本篇論文主要探討借券餘額與股價報酬之關係，我們將台灣2007年1月至2010年12月之上市普通股依照其每月底某證券借券餘額相對其流通在外股數的比率分為三個投資組合：“無借券投資組合”、“低借券率投資組合”及“高借券率投資組合”，並且觀察各投資組合於被借券時點(T)、之前(T-1)及後續二個月(T+1、T+2)的月報酬率和周轉率；研究發現 “無借券投資組合” 之報酬率明顯高於 “低借券率” 及 “高借券率” 投資組合之報酬率，顯示借券行為隱含未來較差之股價表現；另外我們也發現，“低借券率” 及 “高借券率投資組合” 有較低的周轉率，顯示被借券之證券其流動性相對較差，股票真實價值易高估，使其容易成為借券之標的，而造成後續報酬表現不如無借券之證券。

In this paper, we investigate the relation between investors’ short sales activities and stock returns. We calculate the proportion of the short sales interest relative to the total shares outstanding at the end of every month in the sample period from January 2007 to December 2010. All stocks are classified into three portfolios based on the proportion of the short sales: “non short-interest portfolio”, “low short-interest portfolio”, and “high short-interest portfolio”. We then observe the monthly return and turnover of the portfolios for the month prior to portfolio formation(T-1), at the portfolio formation(T), and for the two months following the portfolio formation(T+1, T+2). We find that “non short-interest portfolio” outperforms the “low short-interest portfolio” and “high short-interest portfolio”, suggesting that short-sales activities are informative for the future poor return. Further, we also find that “low-“ and “high short-interest portfolios” have lower turnover than “non short-interest portfolio”, indicating that stocks in “low-“ and “high short-interest portfolios” are illiquid and more likely to be overpriced. These overpriced stocks tend to be shortly sold by informed investors and have poor subsequent performance.

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