不勞而獲 定期定額基金投資人行為研究

Abstract

定期定額投資基金逐漸盛行，本研究藉由投資人實際的交易資料，從投資人屬性、傳統財務學和行為財務學三方面，探討定期定額投資。 本研究主要發現如下：第一、投資人屬性方面，女性投資人、年齡越小、教育程度較低，和家庭年收入越低的投資人，較容易採用定期定額投資。第二、傳統財務學方面，從實證資料中，發現平均而言，定期定額投資平均年報酬率為10.20%，單筆的平均年報酬率為12.02%，較定期定額高約2%。但定期定額的調整後報酬率(夏普指標)較大，有14.33%，單筆只有11.78%。第三、行為財務學方面，發現定期定額的效用高於單筆投資；定期定額的錯置係數平均較單筆小，推測定期定額可能可以使投資人較不趨避後悔；在自我控制方面，相較於單筆投 資，定期定額投資人的損失容忍度較大，他們的持有期間最大損失較單筆多5%，但這個行為並不會有助於報酬率；另外，發現有定期定額投資人普遍存在停扣的行為，亦即他們面臨損失時，不會堅持繼續投入金額，而會選擇不做任何動作，自我控制機制失靈，等到基金回漲後，他們才會贖回，或是繼續投入金額。

How do you deal with your salary after expenditure? Put it in the bank? Buy stock? Or you may put it somewhere in between. Combining the advantages of savings and lump-sum investing, dollar-cost averaging has been one of the most popular investing strategies nowadays. Like bank depositors, dollar-cost averaging investors don’t have to make sequential investment decision; however, they can have almost as much return as lump sum investors. Through data set provided by large brokerage house with 42,387 accounts from 2000 to 2006, we find: First, female investors as well as investors with younger age, less education and lower household income are more likely to use dollar-cost averaging as an investment strategy. Second, from standard finance perspective, we find that the average annual return of dollar-cost avenging transaction is 10.2% while that of lump-sum investment is 12.02%, but the standard deviation of return from dollar-cost averaging is far more less than that of lump-sum investing. Finally, from behavioral finance perspective, we find that dollar-cost averaging investors have been enjoying higher utility than lump-sum investors. Besides, they exhibit less disposition effect. They can endure more loss than lump-sum investors, but they still tend to stop investing when they lose money. It shows that dollar-cost averaging cannot really help investors control themselves from selling when losing.