结构性理财产品收益结构设计:突显理论的视角

Payoff Structure Design of Structured Financial Products:Based on Salience Theory

结构性理财产品正在成为最受投资者欢迎的一类金融产品,在中国正处于快速发展阶段。但市场上却屡屡出现结构性理财产品实际收益未达标的情况,结构性理财产品投资者并不能从结构性理财产品投资中获益,但投资者却依然青睐这类产品,预期效用理论很难解释这一"异象",已有研究也很少对这一"异象"进行解释。基于突显理论,以价格区间型结构性理财产品为研究样本,构建投资者在结构性理财产品与传统理财产品中选择购买的决策模型,研究当投资者存在突显偏好时,结构性理财产品发行商如何设计产品收益结构来影响投资者购买行为。分析结构性理财产品收益结构设计的影响因素,探讨投资者对结构性理财产品产生偏好的原因。通过蒙特卡洛模拟进行算例分析,采用中国结构性理财产品数据对根据模型推导出的结构性理财产品设计规律进行检验。研究结果表明,投资者存在突显偏差时,结构性理财产品中预期最低收益率是结构性理财产品收益结构设计的重要影响因素,它能影响投资者的关注重点,使结构性理财产品不同收益率部分突显,引起投资者关注;随着预期最低收益率的提高,相对较低的收益率差也能吸引投资者关注,并进一步引导投资者购买。理财产品市场上的固定收益率水平对投资者购买行为有显著影响。进一步通过算例验证,投资者在投资决策时存在突显偏差,高估结构性理财产品收益能解释结构性理财产品市场异象产生的原因。而实证结果表明,中国在售结构性理财产品设计符合基于突显理论构建的模型得出的结论 ,发行商利用投资者偏差设计收益结构具有一定规律的结构性理财产品,吸引投资者购买。投资者突显偏差能解释结构性理财产品市场"异象"存在的原因,因此发行商有设计具有特殊收益结构的结构性理财产品吸引投资者购买的动机。基于结论为监管部门规范结构性理财产品市场提供可供参考的建议,即提高产品信息披露,减少信息不对称,加大投资者教育,使投资者能正确了解结构性理财产品内涵。

Structured financial products( SFPs) are becoming one of the most popular financial products.The market for SFPs in China has experienced a rapid growth.However,the payoffs of SFPs perform very badly and its actual real return often fails to meet expected maximum rate of return announced by the bank at the beginning of the issue.The market performance and the existing research about SFPs have found that investors do not benefit from SFPs investment,but investors still favor this kind of financial products.The expected utility theory can not explain the reason why retail investors would like to invest SFPs and existing researches also rarely explain this market anomalies.Based on salience theory,taking price-interval SFPs as research samples,this study constructs a decision model for investors to choose between SFPs and traditional financial products,and studies how issuers of SFPs design product payoff structure to influence investors’ buying behavior when investors have local thinking.We analyze the factors that affect the structural design of SFPs and discuss the reasons of the investors’ preference for SFPs.Then this study use Monte-Carlo simulation and regression of Chinese SFPs to verify whether the SFPs payoff structured design conforms to the model conclusion.The results show that when investors have local thinking,expected minimum rate of return of SFPs is an important influence factor of SFPs payoff structure design.It can affect investor attention and enables investors to pay attention to different yield parts of SFPs.And with the increase in expect minimum rate of return,a relatively low spread of expected yields can attract investors’ attention and further guide investors to buy.In addition,the market interest rate has a significant impact on investor buying behavior.Through numerical examples,it is concluded that investors with local thinking in their investment decisions will overestimate the yield of SFPs,which can explain the causes of the market anomalies of SFPs.The empirical test shows that design of Chinese SFPs meet the model conclusion based on salience theory.The issuers do take use of investor biases to design SFPs with a certain payoff structure to attract investors.It reveals investors with local thinking bias can explain existence of"anomalies"in the SFPs market.The issuers have the motive to design SFPs with special payoff structure to attract investors.Meanwhile,conclusions provide some suggestions for the government to regulate the SFPs market as follows: firstly,the issuers should strengthen product information disclosure and reduce information asymmetry;secondly,relevant departments should carry out investor education to help investors correctly understand the connotation of SFPs.