Insights

In an AI-driven Taiwan stock market, mastering chip distribution (ownership structure) is the key to profitability. This study delves into the Share Distribution data from the TDCC, transforming 15 tiers of shareholding data into behavioral finance factors such as investor attention, opinion dispersion, and retail speculation. By utilizing Fama–MacBeth two-stage regression and the alphalens-tej quantitative tool, we precisely validate the predictive power of psychological biases on stock returns, providing investors with actionable Alpha strategies and robust risk management solutions.

This article examines how corporate ESG performance affects bank lending decisions in Taiwan. Using TEJ’s TESG Ratings, the study finds that companies with stronger ESG performance generally receive more favorable lending conditions, including lower loan spreads, larger loan amounts, longer maturities, and a lower likelihood of collateral requirements. The findings also highlight the importance of balancing ESG initiatives with financial performance, as excessively high or low ESG performance may lead to less favorable lending terms.

TCRI Watchdog (WD) converts complex news and announcements into standardized quantitative alternative data. Building on our research into "Official Announcements (Source P)" and "Media News (Source N)," we have confirmed that disclosure channels directly dictate the speed and structure of market digestion. This chapter moves from macro "Event Categories" to micro "Source × Sub-category" dimensions to capture actionable Alpha within granular events. Focusing on high-sensitivity "Corporate Control Events," we analyze the signal heterogeneity between Source P and Source N. We further demonstrate how these high-precision signals assist investors in optimizing entry timing and hedging strategies.

While Part I establishes that news events generate identifiable market reactions, the informational content of news varies widely—from industry developments and financial disclosures to management changes and corporate crises. Event intensity alone is insufficient to explain these differences. Accordingly, this section decomposes news events into five categories (A, I, M, F, R) and examines whether markets respond systematically differently across news types.

Burton G. Malkiel is the Chemical Bank Chairman’s Professor of Economics at Princeton University. He previously worked in the investment banking division of Smith Barney & Co. and has served as a director of several large investment institutions, including The Vanguard Group and The Prudential Insurance Company of America. He was also appointed as a member of the U.S. President’s Council of Economic Advisers. In both academic and investment circles, he is a highly respected and influential figure.

This study examines whether incorporating the Short Interest Ratio (SIR) can improve the performance of a 52-week high momentum strategy in Taiwan. By comparing a baseline momentum model with two SIR-enhanced versions—one using SIR as a filter and another integrating it into a composite score—we find consistent gains in returns, lower volatility, and reduced drawdowns. The results show that SIR strengthens momentum strategies by identifying stocks under institutional short-selling pressure.

Taiwan’s short-selling signals are often misleading because the market operates under a dual-track system: retail investors short stocks through margin accounts, while institutional investors use securities borrowing and lending (SBL). Only SBL-based short selling reflects informed institutional sentiment, while margin shorting introduces noise. This study isolates SBL to construct the Short Interest Ratio (SIR) and evaluates its ability to predict cross-sectional returns and reveal size-dependent patterns in informed short-selling behavior.

This strategy is based on tracking the flow of so-called "smart money" in the market, referring to the positions of the three major institutional investors in Taiwan: foreign investors, investment trusts, and proprietary traders. The strategy assumes that when these three institutions hold a strong and consistent view of the market direction, following their lead has a higher probability of success.

Market makers, equipped with high-frequency trading capabilities, institutional-grade cost structures, and real-time creation/redemption privileges, are the primary participants in ETF premium–discount arbitrage. In contrast, Non-Institutional Participants face multiple constraints—including information latency and higher transaction frictions—which make it difficult to capture arbitrage opportunities promptly or profitably.