| 摘要: | 台灣證券交易所於2003年6月建置證交所借券系統，參與人僅限國內外特定機構法人，2007年7月主管機關核准證券商以及證券金融公司辦理有價證券借貸，一般投資人得以參與借券交易。由於國內學者多以證券交易所提供的借券交易資訊為研究資料，來探討整體借券市場的借券交易對股價的影響，而本研究透過本身工作的國內J證券商取得證券商借券需求表為樣本，探討分散式借券市場的借券交易對股票報酬率的關聯。
本研究以借券事件前後的平均累積異常報酬率，進行檢視借券事件對
於股票報酬率的影響，並利用迴歸分析探討公司市值、借券事件前三十日累積異常報酬率對借券費率的關係，以及借券費率、公司市值、借券事件前三十日累積異常報酬率對借券事件後累積異常報酬率的關係，實證結果發現：
一、借券事件前與借券事件後對股價報酬率之影響
借券事件之前的股價報酬為正，由於借券標的多為中小型股，資訊不對稱程度較高，股價可能有高估的狀況，而借券事件後股價報酬為負，並且沒有在短時間內反轉為正報酬，顯示借券交易有助於使高估的股價回歸基本面，提升市場效率。
二、借券費率與公司規模及借券事件前期股票報酬率之關聯性
公司市值對借券費率顯著為負，公司規模越大，代表股票流通在外的張數越多，可供出借的股票數量就更多，導致借券費率降低；借券事件前三十日累積異常報酬率對借券費率顯著為正，借券事件前期的股價報酬表現越好時，股價容易被高估，借券的需求量越大，導致借券費率提升。
三、借券交易變數對借券事件後股票報酬率之影響
借券費率、公司規模及借券事件前三十日累積異常報酬率對借券事件後累積異常報酬率顯著為負，公司市值隨著股價上漲而提升，當股價上漲越多時，股價可能高估，伴隨借券的需求量越大，使借券費率提升，而借券事件後股價報酬表現不佳。
關鍵字：借券、借券費率、累積異常報酬;The Taiwan Stock Exchange established the Securities Borrowing and Lending System in June 2003, and participants are limited to domestic and foreign legal entities, In June 2007, the competent authority opened securities dealers and securities companies to conduct securities lending business, and ordinary investors were able to participate in securities lending transactions. Because domestic scholars mostly use the stock exchange information provided by stock exchanges as research data to explore the impact of stock exchange transactions on the overall stock market on stock prices, this study , I obtained the securities borrowing demand table as a sample through the domestic J securities I work for, and explored the relationship between the securities lending transactions in the decentralized securities lending market and the stock return.
In this study, the average cumulative abnormal return rate before and after the securities lending event is used to examine the impact of the securities lending event on the stock return rate, and the regression analysis is used to explore the company′s market value and the cumulative abnormal return rate over the 30 days before the securities lending event. The relationship between the rate of borrowing fee, the market value of the company, the cumulative abnormal return rate 30 days before the securities lending event and the cumulative abnormal return rate after the securities lending event. The following empirical results are found:
1. The impact of stock price returns before and after the securities lending event
The stock price returns before the securities lending event is positive. Since most of the stock targets are small and medium-sized stocks, the degree of information asymmetry is high, and the stock price may be overvalued. The internal reversal is a positive return, showing that the lending transaction helps to return the overvalued stock price to fundamentals and improve market efficiency.
2. Correlation between the rate of borrowing fee and the company′s market value and the stock return rate of the previous period of the securities lending event
The company′s market value is significantly negative for the borrowing fee. The larger the company′s size, the greater the number of shares in circulation, and the greater the number of stocks available for lending, resulting in a lower borrowing fee rate; The cumulative abnormal return rate in the 30 days before the securities lending event is significantly positive for the borrowing fee rate. The better the stock price return performance in the early period of the securities lending event, the stock price is likely to be overvalued, and the greater the demand for the loan, which leads to the borrowing fee rate increase.
3. The effect of securities lending variables on stock returns after securities lending
The borrowing fee, company size, and cumulative abnormal return rate 30 days before the securities lending event are significantly negative for the cumulative abnormal return rate after the securities lending event. The company′s market value increases as the stock price rises, when the stock price rises more, the stock price may be overvalued, along with the greater demand for borrowing securities, increases the rate of borrowing fee, and the poor performance of stock price returns after the securities lending event.
Keywords：Securities Lending、Borrowing Fee、Cumulative Abnormal Return |
