過去文獻發現放空者主要為逆勢操作者之理念不斷遭受學者的質疑，其中學者Blau et al. (2009) 發現在非正常市場狀態下，放空者行為由逆勢操作者轉變為跟隨群眾趨勢，打破放空量與報酬為線性關係的說法。除此之外，臺灣證交所增加融借券資訊的透明度，使得投資者擁有更多訊息觀察市場的走勢，因此本文希冀利用融券餘額、融券賣出、借券餘額與借券賣出探討放空量與報酬的關係，以及何者放空量對於股價的影響程度較大。
首先，本文探討放空量與報酬兩者是否為線性關係，故利用Hansen(1999)門檻模型估計放空者轉換放空行為的報酬門檻值，結果發現部分股票放空量與報酬為線性關係，部分則為非線性關係。此外，散戶放空者的放空行為若以融券餘額為放空量代理變數，當報酬小於門檻值時，放空行為為動能投資者，大於門檻值時則轉換逆勢操作者；若以融券賣出為放空量代理變數，其放空行為以動能投資者為主，而偏態係數為主要影響報酬門檻值的股票特性，兩者為顯著負相關。
其次，分析不同投資人類型放空的股票特性。以散戶來說，不論長期或短期，當個股具有流動性差、報酬左偏、高法人持股比、高市帳比、價格效率性差與低波動度之特性時，放空量對報酬有顯著的負向影響；以法人而言，放空量對於報酬影響程度較大的唯一股票特性為偏態係數。整體而言，法人的前期放空量對於當期報酬影響程度較散戶大，且影響程度隨時間拉長而增長。

According to literature, they support that short sellers are contrarian. However, Blau et al. (2009) found during extreme market movements, the behaviors of short sellers switch to follow the crowd. This finding points out that the relationship between short interest and return is not liner. In addition, TWSE enhance the transparency of short selling, so investors have more information to examine the market trend. Therefore, we try to use the different proxy variables of short interest to measure the relationship between short interest and return, and find out which proxy variable has greater influence on return.
First of all, we use the sample of Taiwan Market to discuss the relationship between short interest and return. Since some of stock is not linear, we use threshold model, brought up by Hansen in 1999, to estimate the threshold. We find out the short sellers in Taiwan have the following behavior : (1) momentum when smaller than the threshold but become contrarian when greater than the threshold, or (2) momentum. Furthermore, skewness is the major feature to influence the threshold and is significant negative.
For individual, whether in long term or short term, short interest of stocks with low liquidity, left-skewed, high ownership, high MB ratio, low price efficiency, will have greater influence on return; for institution, skewness becomes the only feature to influence the return. Overall, short interest of institution has greater influence on return than individual, and the influence will get stronger as time goes by.

第一章 緒論 1
第一節 研究背景與動機 1
第二節 研究目的 4
第三節 研究貢獻 5
第四節 研究架構 6
第二章 文獻探討 7
第一節 放空者行為 7
第二節 放空股票類型 9
第三章 研究假說 13
第一節 放空者報酬門檻值 13
第二節 放空股票類型 16
第四章 資料與研究方法 18
第一節 樣本期間資料概述 18
第二節 變數說明 18
第三節 實證模型 25
第五章 實證分析 30
第一節 樣本期間市場概述 30
第二節 敘述統計 34
第三節 單根檢定 38
第四節 實證結果 39
第六章 結論與建議 48
第一節 論文結論 48
第二節 建議與限制 50
第七章 參考文獻 51
第八章 附錄 55

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