財富與股市投資報酬：臺灣的實證分析

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姓名	朱家萱(Chia-Hsuan Chu) 查詢紙本館藏	畢業系所	經濟學系
論文名稱	財富與股市投資報酬：臺灣的實證分析 (The Relationship Between Wealth and Stock Return: Evidence from Taiwan)
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摘要(中)	為財富分配不均一直是各界關注的議題，其造成的原因及帶來的結果都值得進一步研究。本文以財政部財稅資訊中心稅籍資料為基準，選取2007-2017十一年間獨立報稅之家戶財富及投資資料進行研究，旨在探討家戶財富與股市投資報酬率的關係，研究富有的投資者是否會在股市中有較高的報酬率。本文以固定效果模型進行十一年間Panel Data迴歸分析，研究家戶財富增加對股市報酬率的影響、觀察家戶財富增加，投資策略的改變以及投資策略與報酬率的關係。實證結果有幾項發現：首先，家戶財富每增加一百萬元，已實現報酬率減少0.0003個百分點。第二，財富增加，使投資者願意在股市中承受的波動風險愈高、投資標的股價愈高、本益比愈低，且每股盈餘愈高。第三，投資策略的異質性對股市報酬率有顯著的影響。第四，隨著財富增加，家戶參與股票市場的機率上升。最後，財富增加，亦使家戶財富配置到股票的比例上升。綜上所述，財富不僅影響家戶參與股票市場的意願、也影響家戶資產配置策略、投資策略，而投資策略的異質性又對股市報酬率有顯著影響，故財富影響投資者在股市中的投資報酬。
摘要(英)	Wealth inequality has always been a highly concerning issue. This thesis focusses the relationship between wealth and return to invest in the stock market. This research answers the following questions with eleven years′ population data. (1) How a household wealth affects its return to investment in the stock market? (2) Whether or not wealthier households have different investment strategies than less wealthy ones. (3) Are the differences in investment strategies responsible for the different returns for households of different wealth? The data is retrieved from the Fiscal Information Agency, Ministry of Finance, for the period from 2007 to 2017. We have the following findings. First, every additional one million TWD of household wealth leads to a reduction of 0.0003 percentage points of realized return and 0.15 percentage points of unrealized return. Second, wealthier investors are more willing to take higher risk and invest in higher-priced stocks. Third, the heterogeneity in investing strategies has significant influence on stock return. Fourth, both the probability of household participation in the stock market, and the proportion of wealth allocated to stocks increases with household wealth.
關鍵字(中)	★ 財富 ★ 股市報酬 ★ 投資策略 ★ 財富分配 ★ 已實現報酬率 ★ 未實現報酬率	關鍵字(英)	★ wealth ★ stock return ★ investment strategies ★ wealth inequality ★ realized return ★ unrealized return
論文目次	中文摘要 i 英文摘要 ii 目錄 iii 圖目錄 iv 表目錄 v 一、研究動機與目的 1 二、緒論及文獻回顧 4 三、資料來源及說明 7 3-1 樣本資料 7 3-2 財富資料 7 3-3 報酬率 8 3-4 投資策略變數 9 3-4-1 股價（Price） 10 3-4-2 Beta值 10 3-4-3 每股盈餘（Earnings Per Share， EPS） 10 3-4-4 本益比（Price-to-Earning Ratio，P/E） 11 3-4-5 股價淨值比（Price-to-Book Ratio，P/B） 11 3-4-6 三種偏態係數 12 3-5 敘述統計量 13 四、實證模型及結果 17 4-1 實證模型設定 17 4-2 實證結果 21 五、強韌性測試 35 六、結論 42 參考文獻 45
參考文獻	Adermon, A., lindahl, M., & Waldenström, D. (2018). “Intergenerational Wealth Mobility and the Role of Inheritance: Evidence from Multiple Generations.” The Economic Journal, 128(612), F482–F513. Azarmsa, E. (2020). “Investment Sophistication and Wealth Inequality.” Available at SSRN: https://ssrn.com/abstract=3206823. Bartscher, A. K., Kuhn, M., & Schularick, M. (2020). “The College Wealth Divide: Education and Inequality in America, 1956-2016.” Available at SSRN: https://ssrn.com/abstract=3587685 Boserup, S. H., Kopczuk, W., & Kreiner, Claus Thustrup. (2018). “Born with a Silver Spoon? Danish Evidence on Wealth Inequality in Childhood.” The Economic Journal, 128(612), F514–F544. Calvet, L. E., Campbell, john Y., & Sodini, P. (2009). “Fight or Flight? Portfolio Rebalancing by Individual Investors.” The Quarterly Journal of Economics, 124(1), 301–348. Campbell, J. y., Ramadorai, T., & Ranish, B. (2019). “Do the Rich Get Richer in the Stock Market? Evidence from India.” AMERICAN ECONOMIC REVIEW: INSIGHTS, 1(2),225–40. https://www.aeaweb.org/articles?id=10.1257/aeri.20180158 Clark, R. L., Lusardi, A., & Mitchell, O. (2015). “Employee Financial Literacy and Retirement Plan Behavior: A Case Study.” SSRN Electronic Journal. Fagereng, A., Guiso, luigi, Malacrino, D., & Pistaferri, L. (2020). “Heterogeneity and Persistence in Returns to Wealth.” Econometrica, 88(1), 115–170. Korniotis, G. M., & Kumar, A. (2011). “Do Older Investors Make Better Investment Decisions?” The Review of Economics and Statistics, 93(1), 244–265. Saez, E., & Zucman, G. (2016). “Wealth Inequality in the United States since 1913: Evidence from Capitalized Income Tax Data.” The Quarterly Journal of Economics, 131(612), 519–578. Piketty, T. (2014). Capital in the Twenty-First Century. Harvard University Press.
指導教授	簡錦漢鄭保志(Kam-hon Kan Cheng, P. C. Roger)	審核日期	2021-9-6
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博碩士論文 108429007 詳細資訊