本研究主要目的為探討台灣證券市場中的借券交易，其資訊是否與公司負面新聞有相關性，也就是說其對於負面新聞究竟有無預測性。本研究會先從負面新聞是否造成負的異常報酬先行著手，再探討負的異常報酬能否從借券資訊及相關控制變數來預測。本論文以台灣經濟新報TEJ+中的台灣50成分股當作樣本，並利用SAS的迴歸模型所得資訊來探討研究目的。

根據以往文獻，許多研究均認為借券放空會影響股價，可是並沒有詳細探討到借券資訊對於異常報酬的影響。本研究利用事件研究法及複迴歸分析，發現在負面新聞發生前後兩天有負的累積異常報酬，而且十分顯著。另一方面，借券資訊中的借券餘額也能顯著的預測到新聞發生後兩日及一個月的平均累積異常報酬。借券成交利率則只有在預測一個月的累積異常報酬結果顯著。而控制變數則以淨值市價比與股東權益報酬率較為顯著的對累積異常報酬造成影響。此研究結果可作為日後觀察台灣市場中借券資訊的一項參考。

This study aims to discuss whether the information in the Taiwan securities market is related to the negative news of the company, that is, whether it could predict the negative news. At first, we will test negative news result in negative abnormal returns, and then whether negative abnormal returns can be predicted from security lending information and related control variables. The sample of this paper takes Taiwan's 50 stocks in TEJ+, and use SAS's regression model to research.
In this study, we used event study and regression analysis to find that there was a negative cumulative abnormal return for two days before and after negative news, and it is significant. On the other hand, the balance of security lending can also significantly predict the cumulative abnormal return of the two days and one month after the news. And the interest rate of the security lending is only significantly predict cumulative abnormal return of one month. While the control variables include BMR and ROE have an effect on the cumulative abnormal return. The results of this study can be used as a reference for future observation of our security market.

中文文獻:

沈中華與李建然 (2000)，事件研究法－財務與會計實證研究必備。台北：華泰文化。

陳建宏 (2011)，「借券交易對股價變化影響硏究」，國立臺灣大學碩士論文。

陳櫻儒 (2006)，「證券借貸市場簡介」，證券暨期貨月刊，第24卷，第9期。

曾郁方 (2010)，「證券借貸市場借券費率決定因子：以台灣借券資料之實證研究」，國立中央大學碩士論文。

黃蕙茵 (2003)，「台灣股票市場之破產風險與股票報酬」，國立東華大學碩士論文。

黃執敬 (2009)，「台灣證券借貸市場借券費率之實證研究」，國立中央大學碩士論文。

練有為, 鄭素珍及林憲平 (2012)，「外資為何在台灣金融市場瘋狂借券? --以2008年金融崩解及其後效為鑒」，創新研發學刊 The Journal of INNOvation Research & Development 第八卷，第一期． 2012, Vol. 8, No.1。

臺灣證券交易所 (2016)，「我國證券借貸與信用交易制度概述」，(取得日期：2017年3月1日)，[available at http://www.twse.com.tw/zh/page/products/sbl/sbl_info.html]。

英文文獻:

Asquith, P., Mikhail, M. B., and Au, A. S. (2005), “Information content of equity analyst reports.” Journal of Financial Economics, 75(2), 245-282.

Carhart, M. M. (1997), “On persistence in mutual fund performance.” Journal of Finance, 52(1), 57 82.

Chan, Hamao and LakonishoK (1991), “Fundamentals and Stock Returns in Japan.” Journal of Finance, 46 (5): 1739-1764.

Cutler, David M., Poterba, James M., and Summers, Lawrence H. (1989), “What Moves Stock Prices?” Journal of Portfolio Management, Vol. 15, No. 3, pp. 4-12.

Daske, Holger, Scott A. Richardson, and Irem Tuna (2005), “Do Short Sale Transactions Precede Bad News Events?” Working paper, University of Pennsylvania.

Diether, Karl B., Lee Kuan-Hui, and Werner, Ingrid M. (2009), “ It’s SHO Time! Short -Sale Price-Tests and Market Quality.” Journal of Finance 64, 37-73.

Fama, Eugene F., and French, Kenneth R. (1992), “The Cross-Section of Expected Stock Returns.” Journal of Financial, Vol XLVII, No. 2.

Fama, Eugene F., and French, Kenneth R. (2001), “Disappearing dividends: changing firm characteristics or lower propensity to pay?” Journal of Financial Economics 60 (2001) 3-43.

Figlewski, S. (1981), “The informational effects of restrictions on short sales: some empiricalevidence.” Journal of Financial and Quantitative Analysis 16, 463-476.

Khanna, M., W. R. H. Quimio, D. Bojilova (1998), “Toxics Release Information: A Policy Tool for Environmental Protection.” Journal of Environmental Economics and Management 36 (3): 243-266.

Konar, S., and M. A. Cohen (1997), “Information as Regulation: the Effect of Community Right to Know Laws on Toxic Emissions.” Journal of Environmental Economics and Management 32 (1): 109-124.

Kross, W., G. Ha, and F. Heflin (1994), “A test of risk clientele effects via an examination of trading volume response to earnings announcements.” Journal of Accounting & Economics (July): 67-87.

Lakonishok, Josef, Andrei Shleifer, and Robert W Vishny (1994), “Contrarian Investment, Extrapolation, and Risk.” Journal of Finance 49 (5): 1541-1578.

Seneca,J.J. (1967), “Short interest: Bearish or bullish? ” Journal of Finance, 32 (4): 1151-1168.

Tetlock, P. (2007), “Giving content to investor sentiment: The role of media in the stock market.” Journal of Finance 62 (3): 1139-1168.

Zhou, H., K. S. Koong, and Y. Xiong (2007), “Accounting standards and quality of earnings information evidence from an emerging economy.” International Journal Electronic Finance 1 (3): 355-372.