特別股有幾乎比普通股好嗎？

Abstract

資產配置策略中，實務界普遍提出的建議是年紀愈輕，可承受風險愈大，應將較高比例資金配置於高風險性資產；年紀愈大，可承受風險愈低，應將較高比例資金配置於低風險性資產。針對此一建議是否合理，學術界於數十年來有正反不同的看法。Bali, Demirtas, Levy, Wolf(2009)提出以幾乎隨機優越理論分析此一議題，而得出當投資區間拉長至12個月以上時，投資普通股的報酬率將優於投資債券報酬率之結論。本文就Bali等人之研究進行延伸，探討若將與債券性質相近的特別股來與普通股比較，是否也可得出相似結論。 研究結果顯示，當投資期間提高至24個月以上，普通股之報酬率將幾乎一階隨機優越於特別股。故可就此結果推論，當年紀愈輕(投資期間愈長)，應將較高比例資產配置於高風險性資產(普通股)之建議，的確有其合理性。

In refer to asset allocation strategy, there comes a commonly advice: the risk tolerance of young people is high and they should raise the ratio of higher risk assets in their portfolio; on the other hand, the risk tolerance of old people is low and they should raise the ratio of lower risk assets in their portfolio. There are numerous debates of this subject which is reasonable in decades. Bali, Demirtas, Levy, Wolf(2009) analyzed the subject by almost stochastic dominance theory and conclude that when investment horizon is longer than 12 month, the common stock return will ASD bonds. The thesis would extend the research content of Bali, try to analyze the other fixed income securities, i.e. preferred stocks, could come to similar conclusion of Bali. From the thesis, the author found that when investment horizon is longer than 24 month, he common stock returns will AFSD preferred stocks. So we can inferred that when people are younger (who have longer investment horizon), should allocate more proportion to high risk assets (i.e. common stocks), and the common advice come from financial experts is reasonable.