基金經理人交易行為及其影響因素之研析

Abstract

本研究的主要目的在於分析國內股票型基金經理人的基金投資行為，希望藉由探討國內基金投資人實現利得比例與實現損失比例的差異，與其未來三、六與十二個月的報酬率相比較，觀察國內基金經理人是否存在處分效果，並分析實現利得比例與實現損失比例的差異是否有季節效應以及影響基金經理人投資行為的因素。研究發現台灣共同基金經理人於賠錢股票中實現損失之比率比賺錢股票中實現利得之比率高出4.73%，此與處分效果認為投資人輕易出售賺錢股票的看法有異；實現利得或損失的行為會因為季節而有所差異，共同基金經理人於十二月有較高實現利得與損失的傾向，且其實現利得與實現損失之決策與個股過去之報酬表現和價格區間有關。資料探勘之決策樹分析發現影響基金經理人買賣決策之前三大關鍵影響因素為其持有股票之當季報酬率變異數與負債權益比，以及該基金本身之當季週轉率，此顯示持股風險與交易成本為台灣基金經理人於進行買賣決策時之重要參考因素。

This paper examines the trading behaviors of mutual fund managers and their associated determinants by focusing on the disposition effect, the tendency to hold losing trades longer than winning ones. Fund managers are prone to realize gains of the non-top-performing stocks, and prefer to realize losses of the worst-performing stocks. The proportion of gains realized (PGR) is 4.73% lower than the proportion of losses realized (PLR), which provides evidence against the disposition effect. The decisions to realize gains and losses are correlated with price and return intervals of stocks. With the application of data mining, the volatility of stock returns and the debt ratio of stocks, as well as the turnover ratio of mutual fund are the major factors for fund managers' investing decisions. This implies that the stock's risk level and the transaction costs play important roles in their decision-making.