국내 금융 투자자들의 위험 회피 성향 측정

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.

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