We investigate the effect of house money on individual investors. Our empirical evidence suggests that house money effect shows up in real-world financial markets, not just in artificial laboratory experiments. The results reveal a strong house money effect and show that investors tend to buy up trend stocks once they have experienced a prior gain. Only when a significant gain is being considered, does an individual become more inclined to take a risk. When the influence of a significant gain gradually depreciates over time, the greater tendency to take risk also diminishes. We find that individual investors exhibit the disposition effect— reluctant to realize losses and more willing to realize gains. They frequently realize small gains and less frequently take large losses, such a behavior may hurt their wealth because their gains are lower than their losses. Analyses of portfolio holdings reveal that individual investors hold relatively few different stocks and focus on a small number of stocks with which they are familiar. Their investment choice is driven by familiarity bias which diminishes the strength of the house money effect. When evaluate an investment gain, investors’ reference points adapt over time and the currently-salient reference point is the highest stock price attained some time ago.

本文旨在研究我國銀行長期投資行為和短期投資行為是否會因其過去投資績效所影響，而有賭資效應、過度自信及心理帳戶假說所預期不理性之現象。另外，更進一步探究此三種心理偏誤對投資行為之影響，是否依銀行業務性質的不同而有所差異，因此，也將討論商業銀行和工業銀行之長、短期投資行為。使用1994至2007年的追蹤資料進行迴歸分析，其結果發現茲臚列於下。 1.在控制資金來源(負債)、資產獲利能力(資產報酬率和存放款利差)、股市榮枯以及過去持有的投資存量這些會影響銀行投資行為的因素後，發現前一季長期和短期投資績效愈好，當季銀行長期和短期投資行為就會承擔過多的風險而有賭資效應之現象；在投資績效分為利得和損失的設定下，銀行長期投資行為有賭資效應之傾向，而短期投資行為則否。再者，當銀行面對過去兩季長期投資績效皆為利得時，當季的長期投資風險態度更顯積極，因而銀行長期投資行為有過度自信的現象，而短期投資行為則否。最後，銀行在進行短期投資決策時，無法將前一季長期投資績效納入考量，表示銀行將短期投資視為一獨立帳戶，忽略長期投資的情況，不能綜觀全局，因此短期投資行為有心理帳戶所述現象，而長期投資行為則否。 2.為了釐清賭資效應、過度自信與心理帳戶這些心理偏誤對投資行為的影響，是否依銀行業務性質的不同而有所差異。因此，就銀行類別而言，本文發現商業銀行長、短期投資行為皆有賭資效應與心理帳戶偏誤；工業銀行長期投資行為有賭資效應及過度自信偏誤，短期行為則無任何心理偏誤。