確定提撥制退休金計畫中投資自家公司股票之決定性因素

Determinants of Holding Self-company Stock in the U. S. Defined Contribution Plans

朱億珊(Yi-Shan Chu)

指導教授 ： 賴慧文

元智大學/管理學院/財務金融學系/碩士(2007年)

摘要

本文探討投資人在確定提撥制退休金計畫中，選擇投資自家公司股
票之決定性因素。研究方向如下：第一、投資人選擇投資自家公司股票，是否因為員工得到公司相關資訊所做出的理性反應；第二、投資人是否會利用一般帳戶做適當的投資，來規避確定提撥制退休金計畫中投資自家公司股票之風險；第三、模型中考量了產業效果、公司規模、股票市場表現、投資人主觀的風險態度及生命週期等變數後，探討投資人主觀的風險態度，是否與其在確定提撥制退休金計畫中的投資行為一致。本文資料來源為2004 Survey of Consumer Finances，實證模型則應用Heckman selection model；實證結果顯示投資人並不積極避險，且投資人在確定提撥制退休金計畫中選擇投資自家公司股票之行為是基於員工擁有公司相關資訊所做出的理性反應。

關鍵字

確定提撥制退休金計畫 ； 公司股票 ； Familiarity bias

並列摘要

This study examines the determinants that individual investors hold self-company stock in their defined contribution plans. Several dimensions have been investigated in this study. First, I consider whether
the company-stock investment is a rational response to the information available to employees, or called information-based familiarity. Secondly, I consider whether investors hedge the risks of holding company stock in their defined contribution plans by appropriate investment in their regular accounts? Third, I take subjective risk attitudes and life cycle variables into accounts to examine the consistency between risk-taking attitudes and behavior of individual investors in their investment of defined
contribution plans while the industry effect, firm size effect and stock market performance are considered in the models. The data are based on 2004 Survey of Consumer Finances and Heckman selection model is applied in this study. The results provide evidences that individual
investors do not engage in hedge and their company-stock investment is information-based driven to some extent.

並列關鍵字

Defined contribution plans ； Company stock ； Familiarity bias

參考文獻

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