투자자의 손실회피성과 준거점이 금융상품 선택에 미치는 영향
Effects of Investors’ Loss Aversion and Reference Points on Investment Choices
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초록
본 연구에서는 금융상품 선택에 있어서 투자자들의 준거점(reference point)과 손실회피성(loss aversion) 정도가 달라질 때, 선택집합(choice set)에 따라 대안 선택이 어떻게 변화하는 지에 관해 연구하였다. 프로스펙트 이론(Prospect theory, Kahneman and Tversky, 1979)의 가치함수(value function)를 이용한 수학적 모델링을 통해 준거점과 손실회피성 정도가 변화할 때 선택집합에 따라 투자대안에 대한 선호도가 어떻게 변화할 것인지를 예측하고 이를 실험을 통해 알아보았다. 실험 연구에서는 기존문헌을 바탕으로 투자자금에 대한 애착과 과거의 투자 수익성이 투자자들의 손실회피성 정도에 영향을 미칠 것이라 보고, 자금 원천을 다르게 함으로써(적금자금 vs. 주식투자이익자금) 손실회피성 정도를 조작하였다. 실험 결과, 자금원천에 따라 투자자금에 대한 손실회피성 정도에 유의한 차이가 있었다. 이는 같은 자금이어도 그 자금을 어떻게 마련했는지에 따라 투자 대안의 선택이 달라질 수 있다는 것을 의미한다. 가설 검증 결과, 준거점과 손실회피성 정도가 변화할 때 고수익-고위험(high-risk-high-return) 대안, 저수익-저위험(low-risk-low-return) 대안에 대한 선호도가 선택집합이 유사성이 높은 대안으로 이루어져 있는지, 아니면 유사성이 낮은 대안으로 이루어져 있는지에 따라 달라져 모형을 통해 제안한 가설이 모두 지지됨을 알 수 있었다. 마지막으로 본 연구결과의 이론적 시사점과 향후 연구방향에 관해 논의하였다.
Abstract
In this paper, I present a model based analysis for the effects of investors’ loss aversion and reference points on investment choice in financial market. Relying on the value function in Prospect theory(Kahneman and Tversky, 1979), I model the value of investment options for the choice set. This article also employs experimental study that origins of investing money affect consumers’ loss aversion which, in turn, affects their decisions differently according to choice sets. Based on the analysis of the proposed model, I propose hypotheses and test the hypotheses through a 2(reference points: low-risk- low-return vs. high-risk-high-return alternatives) x 2(money origins: saving vs. stock conditions) between-subjects design. I manipulate investors’ loss aversion with money origins of their investing money. The respondents invest in a risky financial product(or a safe financial product) with money originating from a stock investment differently from with money originating from an installment savings account when their reference points and choice sets change.
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