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題名：不同投資策略下勞退新制收益率保證成本與所得替代率之探討
書刊名：財務金融學刊
作者：楊曉文／唐俊華 引用關係
作者(外文)：Yang, Sharon S.／Tang, Chun-hua
出版日期：2009
卷期：17:1
頁次：頁143-172
主題關鍵詞：勞工退休金制度；確定提撥制；收益率保證；行為財務學；處分效果；Labor persion mechanism；Defined contribution plan；Guaranteed rate of return；Behavioral finance；Disposition effect
原始連結：連回原系統網址new window
相關次數：
  • 被引用次數被引用次數:期刊(3) 博士論文(0) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:3
  • 共同引用共同引用:50
  • 點閱點閱:95
The labor pension plan in Taiwan was reformed from defined benefit (DB) plan to defined contribution (DC) plan in July 2005. The operation of the pension fund is under a single-fund design and incorporates a minimum rate of return guarantee. This paper attempts to evaluate the cost of such guarantee and investigate how investment strategies affect the guarantee cost and the income-replacement ratio under a multiple-fund setting. We consider the buy-and-hold strategy, threshold strategy and the strategies related to the past performance of the alternative portfolios. We adopt Monte Carlo simulation to carry out the numerical analysis. The numerical results show that when employees do not need to pay for the guarantee, they can choose the risky portfolio with high expected rate of return to maximize their expected retirement benefits. In addition, the guarantee cost is affected by investment strategies, the parameters of the interest-rate model and the transaction cost.
期刊論文
1.Locke, P. R.、Mann, S. C.。Professional Trader Discipline and Trade Disposition。Journal of Financial Economics，76，401-444。  new window
2.Vigna, Elena、Haberman, Steven(2001)。Optimal Investment Strategy for Defined Contribution Pension Schemes。Insurance: Mathematics and Economics，28(2)，233-262。  new window
3.Boulier, J. F.、Huang, S. J.、Taillard, G.(2001)。Optimal Management under Stochastic Interest Rates: The Case of a Protected Defined Contribution Pension Fund。Insurance: Mathematics and Economics，28(2)，173-189。  new window
4.Lindset, Snorre(2004)。Relative Guarantees。The Geneva Papers on Risk and Insurance Theory，29(2)，187-209。  new window
5.許光華、林秉瑋(20050200)。散戶投資人處分效果之研究--考量公司市場價值下之實證結果。管理學報，22(1)，85-107。new window  延伸查詢new window
6.Shu, Pei-Gi、Yeh, Yin-Hua、Chiu, Shean-Bii、Chen, Hsuan-Chi(2005)。Are Taiwanese individual Investors Reluctant to Realize their Losses?。Pacific-Basin Finance Journal，13(2)，201-223。  new window
7.Kahneman, D.、Tversky, A.(1979)。Prospect theory: An analysis of decision under risk。Econometrica，47(2)，263-291。  new window
8.Cox, J. C.、Ingersoll, J. E.、Ross, S. A.(1985)。A Theory of the Term Structure of Interest Rate。Econometrica，53(2)，385-408。  new window
9.Benartzi, Shlomo、Thaler, Richard H.(1995)。Myopic Loss Aversion and the Equity Premium Puzzle。Quarterly Journal of Economics，110(1)，73-92。  new window
10.王儷玲、楊曉文、黃泓智(20060600)。勞退新制下個人帳戶制與年金保險制之所得替代率分析。臺灣勞動法學會學報，5，175-220。  延伸查詢new window
11.Agnew, Julie R.、Balduzzi, Pierluigi、Sundén, Annika E.(2003)。Portfolio choice and trading in a large 401(k) plan。American Economic Review，93(1)，193-215。  new window
12.邱顯比(19970400)。臺灣退休基金資產分配之試評。證券市場發展，9(2)=34，29-57。new window  延伸查詢new window
13.王儷玲、楊曉文、黃泓智、李永琮(20070400)。勞退新制下個人帳戶制與年金保險制最適轉換時點與轉換價值分析。財務金融學刊，15(1)，1-30。new window  延伸查詢new window
14.Barber, Brad M.、Odean, Terrance(2000)。Trading is hazardous to your wealth: The common stock investment performance of individual investors。The Journal of Finance，55(2)，773-806。  new window
15.Odean, Terrance(1998)。Are Investors Reluctant to Realize Their Losses?。The Journal of Finance，53(5)，1775-1798。  new window
16.Shefrin, Hersh、Statman, Meir(1985)。The Disposition to Sell Winners Too Early and Ride Losers Too Long: Theory and Evidence。The Journal of Finance，40(3)，777-790。  new window
17.Heath, David C.、Jarrow, Robert A.、Morton, Andrew J.(1992)。Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation。Econometrica，60(1)，77-105。  new window
18.Sharpe, William F.(1966)。Mutual fund performance。Journal of Business，39(1)，119-138。  new window
19.Barber, B. M.、Odean, T.(2004)。Are Individual Investors Tax Savvy? Evidence from Retail and Discount Brokerage Accounts。Journal of Public Economics，88(1/2)，419-442。  new window
20.Grinblatt, Mark S.、Keloharju, Matti(2001)。What makes investors trade?。Journal of Finance，56(2)，589-616。  new window
21.Genesove, David、Mayer, Christopher(2001)。Nominal loss aversion and seller behavior: Evidence from the housing market。Quarterly Journal of Economics，116(4)，1233-1260。  new window
22.李孟茹、倪世傑。勞退新制急待補齊的一張拼圖－勞退監理會。勞動保障雙月刊，9，38-41。  延伸查詢new window
23.陳芬苓、張森林。附加年金制的遠期契約價值及政策意涵分析。證券市場發展季刊，18(1)，1-30。  延伸查詢new window
24.陳炤良。退休基金保證成本之估計－針對薪資相關、雇主提撥之確定給付退休金計畫。證券市場發展季刊，12(3)，141-162。  延伸查詢new window
25.黃介良。臺灣退休基金資產配置之研究。證券市場發展季刊，10(3)，135-170。  延伸查詢new window
26.黃介良、李翎竹、陳秋蓉。投資收益保證制度之探討－以退撫基金為例。證券市場發展季刊，15(4)，37-68。  延伸查詢new window
27.楊曉文、張孝旭。勞退新制下變額年金保險之收益保證風險評估與資本適足性研究。風險管理學報，7(3)，301-329。  延伸查詢new window
28.楊曉文、黃泓智、鄭宇宏。投資型保險保證給付風險之衡量：同調風險衡量值的介紹與應用。保險專刋，20(2)，159-181。new window  延伸查詢new window
29.Benartzi, S.、Thaler, R. H.。Naïve Diversification Strategies in Defined Contribution Saving Plans。The American Economic Review，91(1)，79-98。  new window
30.Blake, D.、Cairns, A. J. G.、Dowd, K.。Pensionmetrics: Stochastic Pension Plan Design and Value-at-Risk during the Accumulation Phase。Insurance: Mathematics and Economics，29，187-215。  new window
31.Choi, J. J.、Laibson, D.、Metrick, A.。How Does the Internet Affect Trading? Evidence from Investor Behavior in 401(k) Plans。Journal of Financial Economics，64，397-421。  new window
32.Dhar, R.、Zhu, N.。Up Close and Personal: Investor Sophistication and the Disposition Effect。Management Science，52(5)，726-740。  new window
33.Pennacchi, G. G.。The Value of Guarantees on Pension Fund Returns。Journal of Risk and Insurance，66(2)，219-237。  new window
34.Sherris, M.(1995)。The Valuation of Option Features in Retirement Benefits。Journal of Risk and Insurance，62(3)，509-534。  new window
會議論文
1.王儷玲。勞退新制退休基金之資金運用對勞工退休所得的影響。  延伸查詢new window
2.Scott, L. O.。Simulating a Multi-factor Term Structure Model over Relatively Long Discrete Time Periods。  new window
研究報告
1.Miao, W. C.。Quadratic Variation Estimators for Diffusion Models in Finance。  new window
學位論文
1.沙勝毅(2000)。台灣股票市場散戶與外資投資心理之比較研究(碩士論文)。銘傳大學。  延伸查詢new window
2.許祐瑞(2002)。台灣股市散戶與三大法人處分效果之研究(碩士論文)。國立高雄第一科技大學。  延伸查詢new window
3.龔怡霖(2001)。行爲財務學--文獻回顧與未來發展(碩士論文)。中正大學。  延伸查詢new window
4.白芳苹(2002)。基金投資人之錯置效果--台灣地區實證研究(碩士論文)。國立臺灣大學。  延伸查詢new window
5.李朝明(2003)。臺灣股票市場投資人錯置效果與盈虧之細部研究(碩士論文)。國立臺灣大學。  延伸查詢new window
圖書
1.Glasserman, P.(2004)。Monte Carlo Methods in Financial Engineering。New York, NY：Springer-Verlag。  new window
2.Hardy, M. R.(2003)。Investment Guarantees-Modeling and Risk Management for Equity-Linked Life Insurance。Hoboken, NJ：John Wiley and Sons, Inc.。  new window
3.Allen, Jr.、Melone, J. J.、Rosenbloom, J. S.、Vanderhei, J. L.。Pension Planning: Pension, Profit-sharing, and Other Deferred Compensation Plans。Pension Planning: Pension, Profit-sharing, and Other Deferred Compensation Plans。New York, NY。  new window
4.Mitchell, O. S.、Utkus, S. P.。Lessons from Behavioral Finance for Retirement Plan Design。Pension Design and Structure: New Lessons from Behavioral Finance, Chapter 1.。  new window
其他
1.行政院勞工委員會。勞工統計月報，第164期。  延伸查詢new window
 
 
 
 
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