| Abstract: | 第一年計畫
賭資效應、損益兩平效應與公司資本支出決策
1. 研究動機與目的
Thaler and Johnson (1990) 提出賭資效應(house money effect) 與損益兩平效應(break-even effect)，主張前次損益會被整合到後續的決策，前者認為先前決策獲利時，後面行為會傾向追逐風險；後者指出若先前有損失，後續決策較不願承擔風險，除非未來利得可能使損益兩平才會偏愛風險而顯現損失趨避行為。這與展望理論(prospect theory) 和錯置效應(disposition effect) 是在描述單期行為不同，值得深入探討。個別決策者有行為偏誤問題已有許多文獻證明(如Odean, 1998b；Keasey and Moon,1996；Coval and Shumway, 2005)。公司經理人為具專業背景者，是否有不理性行為有待驗證。若也有行為偏誤，對公司經營績效和價值有不利影響。本研究目的在檢視公司資本支出決策是否受前期經營績效的影響，亦即有無賭資效應與損益兩平效應所預期的行為。
2. 研究方法使用台灣上市公司為樣本，檢視其年經營績效的變化對翌年公司資本支出、系統風險及過度投資可能性的影響。計量方法包括分組平均數與中位數相等性檢定(T 檢定與無母數檢定) 及迴歸分析。
3. 預期貢獻這是首次以公司真實財務資料檢驗資本投資決策風險傾向與前期績效關係的研究，可補充行為財務學的實證證據，及了解公司經理人是否有行為偏誤。預期結果為：經理人有賭資效應與損益兩平效應所預期的行為。研究結果可供經理人、投資人、分析師及主管機關參考。
第二年計畫
賭資效應、損益兩平效應與證券自營商交易行為
1. 研究動機與目的
Thaler and Johnson (1990) 提出賭資效應(house money effect) 與損益兩平效應
(break-even effect)，主張前次損益會被整合到後續的決策，前者認為先前決策獲利時，後面行為會傾向追逐風險；後者指出若先前有損失，後續決策較不願承擔風險，除非未來利得可能使損益兩平才會偏愛風險而顯現損失趨避行為。這與展望理論(prospect theory) 和錯置效應(disposition effect) 是在描述單期行為不同，值得深入探討。個別投資人有行為偏誤問題會影響資產定價，已有許多文獻證明(如Odean,1998b；Barberis et al., 2001)。機構投資人對資產定價影響更大，若也有行為偏誤，對市場效率更有不利影響。本研究目的在檢視證券自營商—台股三大法人之ㄧ—的交易決策是否受前期投資績效的影響，亦即有無賭資效應與損益兩平效應所預期的行為。
2. 研究方法
使用台灣的證券自營商每週股票交易資料，計算已實現週報酬率，檢定前週投資獲
利、損失較小及損失較大等三種情形對次週所持有的投資組合系統風險的影響。計量方法包括分組平均數與中位數相等性檢定及迴歸分析。
3. 預期貢獻這是首次以真實資料檢驗自營商交易決策與前期損益關係的研究，可補充行為財務學的實證證據，及了解自營商決策行為的理性程度，即是否有行為偏誤。預期結果為：證券自營商行為有賭資效應與損益兩平效應。研究結果可供自營商、投資人及政府主管機關參考。
關鍵詞：行為財務學，展望理論，賭資效應，損益兩平效應，行為偏誤，損失趨避，錯置效應
第三年計畫
賭資效應、損益兩平效應與共同基金股票交易行為
1. 研究動機與目的
Thaler and Johnson (1990) 提出賭資效應(house money effect) 與損益兩平效應
(break-even effect)，主張前次損益會被整合到後續的決策，前者認為先前決策獲利時，後面行為會傾向追逐風險；後者指出若先前有損失，後續決策較不願承擔風險，除非未來利得可能使損益兩平才會偏愛風險而顯現損失趨避行為。這與展望理論(prospecttheory) 和錯置效應(disposition effect) 是在描述單期行為不同，值得深入探討。
個別投資人有行為偏誤問題會影響資產定價，已有許多文獻證明(如Odean,
1998b；Barberis et al., 2001)。機構投資人對資產定價影響更大，若也有行為偏誤，對市場效率更有不利影響。本研究目的在檢視投資信託公司(共同基金) —台股三大法人之ㄧ — 的交易決策是否受前期投資績效的影響，亦即有無賭資效應與損益兩平效應所預期的行為。
2. 研究方法
使用台灣股票型共同基金每月股票投資資料，計算已實現月報酬率，檢定前月獲利、損失較小及損失較大等三種情形對次月持有投資組合系統風險的影響。計量方法包括分組平均數與中位數相等性檢定及迴歸分析。
3. 預期貢獻
這是首次以真實資料檢驗共同基金股票交易行為與前期損益關係的研究，可補充行為財務學的實證證據，及了解共同基金經理人交易行為是否有偏誤現象。預期結果為：共同基金經理人有賭資效應與損益兩平效應所預期的行為。研究結果可供共同基金經理人(投信公司)、投資人及政府主管機關參考。
The first year
The house money effect, break-even effect, and corporate capital expenditure decisions
1. Motives and objectives
Thaler and Johnson (1990) propose the house money effect and break-even effect, arguing prior performance may be integrated with subsequent decisions. The former claims that prior gains are followed by risk-seeking behavior, the latter claims that prior losses are followed by risk aversion unless potential gains offer break-even opportunity so as to conduct a risk-seeking and loss aversion behavior. This is inconsistent with the prospect theory and the disposition effect which mainly describe a one-shot choice. Thus, both effects above are worthy of researching in depth. A number of papers in the finance literature have documented that individual decision-makers have behavior biases (e.g., Odean, 1998b；Keasey and Moon, 1996；Coval and Shumway, 2005). Whether corporation managers, who are professionals, have irrational behaviors should be tested. If managers make biased behaviors, operation performance and business value will be impacted. This study aims to examine whether corporate capital expenditure decisions are affected by prior operation performance. That is, whether there exists a behavior that is predicted by the house money effect and the break-even effect.
2. Methodology
This study uses Taiwan’s listed companies as a sample to investigate the effects of prior yearly performance changes on firms’ capital expenditures, systematic risks, and over-investment possibility. The analysis approaches include equality tests (t- and nonparametric tests) for means and medians between subgroups, t- and nonparametric tests, as well as regression models.
3. Expected contributions
This study is the first one that employs actual financial data of companies to examine the relationship between risk attitude in capital investment and prior operation performance. This can fill a gap in empirical evidence of behavioral finance and offer advanced knowledge about whether company managers’ decision behaviors are biased. This study expects that managers exhibit behaviors which are consistent with the prediction by both effects this study concerns. The study’s results should be useful for corporation managers, investors, securities analysts, and regulatory agencies.
Keywords: behavior finance, prospect theory, house money effect, break-even effect, capital expenditure decisions, behavior biases, loss aversion
The second year
The house money effect, break-even effect, and securities dealers’ trading behaviors
1. Motives and objectives
Thaler and Johnson (1990) propose the house money effect and break-even effect, arguing prior performance may be integrated with subsequent decisions. The former claims that prior gains are followed by risk-seeking behavior, the latter claims that prior losses are followed by risk aversion unless potential gains offer break-even opportunity so as to conduct a risk-seeking and loss aversion behavior. This is inconsistent with the prospect theory and the disposition effect which mainly describe a one-shot choice. Thus, both effects above are worthy of researching in depth.
A number of papers in the finance literature have documented that individual decision-makers have behavior biases, which will influence asset pricing (e.g., Odean, 1998b; Keasey and Moon, 1996; Coval and Shumway, 2005). Since institutional investors’ trading has a great impact on asset pricing, there is less favorable to market efficiency if they exhibit irrational behaviors. This study aims to examine whether the trading behaviors of securities dealers, one of major three institutional investors in Taiwan stock market, are affected by prior operation performance. In other words, whether there exists a behavior that is predicted by the house money effect and the break-even effect.
2. Methodology
This study uses stocks’ trading data for weekly frequency from Taiwan’s securities dealers to compute realized returns. Then the effects of prior investment performance, sorted into gains, little losses and large losses, on systematic risks of the portfolio held in subsequent week are examined. The analysis approaches include equality tests (t- and nonparametric tests) for means and medians between subgroups, as well as regression models.
3. Expected contributions
This the first study that employs actual trading data of securities dealers to examine the relationship between dealers’ risk attitude and prior trading performance. This can fill a gap in empirical evidence of behavioral finance and offer advanced understanding about whether dealers’ trading behaviors are biased. This study expects that securities dealers’ trading behaviors consistent with the prediction of the house-money and break-even effects. The results from this research should be practical for securities dealers, investors, and regulatory agencies.
Keywords: behavior finance, prospect theory, house money effect, break-even effect, behavior biases, loss aversion, disposition effect
The third year
The house money effect, break-even effect, and mutual funds’ trading behaviors for stocks
1. Motives and objectives
Thaler and Johnson (1990) propose the house money effect and break-even effect, arguing prior performance may be integrated with subsequent decisions. The former claims that prior gains are followed by risk-seeking behavior, the latter claims that prior losses are followed by risk aversion unless potential gains offer break-even opportunity so as to conduct a risk-seeking and loss aversion behavior. This is inconsistent with the prospect theory and the disposition effect which mainly describe a one-shot choice. Thus, both effects above are worthy of researching in depth.
A number of papers in the finance literature have documented that individual decision-makers have behavior biases, which will influence asset pricing (e.g., Odean, 1998b; Keasey and Moon, 1996; Coval and Shumway, 2005). Since institutional investors’ trading has a great impact on asset pricing, there is less favorable to market efficiency if they exhibit irrational behaviors. This study aims to examine whether the stock trading behaviors of mutual funds, one of major three institutional investors in Taiwan stock market, are affected by prior operation performance. In other words, whether there exists a behavior that is predicted by the house money effect and the break-even effect.
2. Methodology
This study employs monthly trading data for stocks from Taiwan’s equity mutual funds to compute realized returns. Then the effects of prior investment performance, sorted into gains, little losses and large losses, on systematic risks of the portfolio held in subsequent month are examined. The analysis methods include equality tests (t- and nonparametric tests) or means and medians between subgroups, as well as regression models.
3. Expected contributions
This the first study that employs actual trading data of mutual funds to examine the relationship between funds managers’ risk attitude and prior trading performance. This can fill a gap in empirical evidence of behavioral finance and offer advanced understanding about whether funds managers’ trading behaviors are biased. This study expects that funds managers’ trading behaviors consistent with the prediction of the house-money and break-even effects. The results from this research should be practical for mutual funds managers, investors, and regulatory agencies. |
