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題名：The House-Money and Break-Even Effects on Banks' Short-Term Investments: Evidence from Taiwan's Banks
書刊名：管理與系統
作者：劉永欽 引用關係
作者(外文)：Liu, Yong-chin
出版日期：2010
卷期：17:4
頁次：頁685-710
主題關鍵詞：賭資效應；損益兩平效應；行為財務；損失趨避；風險值；House money effect；Break-even effect；Behavioral finance；Loss aversion；Value at risk
原始連結：連回原系統網址new window
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  • 被引用次數被引用次數:期刊(0) 博士論文(0) 專書(0) 專書論文(0)
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  • 共同引用共同引用:6
  • 點閱點閱:56
本文檢定本國銀行短期投資行爲有無Thaler and Johnson(1990)提出的賭資效應和損益兩效應所述的行爲偏誤現象。實證結果支持前述兩效應：銀行於前期有投資利得時，後期的投資風險明顯增加；因銀行可能對損益兩平機會過度樂觀或過度自信，前期投資損失亦會導致銀行於後期偏好風險，即使前期損失很大時亦然。前期利得或損失愈大，後期投資風險也愈大；但後期風險對前期小損失的敏感度大於對前期大損失的敏感度。上述行爲偏誤在民營銀行更明顯。因此，即使如銀行此般具有投資專業者，仍有行爲偏誤現象。
To test the house-money and break-even effects of Thaler and Johnson (1990), this paper samples Taiwanese banks to examine whether prior short-run investment performance affects subsequent investment behaviors. The finding is that the afore-mentioned effects are empirically supported: past investment gains manifestly correlate with subsequent risk-taking; prior losses elicit increased subsequent risk, because banks are likely over-optimistic and overconfident of the break-even opportunity, even if their losses are large. Moreover, investment risks rise as prior gains increase; larger the preceding losses beget higher subsequent risks, yet the sensitivity of risks to small prior losses is greater than when prior losses are large. The aforementioned biased behavior is more pronounced for privately-owned banks. Consequently, banks still possibly demonstrate behavioral biases, even though they possess investment proficiency.
期刊論文
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20.Tversky, Amos、Kahneman, Daniel(1981)。The Framing of Decisions and the Psychology of Choice。Science，211(4481)，453-458。  new window
21.Grinblatt, Mark S.、Keloharju, Matti(2001)。What makes investors trade?。Journal of Finance，56(2)，589-616。  new window
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29.Malmendier, U. and Tate, G.,(2005)。“CEO Over confidence and Corporate Investment,”。Journal of Finance，vol. 60,no. 6，pp. 2661-2700。  new window
30.Weber, M. and Zuchel, H.,(2005)。“How Do Prior Outcomes Affect Risk Attitude? Comparing Escalation of Commitment and the House-Money Effect,”。Decision Analysis，vol. 2,no. 1，pp. 30-43。  new window
31.Battalio, R. C.、Kagel, J. H.、Jiranyakul, K.(1990)。Testing Between Alternative Models of Choice under Uncertainty: Sonme Initial Results。Journal of Risk Uncertainty，3(1)，25-50。  new window
32.Clark, Jeremy(2002)。House Money Effects in Public Good Experiments。Experimental Economics，5(3)，223-231。  new window
33.Coval, J. D.、Shumway, T.(2005)。Do Behavioral Buases Affect Prices?。Journal of Finance，60(1)，1-34。  new window
34.Arkes, H. R.、Blumer, C.(1985)。The Psychology of Sunk Sost。Organization Behavior and Human Decision Processes，35(1)，124-140。  new window
35.Gertner, R.(1993)。Game Shows and Economic Behavior: Risk-Taking on 'Card Sharks'。Quarterly Journal of Economics，108(2)，507-521。  new window
36.Harrison, G. W.(2007)。House Money Effects in Public Good Experiments: Comment。Experimental Economics，10(4)，429-437。  new window
37.Malmendier, U.、Tate, G.(2005)。CEO Overconfidence and Corporate Investmet。Journal of Finance，60(6)，2661-2700。  new window
38.Mills, T. C.、Coutts, J. A.(1995)。Calendar Effects in the London Stock Exchange FT-SE Indices。European Journal of Finance，1(1)，79-93。  new window
39.Weber, M.、Zuchel, H.(2005)。How Do Prior Outcomes Affect Risk Attitude? Comparing Excalation of Commitment and the House-Money Effect。Decision Analysis，2(1)，30-43。  new window
研究報告
1.Ackert, L. F. , Charupat, N., Church, B. K., and Deaves, R.,(2003)。“An Experimental Examination of the House Money Effect in a Multi-Period Setting,”。  new window
2.Liu, Y.-J., Tsai, C.-L., Wang, M.-C., and Zhu, N.,(2006)。“House Money Effect: Evidence from Market at Taiwan Futures Exchange,”。  new window
3.Nicolosi, G., Peng, L., and Zhu, N.,(2005)。“Do Individual Investors Learn from Their Trading Experience?”。  new window
4.O’Connell P. and Teo M.(2004)。“How Do Institutional Investors Trade?”。  new window
5.Ackert, L. F.、Charupat, N.、Church, B. K.、Deaves, R.(2003)。An Experimental Examination of the House Money Effect in a Multi-Period Setting。  new window
6.Liu, Y. J.、Tsai, C. L.、Wang, M. C.、Zhu, N.(2006)。House Money Effect: Evidence from Market at Taiwan Futures Exchange。  new window
7.Nicolosi, g.、Peng, L.、Zhu, N.(2005)。Do Individual Investors Learn from Their Trading Experience?。  new window
8.O'Connell, P.、Teo, M.(2004)。How Do Institutional Investors Trade?。  new window
學位論文
1.Huang, H. C.,(2000)。Empirical Study on Investing Behaviors of Three Institution Investors in Taiwan Stock Market。  new window
2.Huang, W. H. ,(2005)。Empirical Study of the Disposition Effect on Dealers in Taiwan Stock Market。  new window
3.Liao, Ba-Sin,(2003)。Loss Aversion, House-Money Effect and Crack of Stock Price Bubbles。  new window
圖書
1.Montier, J.(2002)。Behavioral Finance: Insight into Irrational Minds and Markets。England West Sussex：John Wiley & Sons Ltd.。  new window
2.Montier, J.(2002)。Behavioral Finance: Insight into Irrational Minkds and Markets。England West Sussex。  new window
 
 
 
 
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