本研究利用台灣證券交易所1992到2006年的投資人成交資料，來研究散戶投資人之交易偏好是否隨時間經過而改變的原因。本研究結果顯示散戶投資人買進股票時對於股票特性的偏好（如本益比、規模、帳面價值對市價比等）會隨著時間經過而改變，此外每個年度買進股票的數目並非隨時間經過而維持一致。最後每年度均在市場交易的散戶投資人，其選擇股票的偏好傾向高周轉率、低報酬率標準差、以及高帳面價值對市價比的股票，顯示持續參與市場的投資人，其買進股票的行為較為傾向風險趨避。 / In this paper, investors’ trading records from TSEC for the period from 1992 to 2006 are used to do the research about whether the preferences of individual investors have changed from time to time. Also, the results show that the buying preferences of individual investors, such as P/E ratio, size, and book-to-market ratio, changed year by year and their numbers of purchased stocks also changed every year. In addition, the research takes the individuals who traded every year as samples to trace their behaviors, and the result shows they preferred to stocks with high turnover ratio, low standard deviation of stock return, and high book-to-market ratio when they were picking stocks. From this result implies that individuals who consistently participated in the stock market behaved as risk-averse investors.

台灣證券交易所每季會挑選並公告可為權證標的的股票，證券商再從中選取想要發行的股票標的，這些被選為標的的股票被發行權證的次數存在明顯的差異。證券商在發行時掌握了許多優勢，除了可以挑選標的之外，權證契約的內容大多也都由證券商決定，這些權證的契約內容勢必會依據標的股票特性的不同而有所差異。在本文中我們將找出會影響證券商選擇標的的因素。另外，我們也試圖找出權證契約與標的股票的特性的關聯性並且討論避險成本課稅問題解決後，對證券商發行權證的影響。 我們發現證券商偏好以近期受到較多市場關注、具有投資人市場偏好、有較高波動度以及有較好流動性的股票作為權證的標的。我們也發現不同標的特性的股票權證契約特性也會不同，受到市場較多關注、流動性較高的標的股票以及重設型、歐式的權證的溢價比例會較高，也發現標的股票的波動性越高，權證的存續期間會較低、標的股票的市值比例越高，權證的行使比例會越低、標的股票的波動性越高，證券商則傾向以重設型以及美式的形式發行權證。近幾年權證檔數的激增與避險成本課稅問題的解決也存在著緊密的關係。 最後，以避險成本課稅問題的時間點來觀察權證市場前後期的改變，則發現下列幾種現象的差異。第一、單一股票於一季之內被發行的次數增加，第二、權證的溢價比例上升，第三、權證的行使比例與存續期間下降，第四、單一權證的發行量降低。這些現象則顯示證券商發行權證模式的改變，在避險成本課稅問題解決後，證券商發行權證的模式類似於石油輸出國家組織控制石油供給量，透過降低每檔權證的發行量來增加議價的籌碼。 / Taiwan Stock Exchange (TWSE) selects and announces the stocks for issuing warrants quarterly. Brokers can pick up suitable underlying assets for issue warrants. We observed, however, that the frequency for underlying stocks for issuing warrants were different. We know that the broker has many advantages on issuing warrants likes selecting underlying stocks and setting covenants as well. The covenants will be set base on the stock’s characters. We tried to find key factors for brokers for issuing warrants. Besides, after the deregulation on hedge cost, we elaborate the relationship between warrants and underlying assets. We found brokers prefer to issue the warrant whose underlying asset with good liquidity, market frenzy and high volatility. Besides, we also noticed that the warrant’s characters will be different base on their underlying assets. The premium is higher for stocks with market frenzy, high liquidity and European warrant. Underlying assets with high volatility will attribute low duration. Stock with high market capitalization will make exercise ratio lower. Brokers intend to issue Reset and American warrants for underlying asset with high volatility. The surge of warrant issuing attributed to relax on hedging tax. Last, we showed the warrant market different after the relaxing restrictions of hedge cost as follows. First, the frequency of issuing warrant with same underlying asset increases. Secondly, the premium for issuing warrant rises. Thirdly, exercise ratio and duration declines. Fourthly, the volume for single issue is lower. These phenomenon shows that brokers try to increase their bargain power by controlling the warrant volume. This model likes Organization of Petroleum Exporting Countries (OPEC) to control the petrol price by depressing the supply.