放空限制與投資人情緒對股價報酬之影響

Abstract

Miller (1977)的理論模型認為，當某些投資人過度樂觀時，放空限制會導致股票價格高估，而後降低股票未來報酬。本研究使用美國於1980年至2012年之股價資料，以驗證放空限制與投資人情緒是否對股票的橫斷面報酬會產生顯著影響。實證結果發現，當放空限制愈高時，成長型、分析師意見分歧、交易量大及波動率高之股票，其價格被高估之情形愈為嚴重，且對成長型及交易量大之熱門股之影響尤為顯著。而當市場上投資人情緒普遍較高時，放空限制對橫斷面報酬的影響會增強。此結果隱含放空限制使看跌投資人之觀點無法充分反應在股價之中，投資人的過度樂觀會使股票價格被高估的情形更加嚴重。

In the Miller (1977) theoretical model, if some investors are too optimistic, short-sale constraints make stock overpriced and then have lower subsequent returns. Using the data of U.S. stock returns from 1980 to 2012, this study examines whether short-sale constraints and investor sentiment affect the cross-section of stock returns. The results show that when short-sale constraints are tighter, the underperformance of stocks with high market-to-book ratio, analyst forecast dispersion, turnover and volatility is most pronounced, especially for stocks with high market-to-book ratio and those with high turnover. The effect of short-sale constraints on stock overpricing is amplified as investor sentiment is high. This implies that due to short-sale constraints, stock prices do not fully reflect the opinion of investors with pessimistic views and investor optimism makes stocks even more overpriced.