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基金經理人交易行為及其影響因素之研析

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表 1  四種群組之累積平均報酬  實現利得  實現損失  帳面利得  帳面損失  所有基金  平均報酬  24.21% -8.99% 33.08% -8.27%  t 值  160.116** -93.495**  82.937**  -27.577**  一般型  平均報酬  24.14% -8.70% 32.29% -8.48%  t 值  125.220** -73.490**  60.703**  -20.131**  中小型  平均報酬  26.15% -10.06% 37.67%  -8.80
表 2    實現利得比率與實現損失比率  實現利得  實現損失  帳面利得  帳面損失 PGR PLR 差異  t 值  次數  總合  次數  比率 次數 比率 次數 比率 次數 比率 所有基金  80880 58.37 37041 26.73 15779 11.39 4857 3.51 83.68 88.41 -4.73  -24.09** 138557  一般型  47637 59.06 21715 26.92 8590 10.65 2721 3.37 84.72 88.86 -4.14 -16.4
表 3  實現利得與實現損失後的累積報酬率  實現利得  帳面利得  實現損失  帳面損失  累積報酬率 t 值  累積報酬率  t 值  累積報酬率 t 值  累積報酬率  t 值  三個月  所有基金  1.00% 11.309**  3.23%  6.880** -0.82% -6.880** 6.17% 17.588**  一般型  0.90% 8.466**  3.73%  6.684** -1.03% -6.684** 6.55% 13.732**  中小型  0.80% 2.535*  1.1
表 4  不同季月之實現利得比率和實現損失比率  三月  六月  九月  十二月  三月  六月  九月  十二月  所有樣本 指數型 PGR  84.17 80.89 84.53 85.31  PGR  76.14  32.79 87.74 91.94  PLR  86.46 86.71 88.92 90.30  PLR  89.06  46.69 96.60 98.33  差異  -2.28 -5.81 -4.39 -4.99  差異  -12.92 -13.90 -8.86 -6.39  t 值  -
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