政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/124133

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政大典藏 > College of Commerce > Department of Finance > Theses > Item 140.119/124133

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/124133

Title:	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
Authors:	林元駿 Lin, Yuan-Chun
Contributors:	陳鴻毅 Chen, Hong Yi 林元駿 Lin, Yuan-Chun
Keywords:	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
Date:	2019
Issue Date:	2019-07-01 10:46:01 (UTC+8)
Abstract:	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.
Reference:	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.
Description:	碩士國立政治大學財務管理學系 106357031
Source URI:	http://thesis.lib.nccu.edu.tw/record/#G1063570311
Data Type:	thesis
DOI:	10.6814/NCCU201900118
Appears in Collections:	[Department of Finance] Theses

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