資產配置研究

Research in Asset Allocation

蔡佳芬(Chia-Fen Tsai)

指導教授 ： 洪茂蔚

國立臺灣大學/管理學院/國際企業學研究所/博士(2011年)

https://doi.org/10.6342/NTU.2011.00106

摘要

這篇論文主要是在檢視因績效基礎薪酬或者股票誘因契約所產生的所得風險如何對員工或者經理人的資產配置決策產生影響。首先，利用台灣投資者投資組合及其雇主的資料，我們發現廠商風險會影響員工的資產選擇。個人若任職的廠商其廠商風險越高，其越不願意參與股票市場投資，並且在金融財富中握有較少比例於股票或者自己公司的股票。
其次，本篇論文進一步檢視是否個人股票多角化程度較高的高階經理人會相對個人股票多角化程度較低者，於金融財富中會願意握有較高比例於自己公司的股票。除此之外，檢視個人股票多角化程度較高的經理人在公司決策上是否願意執行較高的負債比例。本文發現高階經理人其個人股票多角化程度與金融財富中握有自己公司股票的比例呈現正相關，如此證實了廠商風險確實是影響經理人資產配置決策的一個重要因素。此外，我們也發現，高階經理人個人股票多角化程度與公司舉債比例呈現正相關，證實了經理人個人風險規避的態度以及其個人感受到自己金融財富中所暴露的廠商風險將影響其在公司所執行的風險規避決策。

關鍵字

投資組合決策股票持有 ； 廠商風險 ； 經理人個人多角化 ； 股票誘因 ； 廠商融資決策

並列摘要

In this thesis, I focus on how the presence of income risks from sources such as performance-based pay or equity incentive contracts influence employees’ and top managers’ portfolio allocations. Firstly, utilizing comprehensive data on investor portfolio holdings and employer information from Taiwan, I provide novel evidence on how employer-level risks influence employees’ portfolio choices. Individuals employed at listed companies with greater return volatilities are less likely to invest in equities in general and in the employer stocks in particular. Consequently, such investors invest a smaller fraction of their financial assets in the stock market and in employer stocks.
Secondly, this thesis tests whether a top manager with more diversified equity portfolios is willing to hold a larger share of financial wealth in the employer’s stock compared with a top manager with less diversified equity portfolios. In addition, this paper investigates whether top managers with more diversified equity portfolios are more willing to implement a higher leverage ratio than top managers with less diversified equity portfolios. In the thesis, I propose that the managerial portfolio equity incentive is positively related to the degree of managerial personal diversification. This result confirms that firm risk is an important factor in understanding a manager’s portfolio decisions. In addition, there is a significant and positive relationship between the firm’s debt ratio and the degree of personal diversification among top managers. The evidence gathered in this study supports the conclusion that managerial risk aversion, as well as the perceived firm risk to the manager’s financial wealth, affects firm-level risk reduction decisions.

並列關鍵字

Portfolio choices ； Stock holdings ； Employer Stock Risk ； Managerial personal diversification ； Equity incentives ； Firm financing policies

參考文獻

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Aggarwal, R.K., Samwick, A.A., 2003b. Performance incentives within firms: the effect of managerial responsibility. Journal of Finance 58, 1613-1649.

Aggarwal, R.K., Samwick, A.A., 2006. Empire-builders and shirkers: Investment, firm performance, and managerial incentive. Journal of Corporate Finance 12, 489-515.