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.

中文文獻

1. 林崇英，我國證券借貸與信用交易制度概述，台灣證券交易所。
2. 張文毅，我國有價證券借貸市場的過去、現況與未來，台灣證券交易所。
3. 陳美齡，有價證券借貸之資訊皆露，台灣證券交易所。
4. 黃執敬 (2009)，「台灣證券借貸市場借券費率之實證研究」，國立中央大學財務金融所碩士論文。
5. 陳家懿 (2012)，「借券賣出與股價報酬率之實證研究」，國立中央大學財務金融所碩士論文。
6. 曾郁芳 (2015)，「證券借貸市場借券費率決定因子：以台灣借券資料之實證」，國立中央大學財務金融所碩士論文。

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