本篇論文主要探討融券賣出以及借券賣出交易與股價報酬之關係，在研究期間 2005年1月至2011年12月，依照有價證券融券賣出以及借券賣出交易金額佔當日成交金額百分比，排序成四個投資組合：「無融券(借券)賣出交易的股票」、「低融券(借券)賣出比例的股票」、「中融券(借券)賣出比例的股票」、「高融券(借券)賣出比例的股票」，以四因子模型進行日資料的估計，發現高融券賣出與高借券賣出交易的股票在後續的股價具有顯著地負報酬，而且負的報酬並沒有反轉的現象，顯示賣空交易的確能使私有的負面訊息反映至股價上，有助於市場價格發現的功能以及提升市場效率性。

In this paper, we investigate the relation between short sales and stock return. In the sample period from January 2005 to December 2011, all stocks are classified into four protfolios based on the proportion of the short sales:"non short-sales stocks", and "low short-sales stocks", and "medium short-sales stocks", and "high short-sales stocks". Four factor models are employed to detect the abnormal returns in the trading days following the short sales. We find strong evidence that "low short-sales stocks" outperforms the "high short-sales stocks", and this pattern is robust in differnt holding period. However, the superior return does not reverse in the longer period. Empirical results suggest that short sellers possess private information and short-selling can improve market efficiency by incorporating negative information into stock prices.

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