本研究主要目的為探究放空比率是否能作為預測股票報酬之指標，並以台灣上市股票作為研究基礎。研究結果顯示高放空比率的股票投資組合具有顯著且持續的負報酬率，相反地，低放空比率的股票投資組合擁有優於市場表現且持續的超額正報酬，除此之外，這兩個投資組合間的報酬差異隨著股市相關法規之鬆綁而更加顯著；進一步研究分析可發現，在高放空比率的投資組合裡，股票通常擁有明顯較差的財務結構與相對高的流動性，反之亦然，意即在台灣做空的投資人確實有獲取更多元資訊的能力，強化放空比率作為預測股票報酬之指標性。

This paper studies the relationship between short interest ratio and subsequent stock return in Taiwan stock market. I find that short interest ratio is negatively related to subsequent stock returns, and the result is statistically and economically significant. More importantly, the effects are long-lasting. This evidence suggests that short sellers in Taiwan tend to be informed. In addition, short interest ratio has stronger predictability when short sale constraints are loosened considerably. Moreover, stocks with high short interest ratio have weak fundamentals and high turnover, implying that short sellers detect not only intrinsic value but also market's sentiment for stocks.

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