本文以台灣2010年至2019年融券及借券市場的資料進行賣空交易者之處分效果(Disposition Effect)的研究。參考von Beschwitz and Massa (2020) 的研究，以固定個體及時間效果的面板數據迴歸模型與Fama-MacBeth兩階段迴歸模型進行實證分析。研究結果發現本國的賣空者在交易時會受到處分效果的影響，傾向過早平倉獲勝部位並持有虧損部位過久，且本國賣空者的處分效果較美國賣空者大。此外，透過交乘項迴歸分析，本文實證發現以小規模公司、流動性不足公司、低機構投資人持股公司及高波動度公司為賣空部位者，所遭受的處分效果會更顯著；而以高融券成本公司為賣空部位者，其處分效果則較弱。

Through the data from Taiwan’s securities lending and borrowing markets from 2010 to 2019, this research tests the disposition effect of short-sellers. As the research of von Beschwitz and Massa (2020), we use the panel data regression model with individual and time fixed effects and weekly Fama-MacBeth regression model for empirical analysis. The results of the study find that short-sellers are affected by the disposition effect that tend to close winning positions prematurely and hold losing positions for too long, and the disposition effect of short-sellers in Taiwan is greater than those in America. In addition, the disposition effect is weaker for firms with high lending fees and is stronger for smaller firms, more illiquid firms, low institutional ownership firms, and high volatility firms.

論文審定書 i
中文摘要 ii
英文摘要 iii
目錄 iv
圖次 v
表次 vi
第一章 緒論 1
第一節 研究背景 1
第二節 研究目的 2
第三節 研究架構 3
第二章 文獻探討與假說發展 4
第一節 處分效果與投資人類型 4
第二節 處分效果與公司特徵 6
第三節 賣空交易相關文獻 7
第四節 假說發展 8
第三章 資料與研究方法 10
第一節 研究模型 10
第二節 資料來源與變數定義 11
第四章 實證結果 16
第一節 敘述統計與相關性分析 16
第二節 賣空者處分效果之實證結果分析 20
第三節 公司特徵對賣空者處分效果影響之實證結果分析 25
第四節 穩健性測試 26
第五章 結論與建議 30
第一節 研究結論 30
第二節 研究建議與未來研究方向 30
參考文獻 31
附錄 35

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