投資者之風險屬性與基金理財績效之實證研究

the empirical model for the mutual fund investing performance and the investor’s risk type

曾光輝(Kuan-hui Tseng)

指導教授 ： 蔡偉德

國立中央大學/管理學院/產業經濟研究所碩士在職專班/碩士(2008年)

摘要

基金投資理財之績效關係著個人之獲利與償債能力，並與個人資產之增加有直接之關聯性。尤其在當前存款利率低、貸款利率高的金融市場下，投資績效是否良好對於個人來說更是一項重要的課題。

本研究以新竹縣市A銀行2002至2007年1218位基金投資人為研究對象，利用計量模型來分析投資人之自評與銀行評估投資風險屬性與其投資績效之關聯性。採開戶問卷的方式針對投資人之人口特性變項、投資風險屬性及其理財認知作資料蒐集，且運用人口統計變項、自評與銀行評估三種投資風險屬性之類別與理財認知之間的關係，以迴歸模型探討他們之間的關係，加以瞭解各因素對個人基金投資績效之影響。

研究結果發現，基金投資者的人口特性變項-性別、年齡、學歷、年收入、對市場波動反應程度及金融商品熟悉度等，與投資風險屬性之類別皆有顯著之影響，且教育程度及對金融商品熟悉性愈高，則投資風險屬性愈趨向積極型。另外本研究亦發現，各變數對於投資績效影響方面，風險屬性被評估為積極者與其投資績效呈顯著的正值，表示若投資人積極型屬性愈強時，其年化報酬率投資績效會愈高。

關鍵字

投資績效 ； 投資風險屬性 ； 基金投資理財

並列摘要

The investment performance of mutual fund will influence the investor’s profit, financial solvency and the increase of personal assets, especially in the present of low deposit rate and high loan rate stage.

This study examines 1,218 mutual fund investors chosen from A bank in Hsinchu spanning the period from year 2,002 to year 2,007. The econometric regression model is used to analyze the relationship between the mutual fund investing performance and the investor’s risk attitude. In the empirical process, a survey questionnaire is utilized to collect the fund investor’s demographic data, risk attitude and his risk perception of financial management. Three kinds of individual risk type are considered in this paper.

From the empirical results of this study, among the investor’s demographic data, the variables of sex, age, education, yearly revenue, personal response to market fluctuation and the familiarity with financial products are all significantly associated with the risk types of investors. Meanwhile, the investor with higher education level, more response to market fluctuation and familiar with financial products tends to be the active risk style. Another appealing finding from this paper is, the aggressive risk style displays a significant positive influence on the fund investor’s expected returns. In other words, the more aggressive risk style the investor has, the higher investment performance of mutual fund exhibits.

並列關鍵字

the investment performance ； the investing risk style ； fund investment

參考文獻

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