本研究首先探討台灣賣空交易者是否可以獲利，研究結果發現台灣融券賣空者不管在原始報酬或風險調整後報酬都可獲得顯著的正報酬。與美國實證資料一致，台灣賣空交易者傾向交易大型股、高價股及動能股，透過投資組合或者Fama-MacBeth橫斷面迴歸分析，在控制其他報酬影響因子後此結論依舊穩健。其次，有別於現存文獻，本研究首次探討賣空交易者是否具有解讀市場投資人情緒的能力。研究結果從轉移機率矩陣發現高融券賣出的股票具有持續性，且上一期樂觀情緒的股票，下一期有較高機率成為高融券賣空的股票。本文進一步發現不管是從總體或者個股樂觀情緒指標，實證結果都發現賣空交易者在樂觀情緒狀態下可獲取更高報酬，台灣賣空投資人能夠有效解讀市場情緒，並且在投資人情緒過高而導致證券過度定價時進場套利。

This study first aimed to investigate whether traders in Taiwan's stock market were able to profit from short selling. We found that short sellers were able to earn significant positive returns, whether in raw returns or risk-adjusted returns. Consistent with the empirical results of U.S. studies, short sellers in Taiwan tend to trade stocks characterized by high market value, high stock price and high liquidity. With return-impacting factors controlled, the above findings still remained robust whether in portfolio analysis or Fama-MacBeth cross-sectional regression.Next, the study aimed to investigate whether short sellers were able to analyze investor sentiment. Using the transition probability matrix, the study found continuity of short selling behavior in stocks of high short volume, and stocks that exhibited optimism in the previous period had a higher probability of accumulating high short volume in the following period. Empirical results of the study further discovered that, whether using optimism indicators for the overall market or individual stocks, short selling at the state of optimism can earn higher returns; additionally, short sellers in Taiwan were effective in analyzing investor sentiment, and short sell at a time when security is overpriced.

論文審定書 i
摘要 ii
Abstract iii
Figure v
Table vi
1. Introduction 1
2. Literature Review 8
2-1. Short sellers' trading pattern 8
2.2. Effect of investor sentiment on stock price and returns 10
3. Data and Research Methodology 13
3-1. Source of data and sampling 13
3-2. Definition of variables 14
3-3. Research model 17
4. Empirical result 24
4-1. Descriptive statistics 24
4-2. Trade preference of short sellers 26
4-3. Short volume and predictability of returns 27
4.4. Short volume and overall/individual stock optimism 35
5. Conclusions 44
6. References 46

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