投資人風險偏好程度及投資報酬率決定因素探討 -國內某銀行之個案研究

The Study of the Determinants of Investors’ Risk Preference and Rate of Return- Case Study form A Domestic Bank

余佩娟(Pei-Chuan Yu)

指導教授 ： 劉定焜

朝陽科技大學/管理學院/財務金融系/碩士(2010年)

摘要

國內投資人投資境外基金總資產規模自2007年為2.10兆元達到最高峰，2008年經過金融海嘯的衝擊，國內投資境外基金資產縮減至1兆，最近依據投信投顧公會的最新統計至2009年10月已提升至1.9兆。由此可知，國內投資人較偏好海外共同基金的理財方式。在面對國內投資境外基金的投資規模，主管機關要求銀行設計財富管理客戶開戶問卷，並制定完整的KYC (Know-Your-Customer) 流程，實際了解客戶之投資屬性及風險承受度，實施客戶投資能力評估，建立商品適合度政策。目的在使理財人員依據客戶之風險承受度，提供客戶適當的商品，以免不當的銷售行為。但每位投資人的需求以及目標皆不相同，針對KYC的內容制訂，是否能測試出投資人的風險偏好，是否能完全反應出每位投資人的投資屬性是值得探討的。
本研究針對三部分：首先針對投資人之基本統計分析變數與風險屬性進行探討，其次，探討投資人之風險屬性與實際投資海外基金報酬率之決定因素，最後，探討投資人風險屬性與實際投資海外基金之風險屬性是否一致予以探討。針對國內特定金融機構，對客戶實地進行風險問卷檢測，依投資人風險承受度將投資人行為屬性分為三種群體，分別為保守型客戶、穩健型客戶與積極型客戶；並利用投資人的各項變數資料，包括年齡、性別、收入、投資經驗、子女數、投資比重與風險承受度等樣本資料，藉由運用Ordered Probit迴歸模式及OLS (Ordinary Least Squares) 普通最小平方法迴歸模式，進行相關實證分析。
實證結果發現：就為影響投資人風險偏好決定因素，具有顯著水準的變數為有具投資經驗、年收入及承擔一點損失風險等變數，其中具有投資經驗呈顯著正相關。其次就為影響投資人風險承受度決定因素分析，其中性別與年收入等變數呈現顯著負相關。因此，可以得知收入這項變數使投資者風險偏好屬於保守型及風險承受度較低；且男性投資人較女性投資人風險承受度高；及投資人具有投資經驗者，能承受的風險是屬於積極型的投資人。再者因為經歷過金融風暴的影響，因此無法藉由OLS迴歸得知其決定之因素。
依據投資人之風險屬性與實際投資商品之風險屬性分析，保守型之投資人發現保守型之投資人實際投資商品風險等級RR2-RR3及RR4-RR5風險等理財商品佔60%及40%，明顯與其投資屬性不同。其次穩健型的投資人投資商品等級RR2-RR3及RR4-RR5風險等商品佔26%及74%，投資人投資RR4-RR5風險等級的比例極高，明顯與其投資屬性不符合。另積極型之投資人其投資商品風險等級RR4-RR5之比例為95%，其符合投資人之風險屬性。

關鍵字

風險偏好 ； 財富管理 ； 海外共同基金 ； Ordered Probit模型

並列摘要

The domestic investors invest in total asset of overseas mutual funds are amount $2.1 trillion and achieving the highest scale in 2007. Through the impact of financial tsunami in 2008, the domestic investment of overseas mutual funds reduces to $1trillion. Recently, based on the investment union''s newest statistics, the amount of overseas mutual funds is rising to $1.90000 trillion. Thus it may be known, domestic investors are preferred to the way of investment by buying overseas mutual funds. Facing the scale of overseas mutual funds, the relative authorities request the banks to design the questionnaire of wealth management customer when opening an account, and formulate completely KYC (Know-Your-Customer) regulation. For the sake of understanding actual attributes and risks undertaking of investors. Then we can evaluate the customers’ investment ability, and establish the fitness policy of commodity. The goal is making the financial managing persons to rely on risk of customer, provide the suitable commodity, and avoid improper sales behaviors. But each investor''s demand as well as the goal is not all same, in view of KYC, whether this can test investor''s risk preferences, whether this can respond completely each investor''s investment attributes are worth discussing.
This study is focus on three sections: First, this study detects the statistics variables and attitudes of risks. Second, we discuss the determinants of attitudes of risks and rate of return of overseas mutual funds investors. Finally, we evaluate the cross-relationship between the behavior of different investors and practical commodity investment preference. This study attempts to test the risk of customer practically by driven financial management in the bank of case, and separates into three groups based on level of characteristic type of commodities, including conservative, stable and active type. This paper also constructs population variables of investors, including age, gender, income of household, experience of investment, number of children, and undertaking of risk. This research conducts the empirical analysis with Ordered Probit regression model and Ordinary Least Squares method.
The result shows that the variables of financial management experience, income of household and undertaking a little risk significantly effect on investor risk performance. Among these, financial management experience has the positive influence on risk preference. Gender and income have negative effects. Therefore, lower income makes the lower risk undertaking, male investors bear more risk than female, and the investors with more investment experience are belong to active type. Then, we conduct analysis between investor risk attribute and investment commodity attribute. The result reveals that 60% conservative investors’ investment are focus on RR2-RR3 of investment risk level, and 40% conservative investors concentrate on RR4-RR5, obviously differing with risk attribute. Meanwhile, 26% stable investors purchase RR2-RR3, and 74% purchases RR4-RR5, obviously differing with risk attributes. However, 95% active investors invest RR5 corresponding to their risk attribute.

並列關鍵字

financial management ； risk preference ； Ordered Probit model ； overseas mutual funds

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