指標對於股票報酬具有顯著的增額資訊內涵，代表投資人確實可以透過這些指標來獲得更好的投資報酬。

This paper examines whether investors can exploit short selling index and corporate governance index to predict future stock returns and earn abnormal return. In the sample period from 2002 to 2013, all stocks are classified into 5 groups based on the proportion of the short selling index and the composite corporate governance index. We find that stocks with best index are much more likely to experience future earnings increases than stocks with worst index. Based on the short selling index, investors can have a one year 13.5% abnormal returns. Based on corporate governance index, investors can earn a one year 5.1% abnormal returns. The portfolio strategy that combining short selling index and corporate governance index generates average annual abnormal returns of 20%. Our results show that investors can earn abnormal return by longing firms with best index and shorting those with worst index.