放空可以揭露產業資訊嗎？以臺灣股票市場為例

Abstract

本文之目的在於探討放空者是否掌握產業資訊，且能透過其交易行為揭露產業資訊，並運用產業總放空市值做為放空者資訊之變數。研究對象包含2011 年至2015 年間，於臺灣證券交易所（Taiwan Stock Exchange，簡稱TSE）掛牌上市之公司，並以Fama-Macbeth 二階段迴歸進行分析。本文研究結果發現放空者偏好放空產業集中度低、公司間過去六個月股價報酬標準差大的產業；且同樣是被高度放空的公司，若其身處在總放空市值大的產業，未來六個月的股價報酬將會顯著低於其他被高度放空的公司。本文同時發現產業放空市值能夠揭露未來產業的資訊，研究結果顯示產業放空市值越高，其產業集中度在六個月和十二個月後會有正向提升。 綜合比對後發現放空者偏好集中度低以及股價表現差異大的產業，而被鎖定之產業中又被集中放空的公司股價表現更差，表示放空者能成功鎖定該產業體質較弱的公司。而產業放空市值越高的產業，未來產業集中度較可能上升，背後原因可能是該產業中被集中放空的公司因股價表現較差導致市值成長緩慢或下跌，造成市值佔產業比重降低，使產業集中度上升。綜合以上結果，本文推論臺灣股票市場之放空者可能在其鎖定之產業中有良好的選股能力，而產業放空市值可以為產業集中度以及高度放空公司之股價提供額外資訊。

This study examines whether short sellers have industry information and exploit industry information by short selling, using stock data is from Taiwan Stock Exchange between 2011 to 2015. We use aggregate shorted values as variable of short seller’s information and adopt Fama-Macbeth regression framework to conduct the analysis. The empirical result shows that short sellers prefer the industries which are lowly concentrated and highly diverse in past stock price performance. The result also shows that the most-shorted stocks in industries with the highest aggregate shorted values earn less return than other highly shorted stocks. In addition, the industries with higher aggregate shorted values become more concentrated in the next 6 months and 12 months. We suggest that short sellers target weak stocks in low concentrated industries, and the weak stocks have lower return than others. Furthermore, industries with higher aggregate shorted value become more concentrated is probably due to the fact that stock prices of the companies which are targeted by short sellers go down or grow slowly, making the companies’ shares of market capitalization go down. As the result, we provide the evidence that short sellers in Taiwan may target the weak stock in the industry which is targeted by them, and industry aggregate shorted value can provide extra information about future industry concentration and stock returns.