分散投資組合真的是散戶之最佳決策嗎? 散戶投資組合集中程度與績效的關係

Putting All Eggs in Different Baskets? Portfolio Concentration and the Performance of Household

鄭茹文(Ju-Wen Cheng)

指導教授 ： 戴維芯

國立暨南國際大學/管理學院/財務金融學系/碩士(2009年)

摘要

本篇針對傳統財務理論所建議投資人建構投組時，應分散投組風險之概念提出質疑，做一創新研究。主要分析大小規模散戶，在不同投組集中度下，績效受到資訊影響的程度，也就是在傳統理論上，加以考量投資人所擁有的資訊。本研究使用多種投組集中度/產業集中度衡量方式，並且在控制股票特性、投資人特性下，觀察投資人資訊強度指標對其投組集中度與投組績效的影響。結果發現，不同規模的散戶(S、L)行為確實存在差異，因為兩類投資人天生稟賦不同，因此投組集中度對於兩類投資人的影響方向恰好相反，就大規模散戶(L)而言，仍可在理論概念下建構分散投組；而在沒有能力分散風險的小規模散戶(S)身上，若能利用資訊建構集中投組，會是最佳決策。而資訊強度結果，則再一次證實小規模散戶集中投組與資訊有極大的關係。另外，大規模散戶集中投組的投資行為一樣是來自於資訊因素，但大規模分散投資人不受到財富控制，因此也可以利用分散投組概念達到預期的績效，也表示資訊價值與分散風險效果可以分別解釋大規模散戶的集中或分散行為。最後利用迴歸分析加以確認交易經驗的資訊與投組超額持有的關係，結果顯著為正相關，顯示交易經驗的資訊會促進投資人對股票的超額持有行為，且不只有短期資訊影響投組持有，長期交易經驗的資訊效果比短期更顯著。而集中投組偏好持有較難評價之套利成本高、資訊較不對稱之股票，投資人一旦透過學習、獲取資訊後，在資訊優勢下，投資就更加容易獲利。投資人如果投資經驗愈豐富，則投組會較分散，而存有過度自信的小規模投資人與男性投資人，投組會較集中，代表部分集中投組的投資人，可能是來自於過度自信的心理偏誤，但在控制這些投資人特性後，發現資訊對於投組配置仍扮演重要的影響力。

關鍵字

散戶 ； 集中度 ； 資訊 ； 投資組合

並列摘要

Markowitz’s Modern portfolio theory suggests that investors hold diversified portfolio to eliminate idiosyncratic risk. However, literatures find household hold concentrated portfolios. We doubt the application of traditional portfolio choice in real world and examine the relationship between portfolio concentration choice and performance of household investors under considering information costs. Our research focus on whether information advantages can explain some individual investors concentrate their portfolio in a few stocks. Firstly, we examine the relationship between the degree of concentration and the performance of household, and then we measure the information effect on concentration by controlling stock characteristics.
Our findings indicate the impact of concentration on performance is different between small individual investors and large individual investors. Small individuals who choose to concentrate in specific stocks/industries outperform those hold more diversified portfolios; on the other hands, large individuals earn better performance thorough holding well-diversified portfolios. Furthermore, information indeed plays an important role to explain individual investors concentrate on some stocks. Although information can explain all households' portfolio choices, large individuals could enjoy better performance not only by taking advantage of information but also by adopting diversification strategy. Finally, regression results indicate that the excess holding weight of a stock (or an industry) is significantly influenced by trading information experience.

並列關鍵字

Portfolio choice ； concentration ； information ； household

參考文獻

參考文獻

英文部分

1. Bange, M.M. 2000, “Do the Portfolios of Small Investors Reflect Positive Feedback Trading?” Journal of Financial and Quantitative Analysis 35, 239–255.

2. Barber, B.M., and T. Odean, 2000, “Trading Is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors,” Journal of Finance 55, 773–806.

3. Barber, B.M., and T. Odean, 2001, “Boys Will Be Boys: Gender, Overconfidence, and Common Stock Investment,” The Quarterly Journal of Economics 116(1).