投資人風險趨避的變化與金融海嘯: 行為觀點

Abstract

本篇論文的研究目的為調查投資人在金融海嘯前後投資風險偏好的變化程度。根據2007年以及2009年的美國聯邦準備系統建立的消費金融問卷資料庫（Survey of Consumer Finances panel data）來檢測經驗法則包括蛇咬效應、賭資效應以及心理帳戶是否會影響投資人在金融海嘯前後風險偏好的變化。蛇咬效應說明，曾經經歷財務上的虧損，個體投資人會變得比較不願意承擔風險。另一方面，賭資效應則說明，當投資人曾經獲得利潤時，則會願意冒較大的風險。我們使用下列的代理變數來衡量不好的損失經驗：job losing, no income, bad investment, bankruptcy, declining in stock price, declining in real asset/other asset values。我們發現在金融海嘯期間，曾經有過不好經驗的投資人將正向影響相對風險偏好指標（Relative Risk Aversion Index, RRAI）。另一方面，我們使用下列的代理變數來衡量好的財務經驗：getting jobs, an increase in income, and good investment，我們發現在金融海嘯期間，曾經有過好的財務經驗的投資人將反向影響相對風險偏好指標（RRAI）。這些研究發現提供了經驗法則將會影響投資人風險偏好程度變化的證據。此外，本篇論文亦針對心理帳戶是否會與投資人風險偏好的程度有關進行檢驗，我們發現，投資人相較於一般帳戶而言，在退休帳戶裡的投資較願意承擔較高的風險。The purpose of this study is to investigate the change of risk aversion of household investors in the pre-and post- sub-prime financial crisis periods from a behavioral perspective. Using the 2007 and 2009 Survey of Consumer Finances (SCF) panel data, conducted by the Board of Governors of the Federal Reserve System, we examine whether the experience effects, including “snake-bit” effect and “house-money” effect, and mental accounting will influence the change of individual relative risk aversion in the pre-and post- sub-prime financial crisis periods. The “snake-bit” effect suggests that after experiencing a financial loss, individual investors become less willing to take risk. On the other hand, the “house-money” effect suggests that investors are willing to take more risk once they have experienced a gain or profit. Using the following variables to proxy for bad experience-capital losses, job losing, no income, bad investment, bankruptcy, declining in stock price, declining in real asset/other asset values, we find that bad experience during the financial crisis period will positively affect individual relative risk aversion index (RRAI, i.e., higher RRAI indicates more risk aversion) in the post-crisis period. On the other hand, using the following variables to proxy for good experience-getting jobs, an increase in income, and good investment, we find that good experience will negatively affect individual RRAI. These findings provide evidence to support that experience effects will influence change of risk aversion of household investors. In addition, this study investigates whether mental accounts are associated with varying levels of risk aversion. We find that compared to regular accounts, retirement accounts show less positive change in RRAI in the post- sub-prime financial crisis period, indicating that household investors express less risk aversion in retirement account than in regular accounts after the sub-prime financial crisis in 2009.