The House-Money and Break-Even Effects on Banks' Short-Term Investments: Evidence from Taiwan's Banks

Abstract

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.