本文以台灣所有上市公司為樣本，探討台灣放空者的投資行為，結果發現台灣放空者雖然在開倉行為上是理性的，然而回補卻有行為偏誤，並不完全理性，不論是投資組合分析或是Fama-MacBeth橫斷面迴歸分析均有此結論。除此之外，放空者回補行為之所以不理性是因為放空者存在處分效果，使得放空者並無法挑選適當時間點回補，更進一步也發現處分效果具有不對稱性，也就是說放空者事實上不論是獲利或是虧損都傾向回補，而處分效果之所以存在，主要的原因是獲利傾向回補的幅度大於虧損。最後，利用(Engelberg, Reed et al. 2018)所提出的放空風險，發現放空者實際上是受到放空限制而無法在正確的時間點回補，造成即便放空者擁有資訊也無法使用資訊進行套利。

This study aimed to understand the behavior of shorting investors in Taiwan. We find that the shorting investors were rational while they opened their position. However, shorting investors were incurred behavior biases when closing positions. No matter using portfolio analysis or Fama-Macbeth cross-sectional regression would have the same conclusion. Because of the deposition effect, closing behavior would be irrational, so that shorting investors could not close their position correctly. Furthermore, the shape of the deposition effect was an asymmetry. In other words, the shorting investors tend to close the position whether profit or loss. Nevertheless, the disposition effect existed, mainly because the profit position closing range was wider than the loss. In the end, use the short-selling risk (Engelberg, Reed et al. 2018), we found out that the shorting investors were not able to close the position at the right timing due to the shorting constraint, which made the shoring investors were not able to use the information to arbitrage even they got the information.

論文審定書 ……………………………………………………….. i
中文摘要 ………………………………………………………….. ii
英文摘要 ……………………………………..…………………… iii
第一章 緒論 ……………………………………………………… 1
第二章 文獻回顧 ………………………………………………….. 3
第三章 研究方法與模型 ………………………………………….. 7
3.1資料來源與樣本篩選 ……….………………….................. 7
3.2 變數定義 ..…..………………………………….................. 8
3.3 研究方法 ..…………..………………………….................. 11
第四章 實證結果 ………………………………………………….. 16
4.1 敘述統計 .…………...………………………….................. 17
4.2 放空者資訊含量 .…...…………………………………….. 18
4.3 放空者行為偏誤—處分效果 ….……...……….................. 23
4.4 處分效果不對稱性 ………….………...……….................. 24
4.5 處分效果—控制放空風險 ………..………...………......... 25
第五章 結論 ……………………………………………….............. 28
參考文獻……………………………………………………….……. 29

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