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題名 401(k)退休金計劃投資效率性與計劃特徵關係之研究
A Study of the relationship between the efficiency of 401(k) Plan and plan characteristics作者 林元駿
Lin, Yuan-Chun貢獻者 陳鴻毅
Chen, Hong Yi
林元駿
Lin, Yuan-Chun關鍵詞 401(k)退休金計劃
計劃效率性
計劃特徵
401(k) plan
Intersection test
Plan efficiency
Plan characteristics日期 2019 上傳時間 1-Jul-2019 10:46:01 (UTC+8) 摘要 本研究探討401(k)退休金計劃的投資效率性與計劃特徵之關係。401(k)計劃的投資效率取決於信託人所提供的投資清單以及計劃參與者在投資清單中如何去選擇投資組合。然而過去文獻中提到401(k)計劃中的雇主、信託公司和參與者存在行為偏誤，導致參與者做出不合理的投資決策而失去401(k)計劃的投資效率。實證結果顯示僅有0.3%的401(k)計劃具有顯著的投資效率性，我們還發現前一期員工計劃中持有公司股票的佔比與計劃的效率性有顯著正相關；然而計劃信託公司的選擇以及投資清單數目的多寡與計劃的效率性並無顯著的關聯。
This study tries to investigate whether the active investment strategy of 401(k) plans is more efficient than the passive investment strategy. Prior literature has documented some problems of behavioral bias in 401(k) plans. We argue that the existence of the behavioral bias will lead the irrational investment decision, and therefore a weak plan efficiency can be observed. We collect 2,688 401(k) plans and examine the relationship between the plan efficiency and plan characteristics. We empirically find that only 0.3% of plans can outperform market portfolios, indicating the active investment strategies of most 401(k) plans are not efficient. In addition, we find the plan efficiency is positively associated with the proportion of the company stock holding to total investments of a plan. However, the choice of trustees or the size of the investment menu has no significant effect on the plan efficiency.參考文獻 Agnew, J., Balduzzi, P., & Sunden, A. (2003). Portfolio choice and trading in a large 401 (k) plan. American Economic Review, 93(1), 193-215.Benartzi, S. (2001). Excessive extrapolation and the allocation of 401 (k) accounts to company stock. The Journal of Finance, 56(5), 1747-1764.Benartzi, S., & Thaler, R. H. (2001). Naive diversification strategies in defined contribution saving plans. American economic review, 91(1), 79-98.Blake, C. R., Elton, E. J., & Gruber, M. J. (1993). The performance of bond mutual funds. Journal of business, 371-403.Brennan, M. J., & Torous, W. N. (1999). Individual decision making and investor welfare. Economic Notes, 28(2), 119-143.Brown, J. R., Liang, N., & Weisbenner, S. (2007). Individual account investment options and portfolio choice: Behavioral lessons from 401 (k) plans. Journal of Public Economics, 91(10), 1992-2013.Cohen, L., & Schmidt, B. (2009). Attracting flows by attracting big clients. The Journal of Finance, 64(5), 2125-2151.Elton, E. J., Gruber, M. J., & Blake, C. R. (2011). The adequacy of investment choices offered by 401 (k) plans. In Investments And Portfolio Performance (pp. 307-322).Fama, Eugene, French, Ken, 1995. Size and book-to-market factors in earnings and returns. Journal of Finance 50, 131–156.Goldreich, D., & Hałaburda, H. (2013). When smaller menus are better: Variability in menu-setting ability. Management Science, 59(11), 2518-2535.Huberman, G., & Jiang, W. (2006). Offering versus choice in 401 (k) plans: Equity exposure and number of funds. The Journal of Finance, 61(2), 763-801.Sethi-Iyengar, S., Huberman, G., & Jiang, W. (2004). How much choice is too much? Contributions to 401 (k) retirement plans. Pension design and structure: New lessons from behavioral finance, 83, 84-87.Meulbroek, L. (2005). Company stock in pension plans: How costly is it?. The Journal of Law and Economics, 48(2), 443-474.Tang, N., Mitchell, O. S., Mottola, G. R., & Utkus, S. P. (2010). The efficiency of sponsor and participant portfolio choices in 401 (k) plans. Journal of Public Economics, 94(11-12), 1073-1085. 描述 碩士
國立政治大學
財務管理學系
106357031資料來源 http://thesis.lib.nccu.edu.tw/record/#G1063570311 資料類型 thesis dc.contributor.advisor 陳鴻毅 zh_TW dc.contributor.advisor Chen, Hong Yi en_US dc.contributor.author (Authors) 林元駿 zh_TW dc.contributor.author (Authors) Lin, Yuan-Chun en_US dc.creator (作者) 林元駿 zh_TW dc.creator (作者) Lin, Yuan-Chun en_US dc.date (日期) 2019 en_US dc.date.accessioned 1-Jul-2019 10:46:01 (UTC+8) - dc.date.available 1-Jul-2019 10:46:01 (UTC+8) - dc.date.issued (上傳時間) 1-Jul-2019 10:46:01 (UTC+8) - dc.identifier (Other Identifiers) G1063570311 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/124133 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 財務管理學系 zh_TW dc.description (描述) 106357031 zh_TW dc.description.abstract (摘要) 本研究探討401(k)退休金計劃的投資效率性與計劃特徵之關係。401(k)計劃的投資效率取決於信託人所提供的投資清單以及計劃參與者在投資清單中如何去選擇投資組合。然而過去文獻中提到401(k)計劃中的雇主、信託公司和參與者存在行為偏誤，導致參與者做出不合理的投資決策而失去401(k)計劃的投資效率。實證結果顯示僅有0.3%的401(k)計劃具有顯著的投資效率性，我們還發現前一期員工計劃中持有公司股票的佔比與計劃的效率性有顯著正相關；然而計劃信託公司的選擇以及投資清單數目的多寡與計劃的效率性並無顯著的關聯。 zh_TW dc.description.abstract (摘要) This study tries to investigate whether the active investment strategy of 401(k) plans is more efficient than the passive investment strategy. Prior literature has documented some problems of behavioral bias in 401(k) plans. We argue that the existence of the behavioral bias will lead the irrational investment decision, and therefore a weak plan efficiency can be observed. We collect 2,688 401(k) plans and examine the relationship between the plan efficiency and plan characteristics. We empirically find that only 0.3% of plans can outperform market portfolios, indicating the active investment strategies of most 401(k) plans are not efficient. In addition, we find the plan efficiency is positively associated with the proportion of the company stock holding to total investments of a plan. However, the choice of trustees or the size of the investment menu has no significant effect on the plan efficiency. en_US dc.description.tableofcontents 1 Introduction 11.1 What is 401(k) plan? 11.2 Some problems in 401(k) plan 21.3 Background 42 Literature Review 63 Data 113.1 401(k) plan data 113.2 Industry classification data 123.3 Market index 134 Methodology and Model 154.1 Intersection test 154.2 Efficiency 164.3 Plan characteristics – investment in company stock 174.4 Plan characteristics – trustee 184.5 Plan characteristics – number of funds 195 Empirical Results 205.1 Intersection test 205.2 Plan characteristics – investment in company stock 205.3 Plan characteristics – trustee 215.4 Plan characteristics – number of funds 226 Research Limits and Future Research 237 Conclusion 24References 25 zh_TW dc.format.extent 1254334 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G1063570311 en_US dc.subject (關鍵詞) 401(k)退休金計劃 zh_TW dc.subject (關鍵詞) 計劃效率性 zh_TW dc.subject (關鍵詞) 計劃特徵 zh_TW dc.subject (關鍵詞) 401(k) plan en_US dc.subject (關鍵詞) Intersection test en_US dc.subject (關鍵詞) Plan efficiency en_US dc.subject (關鍵詞) Plan characteristics en_US dc.title (題名) 401(k)退休金計劃投資效率性與計劃特徵關係之研究 zh_TW dc.title (題名) A Study of the relationship between the efficiency of 401(k) Plan and plan characteristics en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) Agnew, J., Balduzzi, P., & Sunden, A. (2003). Portfolio choice and trading in a large 401 (k) plan. American Economic Review, 93(1), 193-215.Benartzi, S. (2001). Excessive extrapolation and the allocation of 401 (k) accounts to company stock. The Journal of Finance, 56(5), 1747-1764.Benartzi, S., & Thaler, R. H. (2001). Naive diversification strategies in defined contribution saving plans. American economic review, 91(1), 79-98.Blake, C. R., Elton, E. J., & Gruber, M. J. (1993). The performance of bond mutual funds. Journal of business, 371-403.Brennan, M. J., & Torous, W. N. (1999). Individual decision making and investor welfare. Economic Notes, 28(2), 119-143.Brown, J. R., Liang, N., & Weisbenner, S. (2007). Individual account investment options and portfolio choice: Behavioral lessons from 401 (k) plans. Journal of Public Economics, 91(10), 1992-2013.Cohen, L., & Schmidt, B. (2009). Attracting flows by attracting big clients. The Journal of Finance, 64(5), 2125-2151.Elton, E. J., Gruber, M. J., & Blake, C. R. (2011). The adequacy of investment choices offered by 401 (k) plans. In Investments And Portfolio Performance (pp. 307-322).Fama, Eugene, French, Ken, 1995. Size and book-to-market factors in earnings and returns. Journal of Finance 50, 131–156.Goldreich, D., & Hałaburda, H. (2013). When smaller menus are better: Variability in menu-setting ability. Management Science, 59(11), 2518-2535.Huberman, G., & Jiang, W. (2006). Offering versus choice in 401 (k) plans: Equity exposure and number of funds. The Journal of Finance, 61(2), 763-801.Sethi-Iyengar, S., Huberman, G., & Jiang, W. (2004). How much choice is too much? Contributions to 401 (k) retirement plans. Pension design and structure: New lessons from behavioral finance, 83, 84-87.Meulbroek, L. (2005). Company stock in pension plans: How costly is it?. The Journal of Law and Economics, 48(2), 443-474.Tang, N., Mitchell, O. S., Mottola, G. R., & Utkus, S. P. (2010). The efficiency of sponsor and participant portfolio choices in 401 (k) plans. Journal of Public Economics, 94(11-12), 1073-1085. zh_TW dc.identifier.doi (DOI) 10.6814/NCCU201900118 en_US
