국내 금융 투자자들의 위험 회피 성향 측정 = Measuring the Distribution of Korean Investors' Risk Aversion

국문 초록 (Abstract)

2009년 자본시장통합법 시행 이후 투자 정보 확인서 작성이 의무화되는 등 종전보다 투자자 보호가 훨씬 강화되면서, 금융 마케터들로 하여금 금융 소비자들의 위험 추구 성향에 대한 보다 깊은 이해를 요구하는 압력으로 작용하고 있다. 따라서 금융 투자와 관련된 소비자 행동의 다양한 측면 중에서도 위험 회피(risk aversion) 성향과 관련된 연구가 특히 필요한데 본 연구는 이러한 연구의 일환으로 국내 개인 투자자들 개인 수준의 위험 회피 성향을 측정하여, 개인의 인구 통계적 요소, 경험 및 인식 관련 요인들과 어떠한 관련이 있는지를 분석하는 탐색적(exploratory) 연구이다.
위험에 대한 태도를 측정함에 있어 실무에서 주로 사용되는 직설적 단일 문항에 의존하는 대신 Holt and Laury(2002)가 제안한 다중 가격 제시 디자인(Multiple Price List Design)을 이용한 확률 척도 방식을 사용하여 국내 투자자들의 위험 회피 성향을 측정한 결과 다음과 같은 결과를 얻었다. 첫째, 국내 투자자들 중에는 위험 중립 성향을 지닌 사람들의 비율이 가장 높았고 이와 근사하게 약간의 위험을 추구하는 성향을 지닌 사람들의 비율이 두 번째로 높게 나타났다. 국내 투자자들로부터 얻어진 본 연구의 결과를 미국 투자자들을 대상으로 한 연구 결과와 비교해 보면, 전반적으로 한국 투자자들이 미국 투자자들보다 위험을 더 추구하는 성향을 가진 것으로 나타난다. 또한 극단적으로 위험을 회피하거나 추구하는 성향을 가진 극단적인 태도를 가진 투자자들의 비율이 미국보다 국내에서 더 높게 나타났다. 둘째, 인구 통계 특성과 투자 경험 및 인식 관련 요인에 따라 투자자들의 위험 회피 성향이 어떠한 차이를 보이는지를 분석한 결과, 남성 집단 및 연소득이 높은 집단상대적으로 더 위험을 추구하는 성향이 높은 것으로 나타났다.
본 연구는 국내 금융 투자자들의 위험 회피 성향을 대안 선택에 기반한 기법을 통해 측정하여 그 분포를 실증분석한 탐색적 연구로서 의의를 지니며, 또한 금융 투자 회사들이 고객 투자자들의 투자 성향을 파악하여 고객추천, 재무 설계등의 고객 개인 수준의 마케팅 활동에 실질적으로 활용이 될 수 있는 지표를 제공하였다.

다국어 초록 (Multilingual Abstract)

It is well known that individuals have different dispositions with respect to the amount of risk they are willing to take in a given situation and this basic predisposition or attitude toward risk has been studied in many disciplines including economics, marketing, and finance. Regarding the risk, it has been consistently observed that individuals prefer a safer option at a given level of an expected return and such phenomenon is called risk aversion. Measuring individual investors' attitudes toward risk is a basic step to understand investor behaviors and to further protect investors from being exposed to unwanted risk. It is also required by the regulation system that financial marketers measure potential investors' risk attitude and inform the investors of the measurement results when selling risk assets. Most finanical institutions utilize single-item questionnaires to measure investors' risk attitude. The questionnaire would typically ask how much risk the respondent is willing to accept. The respondent has to introspect his or her own level of risk aversion in answering the question. Data collected through such questionnaires are stated-preference data. Such stated risk aversion may not be objective and thus may not reflect the true level of risk aversion because individuals may have different understanding on the amount of risk to bear when reading the same verbal description of the questionnaire. It is also possible that some respondents may not understand the concept of risk and return described in the question.
To overcome the problem in the stated-data approach, this paper utilizes a simple choice experiment in measuring individual level risk aversion. We measure the distribution of risk aversion Korean investors using a multiple price list design suggested by Holt and Laury(2002). This approach is rooted in the expected utility theory in econimics and respondents are asked to make a choice between two alternative lotteries. Based on respondents' answers to a series of choice situations with varying levels of risk, we can identify the risk appetite of individual respondents. Specifically respondents are asked to choose between a relatively safe option A and a relatively risky option B in total 10 choice situations. It is designed that in the first choice situation, the safe option A is relatively attractive over the risky option B. The risky option B becomes more attractive in subsequent choice situations. Very risk averse respondents will start to choose the risky option later than less risk averse respondents. The point at which a respondent switch from the safe option to the risky option provides information on the risk aversion of the respondent.
We collect data from a survey of 322 Korea investors with a questionnaire that contains the choice tasks. The sample is representative of the Korea investors in the sense that it covers diverse groups of investors in terms of gender, age, income, residential locations, and other demographic characteristics, unlike other studies utilizing student respondents only. From the collected data, it is found about 40 percent of Korean investors are slightly risk seeking or risk neutral. The outcome is comparable to the result from the study conducted in the U.S. and it is concluded that Korean investors appear more risk averse than American investors. We also investigate how the individual level characteristics are related to the risk aversion measrue. Among several demographic and socio-economic variables, investors' gender and income level are related to their risk attitudes. Male investors with higher income level tend to be less risk averse. We also find that the stated preference measures such as SCF survey question might over- or underestimate individual investors risk attitude although SCF measure turns out to be related to the revealed preference measure utilized in this study.

목차 (Table of Contents)

• 요약
• Ⅰ. 서론
• Ⅱ. 이론적 배경 및 선행 연구
• Ⅲ. 연구방법
• Ⅳ. 분석 결과
• Ⅴ. 결론
• 참고문헌
• Abstract

참고문헌 (Reference)

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