臺灣博碩士論文加值系統

本篇文章檢測進行股票放空回補的投資人的交易行為是動能操作策略或是逆勢操作策略，以及投資人是否有預測未來報酬的能力。此外，為更深入探討資訊投資人的交易活動，我們再將投資人區分為散戶投資人以及機構投資人。我們發現在股票放空回補時，散戶投資人並沒有特別採取動能策略或者逆勢交易策略；而機構投資人採取的是動能策略，代表機構投資人並沒有回補在最佳價格。同時，散戶投資人對於未來報酬有錯誤的預測，而機構投資人則能正確地預測未來的股價走勢。我們的實證結果支持在股票放空回補時，機構投資人相對於散戶投資人是為較具有資訊優勢的投資人。

Using the component stocks of the Taiwan 50 Index and Taiwan Mid-Cap 100 Index from 2012 to 2014, we examine the relation between short-covering activities and stock return. We find that a past stock return does not affect the behavior of closing a short position by individual investors, and that institutional investors do not cover their short positions at the best stock price (relative minima). Moreover, individual investors predict wrong future returns, whereas institutional investors have the ability to predict future returns. Our results are consistent with those in previous studies in which institutional investors are claimed to be smart and informed.

Abstract .......................................................................................................................... 1
摘要 ................................................................................................................................ 2
Content ........................................................................................................................... 3
1. Introduction ................................................................................................................ 4
2. Literature review ........................................................................................................ 7
3.1 Data .................................................................................................................... 11
3.2 Research design .................................................................................................. 12
3.2.1 Short-covering activities and past returns ................................................... 12
3.2.2 Short-covering activities and past return by different trader types ............. 14
3.2.3 Short-covering activities and future returns ................................................ 15
3.2.4 Short-covering activities and future returns by different trader types ........ 16
4.1 Descriptive statistics .......................................................................................... 17
4.2 Main results ........................................................................................................ 19
4.2.1 Short-covering activities and past returns ................................................... 19
4.2.2 Short-covering activities and past returns by different trader types ........... 20
4.2.3 Short-covering activities and future returns ................................................ 21
4.2.4 Short-covering activities and future returns by different trader types ........ 21
5. Conclusions .............................................................................................................. 22
References .................................................................................................................... 24

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