The smart money effect of capital allocation strategy for the Taiwanese life insurance industry

• Main Authors: Yao-Hung Lin, 林耀泓
• Other Authors: Ku-Sha Chen
• Format: Others
• Language: zh-TW
• Published: 2013
• Online Access: http://ndltd.ncl.edu.tw/handle/28362993857137489360

碩士 === 佛光大學 === 管理學系 === 101 === All the samples in discussion of smart money effect in the past researches focused on funds. However, the capital which life insurance industry can manipulate has become more and more in recent years. For example, the capital they could use in 2008 increased by 0.6% comparing to that of in 2007 in the aspect of asset allocation, yet the stock holding in 2008 remarkably decreased than in 2007. As we found out more, a global financial crisis, known as “Financial Tsunami”, also happened in the same year. This study assumed that the capital of life insurance has smart money effect since smart money effect can be used to predict the trend of market.The research period of this study was from January 1992 to December 2010. Twenty-three domestic and seven foreign life insurance companies had been chosen as research samples. There were thirty samples in total. The study adopted Multiple Regression Analysis to analyze the asset allocation of life insurance, stock, bond, and real estate price index. The result indicated that the holding parts in the early stage of life insurance had great impact on the current price index, especially the stock index. As a result, the asset allocation of life insurance can truly predict the market price, which shows the smart money effect.