房貸支出對勞工最適資產配置之影響

The Impact of Mortgage Payment on Labor's Optimal Asset Allocation

謝企榮(Chi-Jung Hsieh) ； 徐守德(David Shyu) ； 陳明吉(Ming-Chi Chen)

《國立虎尾科技大學學報》 27卷1期 (2008/03) Pp. 69-87

https://doi.org/10.6425/JNHUST.200803.0069

摘要

由於金融市場工具日趨多元化，勞工可以調整其房貸負擔以符合其整體效用，因此，本文驗證不同房貸支出對最適資產配置決策的影響，除了發現風險趨避度高的勞工，會採取保守的投資策略外，勞動所得與房貸支出之變異性，對風險性資產的配置會產生影響。勞動所得變異的增加會提高勞工儲蓄意願，不願持有風險性資產，而變成保守的投資人。 其次，研究發現：當「當期房貸支出」與「下期非預期風險資產報酬」具有正向變異，會使勞工增加風險資產的配置，勞工的投資策略更爲積極，這意謂在房貸支出提高且市場風險資產報酬上升之下，勞工會增加風險性資產的配置，以達到充分的分散投資；另房貸下降且非預期市場風險資產報酬下降，由於手上可支配所得增加，且非預期的市場向下修正，會使勞工重新檢視風險資產的價格，因而增加物超所值風險性資產的配置，而形成比較積極的資產配置。 由於工作性質的差異，有些工作比較穩定，勞動者一直到退休也不會失業，所以房貸支出是相對穩定，但有些工作變動性相當大，很容易失業，一旦失業即失去所得來源，自然沒有能力調整房貸支出，就模型討論的三種狀態中，愈有可能失業或退休，勞工的投資策略愈保守。

關鍵字

房貸支出 ； 最適資產配置 ； 風險趨避

並列摘要

Due to the diversification of financial instruments, the labor can adjust the mortgage payment to maximize personal utility function. We drive the optimal asset allocation by the different mortgage payment, and find that the labors who are more risk aversion tend to take conservative strategy of investment. Because of verities of labor income and mortgage payment, the allocation of risky asset will be different. The labor will increase the tendency of saving from income and be unwilling to hold risky asset, and then become conservative.
We also found when the positive correlation between the current mortgage payment and stock returns the labor will increase the risky asset in his portfolio and exhibit more aggressive strategy. In other words, the more mortgage payment and stock returns, the more risky asset the labor will hold in order to diversify assets. On the other hand, the labor who reduces the mortgage payment and find the stock return drop will revaluate the price of risky assets. Finally, the labor will form an aggressive strategy to allocate risky asset.
Because of the different characteristic in professions, some labors can afford mortgage payment persistently. Some labors may lose job in a harsh environment and are not able to pay the mortgage payment. From the three scenarios we discussed above, the labor will take conservative strategy when facing unemployment or retirement.

並列關鍵字

Mortgage Payment ； Optimal Asset Allocation ； Risk Aversion

參考文獻

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