本研究是以1998年至2007年之2541個交易日為期間，採用704家上市公司為對象，以買賣單不平衡作為資訊不對稱之代理變數，並納入本益比、淨值市價比和公司規模三個特徵因子作為其控制變數，探討資訊不對稱下之股票報酬行為，以縱橫資料(panel data)迴歸模型進行實證分析。其實證結果如下：
一、 前期買賣單不平衡與當期股票報酬呈顯著之正向關係，此結果支持過去學者研究大多認為前期買賣單不平衡會與當期股票報酬呈正向關係，即若前期買單大於賣單則當期股票報酬會較大，反之亦然。
二、 前期本益比和前期公司規模與當期股票報酬呈顯著之負向關係。而前期淨值市價比會與當期股票報酬呈顯著之正向關係。
三、 將迴歸式加入買賣單不平衡之虛擬變數與公司特徵因子的交乘項後，其實證結果發現，買賣不平衡與公司規模之交乘項則顯著異於零，和當期股票報酬呈顯著之負向關係。買賣單不平衡與本益比和淨值市價比之交乘項則顯著異於零，且皆和當期股票報酬呈顯著之正向關係。
四、 本研究樣本採用兼具時間序列與橫斷面的縱橫資料(panel data)，其檢定結果顯示，固定效果模型較普通最小平方模型與隨機效果模型更具其解釋能力且較適合進行實證分析。

This study uses 2541 trading days from 1998 to 2007 for 704 listed companies. Adopting order imbalance as a proxy of information asymmetry, we employ panel model including three characteristic factors as control variables of P/E ratio, B/M ratio, and Size to observe the stock returns under information asymmetry. Empirical results are as follows：
1.Prior order imbalance has a significantly positive relationship with the stock return. Past scholars considered that prior period order imbalance has a positive relationship with current stock return. When prior buying trading orders are more than selling trading orders, the current stock returns exist, vice versa.
2.The prior P/E ratio and the prior Size have a significantly negative relationship with stock return. However, the prior B/M ratio have a significantly positive relationship with stock return.
3.Adding the interaction of order imbalance and company characteristics, empirical result shows that the coefficient of interaction of order imbalance and Size is negative significant. The coefficient of interaction of order imbalance and P/E ratio is positive significant. The coefficient of interaction of order imbalance and B/M ratio is positive significant, too.
4.The fixed effect model is more appropriate than ordinary least squares model and random effects model.

目　錄
中文摘要 i
英文摘要 ii
誌 謝 iii
目　錄 iv
表目錄 v
第壹章　緒論 1
第一節　研究背景與動機 1
第二節　研究目的 5
第三節　研究架構 6
第貳章　文獻探討 7
第一節　資訊不對稱、買賣單不平衡與股票報酬之相關文獻 7
第二節　本益比與股票報酬之相關文獻 14
第三節　淨值市價比與股票報酬之相關文獻 19
第四節　公司規模與股票報酬之相關文獻 24
第參章　研究設計 28
第一節　研究樣本與資料來源 28
第二節 研究變數之定義 30
第三節 研究方法 33
第肆章　實證結果與分析 41
第一節　變數之敍述性統計 41
第二節　縱橫資料之最適模型 43
第三節　股票報酬之實證結果 48
第伍章 結論與建議 53
第一節　結論 53
第二節　研究建議與研究限制 55
參考文獻 57

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