家庭资产组合多样化:来自澳大利亚家庭、收入和劳动力动态的证据(Hilda)调查

A. Worthington
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引用次数: 13

摘要

本文利用HILDA调查的第6波,研究了人口、社会经济和风险规避因素对澳大利亚家庭资产组合多样化的影响。家庭资产分为房屋和其他财产、退休金、股权和现金投资、商业资产、银行账户、人寿保险、信托基金和收藏品。所审查的特征包括家庭结构和组成、收入来源和水平、年龄、性别和对承担财务风险的态度。多元化指标包括幼稚指数、Hirschman-Herfindahl浓度指数、Shannon熵指数、绝对基准指数和相对基准指数以及市场资产份额指数。Tobit模型用于确定与多样化相关的因素的来源和大小。结果表明,澳大利亚家庭投资组合的资产多样化水平非常低,所分析的因素产生重大影响。重要的是,在家庭投资组合中观察到的行为似乎与经典投资组合理论的核心预测几乎没有关系。
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Household Asset Portfolio Diversification: Evidence from the Household, Income and Labour Dynamics in Australia (Hilda) Survey
This paper examines the impact of demographic, socioeconomic and risk aversion factors on diversification in Australian household asset portfolios using Wave 6 of the HILDA Survey. Household assets are categorised as home and other property, superannuation, equity and cash investment, business assets, bank accounts, life insurance, trust funds and collectibles. The characteristics examined include family structure and composition, the source and level of income, age, gender and attitudes towards financial risk taking. The diversification measures comprise a naive index, a Hirschman-Herfindahl concentration index, a Shannon entropy index, absolute and relative benchmark indexes and a market asset share index. Tobit models are used to identify the source and magnitude of the factors associated with diversification. The results indicate that Australian household portfolios have very low levels of asset diversification and that the factors analysed exert a major impact. Importantly, the behaviour observed in household portfolios appears to bear little relation to the central predictions of classic portfolio theory.
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