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外文摘要
引文資料
題名:
房貸支出對勞工最適資產配置之影響
書刊名:
國立虎尾科技大學學報
作者:
謝企榮
/
徐守德
/
陳明吉
作者(外文):
Hsieh, Chi-jung
/
Shyu, David
/
Chen, Ming-chi
出版日期:
2008
卷期:
27:1
頁次:
頁69-87
主題關鍵詞:
房貸支出
;
最適資產配置
;
風險趨避
;
Mortgage payment
;
Optimal asset allocation
;
Risk aversion
原始連結:
連回原系統網址
相關次數:
被引用次數:期刊(
1
) 博士論文(0) 專書(0) 專書論文(0)
排除自我引用:
1
共同引用:
10
點閱:22
由於金融市場工具日趨多元化,勞工可以調整其房貸負擔以符合其整體效用,因此,本文驗證不同房貸支出對最適資產配置決策的影響,除了發現風險趨避度高的勞工,會採取保守的投資策略外,勞動所得與房貸支出之變異性,對風險性資產的配置會產生影響。勞動所得變異的增加會提高勞工儲蓄意願,不願持有風險性資產,而變成保守的投資人。其次,研究發現:當「當期房貸支出」與「下期非預期風險資產報酬」具有正向變異,會使勞工增加風險資產的配置,勞工的投資策略更爲積極,這意謂在房貸支出提高且市場風險資產報酬上升之下,勞工會增加風險性資產的配置,以達到充分的分散投資;另房貸下降且非預期市場風險資產報酬下降,由於手上可支配所得增加,且非預期的市場向下修正,會使勞工重新檢視風險資產的價格,因而增加物超所值風險性資產的配置,而形成比較積極的資產配置。由於工作性質的差異,有些工作比較穩定,勞動者一直到退休也不會失業,所以房貸支出是相對穩定,但有些工作變動性相當大,很容易失業,一旦失業即失去所得來源,自然沒有能力調整房貸支出,就模型討論的三種狀態中,愈有可能失業或退休,勞工的投資策略愈保守。
以文找文
Due to the diversification of financial instruments, the labor can adjust the mortgage payment to maximize personal utility function. We drive the optimal asset allocation by the different mortgage payment, and find that the labors who are more risk aversion tend to take conservative strategy of investment. Because of verities of labor income and mortgage payment, the allocation of risky asset will be different. The labor will increase the tendency of saving from income and be unwilling to hold risky asset, and then become conservative. We also found when the positive correlation between the current mortgage payment and stock returns the labor will increase the risky asset in his portfolio and exhibit more aggressive strategy. In other words, the more mortgage payment and stock returns, the more risky asset the labor will hold in order to diversify assets. On the other hand, the labor who reduces the mortgage payment and find the stock return drop will revaluate the price of risky assets. Finally, the labor will form an aggressive strategy to allocate risky asset. Because of the different characteristic in professions, some labors can afford mortgage payment persistently. Some labors may lose job in a harsh environment and are not able to pay the mortgage payment. From the three scenarios we discussed above, the labor will take conservative strategy when facing unemployment or retirement.
以文找文
期刊論文
1.
Jagannathan, R.、Kocherlakota, N. R.(1996)。Why Should Older People Invest Less in Stocks Than Younger People?。Federal Reserve Bank of Minneapolis Quarterly Review,20(3),11-23。
2.
Quigley, J. M.、Van Order, R.(1991)。Defaults on mortgage obligations and capital requirements for U. S. savings institutions-a policy perspective。Journal of Public Economics,44(3),353-369。
3.
Campbell, John Y.、Viceira, Luis M.(1999)。Consumption and Portfolio Decisions when Expected Returns Are Time Varying。The Quarterly Journal of Economics,114(2),433-495。
4.
Viceira, Luis M.(2001)。Optimal Portfolio Choice for Long-horizon Investors with Nontradable Labor Income。Journal of Finance,56(2),433-470。
5.
Vigna, Elena、Haberman, Steven(2001)。Optimal Investment Strategy for Defined Contribution Pension Schemes。Insurance: Mathematics and Economics,28(2),233-262。
6.
Chen, P.、Ibbotson, R. G.、Milevsky, M. A.、Zhu, K. X.(2006)。Human capital, asset allocation, and life insurance。Financial Analyst Journal,62(1),97-109。
7.
Dhillon, J. D. S.、Simians, C. F.(1987)。Choosing between Fixed and Adjustable Rate Mortgages。Journal Money Credit Banking,19(2),260-267。
8.
Hu, X. Q.(2005)。Portfolio choices for homeowners。Journal of Urban Economics,58(1),114-136。
9.
Shum, P.、Faig, M.(2006)。What explains household stock holdings?。Journal of Banking & Finance,30(9),2579-2597。
10.
Yamashita, T.(2003)。Owner-occupied housing and investment in stocks: an empirical test。Journal of Urban Economics,53(2),220-237。
11.
Abowd, J. M.、Card, D.(1989)。On the covariance structure of earnings and hours changes。Econometrica,57(2),411-445。
12.
Flavin, M.、Yamashita, T.(2002)。Owner-Occupied Housing and the Composition of the Household Portfolio。American Economic Review, American Economic Association,92(1),345-362。
13.
Heaton, J.、Lucas, D. J.(1996)。Evaluating the effects of incomplete markets on risk sharing and asset pricing。Journal of Political Economy,104(3),443-487。
14.
MaCurdy, T. E.(1982)。The use of time series processes to model the error structure of earnings in a longitudinal data analysis。Journal of Econometrics,18(1),83-134。
15.
Lin, C. C.、Chen, C. L.(2000)。Life cycle, mortgage payment, and forced savings。International Real Estate Review,3(1),109-141。
16.
Yao, R.、Zhang, H. H.(2005)。Optimal consumption and portfolio choices with risky housing and borrowing constraints。The Review of Financial Studies,18(1),197-239。
17.
黃泓智(20070600)。確定提撥制下退休基金之最適提撥率與最適資產配置。臺大管理論叢,17(2),91-106。
延伸查詢
18.
Shiller, R. J.(1999)。Home Equity Insurance。Journal of Real Estate Finance and Economics,19(1),21-48。
19.
Krumm, R. K.(1989)。Effects of homeowner ship on household Savings。Journal of Urban Economics,6,281-294。
20.
Wang, W. H.(1987)。The Behavior of Saving in Taiwan。Taiwan Economic Review,128,14-30。
21.
Hsueh, L. M.(1998)。A Comparison of Household Expenditure by Tenure Choice。Journal of Housing Studies,7,21-40。
22.
Gollier, C.(2002)。Horizon length and portfolio risk。Journal of Risk and Uncertainty,24,195-212。
23.
Richard, S.(1999)。Anatomy of an ARM: The Interest-Rate Risk of Adjustable-Rate Mortgages。Journal of Real Estate Finance and Economic,19,49-67。
24.
Yohannes, A. G.(1991)。Comparing mortgages with different payment frequencies。Financial Services Review,1(2),131-142。
25.
Bodie, Zvi(1992)。Labor supply flexibility and portfolio choice in a life cycle model。Journal of Economic Dynamics and Control,16,427-449。
26.
Benzoni, Luca(2007)。Portfolio choice over the life-cycle when the stock and labor markets are cointegrated。Journal of Finance,62(5),2123-2167。
27.
Josa-Fombellida, Ricardo(2001)。Minimization of risk in pension funding by means of contributions and portfolio selection。Insurance: Mathematics and Economics,29,33-45。
28.
Cairns, A. J. G.(2006)。Stochastic Lifestyling: Optimal Dynamic Asset Allocation for Defined Contribution Pension Plans。Journal of Economic Dynamics and Control,30(5),843-877。
29.
Heaton, J.、Lucas, D. J.(1997)。Market Frictions, Saving Behavior and Portfolio Choice。Macroeconomic Dynamics,1(1),76-101。
30.
謬震宇(20070600)。勞退新制的最適資產配置、所得替代率與保證成本。臺大管理論叢,17(2),69-89。
延伸查詢
31.
Altonji, J. G.(1986)。Intertemporal Substitution in Labor Supply: Evidence from Mirco Data。Journal of Political Economy,94(2),176-215。
32.
Campbell, John Y.(1993)。Intertemporal Asset Pricing without Consumption Data。American Economic Review,83(3),487-512。
33.
Hakansson, Nils H.(1970)。Optimal Investment and Consumption Strategies Under Risk for a Class of Utility Functions。Econometrica,38(5),587-607。
34.
Fratantoni, M. C.(1998)。Homeownership and Investment in Risky Assets。Journal of Urban Economics,44(1),27-42。
研究報告
1.
Gerardi, C.、Rosen, H.(2006)。Do Innovations on Wall Street Help People on Main Street? The Case of the Mortgage Market。
2.
Grossman, S. J.、Laroque, G.(2003)。Asset Pricing and Optimal Portfolio Choice in the Presence of Illiquid Durable Consumption Goods。UCLA Department of Economics。
3.
Hemert, V.、Jong, D.(2005)。Dynamic portfolio and mortgage choice for homeowners。
4.
Jong, F. D.、Driessen, J.、Hemert, O. V.(2007)。Hedging House Price Risk: Portfolio Choice with Housing Futures。University Van Amsterdam。
5.
Voicu, C.(2007)。Optimal portfolio with housing derivatives。
學位論文
1.
Koo, H. K.(1995)。Consumption and Portfolio Selection with Labor Income I: Evaluation of Human Hapital(博士論文)。Washington University。
圖書
1.
Fabozzi, F.、Modigliani, F.(1992)。Mortgage and Mortgage-Backed Securities Markets。Cambridge, MA:Harvard Business School Press。
2.
Poterba, J. M.、Shoven, J. B.、Sialm, C.(2004)。Asset location for retirement savers: Private Pensions and Public Policies。Washington:Brooking Institution。
單篇論文
1.
Kullmann, C.(2003)。Real estate and its role in household portfolio choice, Faculty of Commerce and Business Administration,Vancouver, BC, Canada:University of British Columbia。
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