臺灣博碩士論文加值系統

風險偏好（risk preference）一直以來是經濟學家探討經濟個體效用的重要變數，而Deaton（1992）也指出風險偏好的不同將改變效用函數之彎曲程度。Palsson（1996）更是指出，風險偏好值得研究的理由至少有二，就總體面而言，風險趨避投資者傾向於提高風險資產的價格，在高風險的情況下，風險趨避者會減少投資，而減緩經濟成長；就個體面而言，風險偏好會影響個人之家庭資源分配，例如風險愛好者較傾向於將資源投入高風險的資產。換言之，風險偏好是影響個人投資、儲蓄及借貸行為的主要因素。
鑒於風險承受度對消費者個體投資行為和國家總體經濟所造成的重要影響，本研究目的乃期望透過2001年美國消費者財務調查資料庫(Survey of Consumer Finances, SCF)實證分析風險承受度與資產配置之關係。研究結果顯示，消費者主觀及客觀風險承受度有差異存在；藉由Ordered Probit迴歸分析發現，影響消費者主觀風險承受度的顯著因素有年齡、小孩數目、住宅狀況、種族、性別與婚姻交叉項、教育程度、經濟預期、利率預期、所得及淨財富等變數，而影響消費者客觀風險承受度的顯著因素則包括年齡、年齡平方項、小孩數目、住宅狀況、種族、性別與婚姻交叉項、教育程度、受僱狀況、經濟預期、所得及淨財富等變數。
消費者持有的資產配置會隨著主觀或客觀風險承受度衡量方法的不同而有所差異；同時，消費者實際持有的資產組合與財務顧問所建議的資產組合亦有相當的出入。

Risk preference is an important variable to predict an individual’s utility. Deaton (1992) pointed out that risk preference would change the curve of the utility function. Besides, Palsson (1996) gave at least two reasons why risk preference could not be neglected in economic analysis. First, risk-averse investors perceived higher price of risk assets. They would reduce any kinds of risk investments. And it cost the slow down of economic growth. Secondly, risk preference would reallocate household resource. Risk-takers were more likely to invest their money in risk assets than their counterparts. In other words, risk preference is a key factor that affects an individual’s investing, saving and borrowing or lending behavior.
Due to the important impact of risk preference on consumers’ investing behavior and national economy, the purpose of this study is to investigate empirically the relationship between risk preference and asset allocation by using 2001 Survey of Consumer Finances. The results showed that consumers’ objective risk preference is different from their subjective preference. The determinants of subjective risk preference include age, number of children, homeownship, race, the interaction term of gender and martial status, education, expectation of future economy, expected interest rate, income and net wealth. The factors that significantly affect age, age square, number of children, homeownship, race, the interaction term of gender and martial status, education, employment status, expectation of future economy, income and net wealth.

目 次
誌謝……………………………………………………………………I
中文摘要………………………………………………………………II
英文摘要………………………………………………………………IV
目次……………………………………………………………………V
表次……………………………………………………………………VII
圖次……………………………………………………………………VII
第一章 緒論
第一節 研究動機…………………………………………………1
第二節 研究目的…………………………………………………3
第三節 論文架構…………………………………………………4
第二章 文獻探討
第一節 風險承受度之定義與衡量方法…………………………5
第二節 探討影響消費者風險偏好的決定因素…………………8
第三節 探討資產配置的因素……………………………………11
第三章 研究方法
第一節 資料來源…………………………………………………15
第二節 風險承受度依變數之定義與衡量方法…………………17
第三節 Ordered Probit迴歸模型………………………………23
第四節 自變數之定義與衡量方法………………………………24
第五節 資產配置之衡量方法……………………………………26
第四章 實證結果與分析
第一節 資料分析…………………………………………………27
第二節 影響消費者主客觀之風險承受的顯著因素……………31
第三節 消費者主觀及客觀風險承受度與資產配置之比較……36
第五章 結論與建議
第一節 結論與討論………………………………………………41
第二節 建議與研究限制…………………………………………44
參考文獻 …………………………………………………………48
附錄
附錄一：假設的情境問卷設計內容………………………………51
附錄二：2000年之生命表（Life Tables） ……………………52
附錄三：退休年齡之對照表………………………………………56
表 次
表2.2.1：風險承受度的顯著影響變數之整理表…………………9
表2.4.1：四個財務顧問給不同風險偏好者提出之資產比例……12
表3.4.1：自變數的定義與衡量方法及其對因變數的預期結果…25
表4.1.1：主觀與客觀風險承受度之差異…………………………27
表4.1.2：樣本選擇之平均數與百分比……………………………28
表4.1.3：主觀風險承受度之Ordered Probit迴歸分析結果……32
表4.1.4：客觀風險承受度之Ordered Probit迴歸分析結果……34
表4.1.5：主觀與客觀風險承受度兩模型的對照表………………35
表4.3.1：風險承受度與資產配置之T檢定 ………………………38
表4.3.2：消費者實際的資產組合…………………………………40
表4.3.3：Benchmark資產組合 ……………………………………40
圖 次
圖2.4.1：風險金字塔………………………………………………12
圖3.2.1：研究流程圖………………………………………………17
圖4.3.1：零度風險承受度與資產配置圖…………………………36
圖4.3.2：輕度風險承受度與資產配置圖…………………………37
圖4.3.3：中度風險承受度與資產配置圖…………………………37
圖4.3.4：重度風險承受度與資產配置圖…………………………38

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