資產配置之迷思或現實？台灣壽險業之實證研究

Asset Allocation Myth or Reality? An Empirical Study of Taiwan Life Insurance Industry

張士傑(Shih-Chieh Chang) ； 朱浩民(Hau-Min Chu) ； 許素珠(Su-Chu Hsu) ； 黃雅文(Ya-Wen Hwang)

《風險管理學報》 12卷1期 (2010/05) Pp. 5-32

https://doi.org/10.30003/JRM.201005.0001

摘要

French and Poterba（1991）與Tesar and Werner（1995）首先於文獻提出母國權益投資偏好迷思，即使國外投資有利資產配置績效，機構投資人仍因匯率風險、交易成本、資訊不對稱及公司治理等因素降低境外投資，因此，國外投資組合是否產生正面效益，文獻呈現正反不同見解。依據統計，2008年台灣壽險業國外投資共計為2.4兆元新台幣，達壽險業資金運用總額30.24%，壽險業資產負債表之高比例境外投資與文獻之母國偏好迷思形成對比，因此，本研究進一步探討境外投資與壽險公司投資績效之關係，分析2004年至2008年間25家台灣壽險公司之財務資訊，實證結果摘要如下：1.資產配置之國外部位可顯著提升公司收益率，以整體壽險業而言，匯率避險於損益呈現正相關，而考慮個別公司差異下，則呈現不顯著之負相關。2.公司資產規模與投資績效顯著負相關，即資產規模較大之公司投資效率相對偏低，顯示壽險公司增加保費收入市占率時宜強化資產運用效率。3.本資與外資公司於資產配置效率呈現未達顯著之差異。外資公司進行國外投資，損益短期波動容忍程度較本資公司為高，避險策略相對穩定。

關鍵字

母國偏好 ； 投資組合 ； 資產配置 ； 匯率損益 ； 避險策略

並列摘要

French & Poterba (1991) and Tesar & Werner (1995) first observe that the investors have shown ”home bias” tendency in their portfolio selection. Although international investment has been recognized to be beneficial in diversifying the country risk and enhancing investment performance, the investors are not enthusiastic in foreign investment due to currency risk, transaction cost, and asymmetric information cost. There are diverse opinions regarding to the efficiency of the international investing decision. According to the indicators of insurance from Taiwan Insurance Institute, the amount of Taiwanese life insurers holding foreign investment is up to 2.4 trillion NTD, i.e., 30.24% of investable assets on their balance sheet in 2008. High percentage of foreign investment in Taiwanese life insurer's balance sheet is deviated from the home bias puzzle. In this study, 25 Taiwanese life insurance companies between 2004 and 2008 are selected to evaluate the home bias puzzle and their financial impacts, The results are summarized as follows: 1. The foreign investment shows positive impact on asset return for life insurance industry. Currency hedging has shown positive impact on investment returns and the impact become negative allowing the firm effect. 2. Firm size and investment return are negative correlated. It suggests life insurer should focus on enhancing investment performance in corresponding to the increase trend in his market share. 3. The investment performance of domestic owned life insurer deviates from those in foreign owned life insurer, while the difference is not significantly. The results also show the foreign owned life insurers are less concern to currency risk and relative stable in their hedging strategy.

並列關鍵字

Home Bias ； Investment Portfolio ； Asset Allocation ； Currency Risk ； Hedging Strategy

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