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題名 House Money and Investment Risk Taking
賭資與投資風險承擔
作者 徐苑玲
Hsu,Emma Y.
貢獻者 周行一
Chow,Edward H.
徐苑玲
Hsu,Emma Y.
關鍵詞 賭資效應
熟悉偏誤
參考點
House Money Effect
Familiarity Bias
Reference Point
日期 2005
上傳時間 17-Sep-2009 19:23:31 (UTC+8)
摘要 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.
參考文獻 Ackert, Lucy F., Narat Charupat, Bryan K. Church, and Richard Deaves, 2003, An Experimental Examination of the House Money Effect in a Multi-Period Setting, Working Paper, Federal Reserve Bank of Atlanta.
Anderson, John R., 1974, Verbatim and Propositional Representation of Sentences in Immediate and Long-term Memory, Journal of Verbal Learning and Verbal Behavior, 13, 149-162.
Anderson, John R., 1990, Meaning-Based Knowledge Representations, Cognitive Psychology and Its Implication, W. H. Freeman and Company, New York.
Arkes, Hal R. and Catherine Blumer, 1985, The Psychology of Sunk Costs, Organizational Behavior and Human Decision Processes 35, 124-140.
Arkes, Hal R., Cynthia A. Joyner, and Mark V. Pezzo, 1994, The Psychology of Windfall Gains, Organizational Behavior and Human Decision Processes 59, 331-347.
Arkes, Hal R. and Lisa T. Herren, 1988, The Role of Potential Loss in the Influence of Affect on Risk-Taking Behavior, Organizational Behavior and Human Decision Processes 42, 181-193.
Badrinath, S., and Wilber Lewellen, 1991, Evidence on Tax-motivated securities trading behavior, Journal of Finance 46, 369-382.
Barber, Brad M. and Terrance Odean, 2005, All that Glitters: the Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors, Working Paper.
Barber, Brad M. and Terrance Odean, 2000, Trading is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors, Journal of Finance 55, 773-806.
Barberis, Nicholas, Ming Huang, and Tano Santos, 2001, Prospect Theory and Asset Prices, Quarterly Journal of Economics 116, 1-53.
Barberis, Nicholas and Ming Huang, 2001, Mental Accounting, Loss Aversion, and Individual Stock Returns, Journal of Finance 56, 1247-1292.
Battalio, Raymond C., John H. Kagel, and Komain Jiranyakul, 1990, Testing Between Alternative Models of Choice Under Uncertainty: Some Initial Results, Journal of Risk and Uncertainty 3, 25-50.
Benartzi, Shlomo, 2001, Excessive Extrapolation and the Allocation of 401(k) Accounts to Company Stock, Journal of Finance 56, 1747-1764.
Benartzi, Shlomo and Richard H. Thaler, 1995, Myopic Loss Aversion and the Equity Premium Puzzle, Quarterly Journal of Economics 110, 507-521.
Benartzi, Shlomo and Richard H. Thaler, 2001, Naïve Diversification Strategies in Defined Contribution Saving Plans, The American Economic Review 91, 79-98.
Bodkin, Ronald, 1959, Windfall Income and Consumption, American Economic Review 49, 602-614.
Brav, Alon and J. B. Heaton, 2002, Competing Theories of Financial Anomalies, Review of Financial Studies 15, 575-606.
Brown, Philip, Nick Chappel, Ray Da Silva Rosa, and Terry Walter, 2002, The Reach of the Disposition Effect: Large Sample Evidence Across Investor Classes, Working Paper, The University of Western Australia.
Clark, Jeremy, 2002, House Money Effects in Public Good Experiments, Experimental Economics, 223-231.
Core, John E. and Wayne R. Guay, 2001, Stock Option Plans for Non-executive Employees, Journal of Financial Economics 61, 253-287.
Coval, Joshua D. and Tobias J. Moskowitz, 1999, Home Bias at Home: Local Equity Preference in Domestic Portfolios, Journal of Finance 54, 2045-2073.
Ferris, Stephen P., Robert A. Haugen, and Anil K. Makhija, 1988, Predicting Contemporary Volume with Historic Volume at Differential Price Levels: Evidence Supporting the Disposition Effect, Journal of Finance, 43, 677-697.
Folkes, Valerie S., 1988, The Availability Heuristic and Perceived Risk, Journal of Consumer Research 15, 13-23.
Fredrickson, Barbara L. and Daniel Kahneman, 1993, Duration Neglect in Retrospective Evaluations of Affective Episodes, Journal of Personality and Social Psychology 65, 45-55.
French, Kenneth R. and James M. Poterba, 1991, Investor Diversification and International Equity Markets, The American Economic Review 81, 222-226.
Gertner, Robert, 1993, Game Shows and Economic Behavior: Risk-Taking on “Card Sharks”, Quarterly Journal of Economics 108, 507-521.
Gilovich, Thomas, Robert Vallone, and Amos Tversky, 1985, The Hot Hand in Basketball: On the Misperception of Random Sequences, Cognitive Psychology 17, 295-314.
Gneezy, Uri and Jan Potters, 1997, An Experiment on Risk Taking and Evaluation Periods, Quarterly Journal of Economics 112, 631-645.
Gourville, John T. and Dilip Soman, 1998, Payment Depreciation: The Behavioral Effects of Temporally Separating Payments from Consumption, Journal of Consumer Research 25, 160-174.
Heath, Chip and Amos Tversky, 1991, Preference and Belief: Ambiguity and Competence in Choice under Uncertainty, Journal of Risk and Uncertainty 4, 5-28.
Heath, Chip and M. G. Fennema, 1996, Mental Depreciation and Marginal Decision Making, Organizational Behavior and Human Decision Processes 68, 95-108.
Heisler, Jeffrey, 1994, Loss Aversion in a Futures Market: An Empirical Test, Review of Futures Markets 13, 793-822.
Huberman, Gur, 2001, Familiarity Breeds Investment, The Review of Financial Studies 14, 659-680.
Huddart, Steven and Mark Lang, 2003, Information Distribution within Firms: Evidence from Stock Option Exercises, Journal of Accounting and Economics 34, 3-31.
Isen, Alice M., Barbara Means, Robert Patrick, and Gary Nowicki, 1982, Positive Affect and Decision Making, Affect and Cognition, Erlbaum, Hillsdale, NJ.
Jorion, Philippe, 1994, A Mean-Variance Analysis of Currency Overlays, Financial Analysts Journal 50, 48-56.
Kahneman, Daniel, 1992, Reference Points, Anchors, Norms, and Mixed Feelings, Organizational Behavior and Human Decision Processes 51, 296-312.
Kahneman, Daniel and Amos Tversky, 1979, Prospect Theory: An Analysis of Decision under Risk, Econometrica 47, 363-391.
Kahneman, Daniel, Jack L. Knetsch and Richard Thaler, 1990, Experimental Tests of the Endowment Effect and the Coase Theorem, Journal of Political Economy 98, 1325-1348.
Kahneman, Daniel and Carol Varey, 1991, Notes on the Psychology of Utility, in Interpersonal Comparisons of Well-Being, ed. John Elster and John E. Roemer, Cambridge University Press.
Kang, Jun-Koo and Rene M. Stulz, 1997, Why is there a Home Bias: An Analysis of Foreign Portfolio Equity Ownership in Japan, Journal of Financial Economics 46, 3-28.
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Kilka, Michael and Martin Weber, 2000, Home Bias in International Stock Return Expectations, The Journal of Psychology and Financial Markets 1, 176-192.
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描述 博士
國立政治大學
財務管理研究所
88357501
94
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0883575012
資料類型 thesis
dc.contributor.advisor 周行一zh_TW
dc.contributor.advisor Chow,Edward H.en_US
dc.contributor.author (Authors) 徐苑玲zh_TW
dc.contributor.author (Authors) Hsu,Emma Y.en_US
dc.creator (作者) 徐苑玲zh_TW
dc.creator (作者) Hsu,Emma Y.en_US
dc.date (日期) 2005en_US
dc.date.accessioned 17-Sep-2009 19:23:31 (UTC+8)-
dc.date.available 17-Sep-2009 19:23:31 (UTC+8)-
dc.date.issued (上傳時間) 17-Sep-2009 19:23:31 (UTC+8)-
dc.identifier (Other Identifiers) G0883575012en_US
dc.identifier.uri (URI) https://nccur.lib.nccu.edu.tw/handle/140.119/34078-
dc.description (描述) 博士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 財務管理研究所zh_TW
dc.description (描述) 88357501zh_TW
dc.description (描述) 94zh_TW
dc.description.abstract (摘要) 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.		en_US
dc.description.tableofcontents Acknowledgements………………………………………………………………ii
List of Tables…………………………………………………………………….vii
List of Figures………………………………………………………………….. ..x
Abstract…………………………………………………………………………..xi
Chapter
1. Introduction…………………………………………………………….. . 1
2. Literature Review………………………………………………………. ..9
2.1 Sunk Cost Effect…………………………………………………….. 9
2.2 House Money Effect………………………………………………...12
2.2.1 House Money Effect……………………………………….. 12
2.2.2 Experimental Evidence of the House Money Effect……….. 13
2.2.3 Asset Pricing Model Considering the House Money Effect.. 14
2.2.4 Empirical Evidence of the House Money Effect………….. 15
2.3 Size and Hedonic Depreciation of House Money………………….. 17
2.3.1 Size of House Money………………………………………. 17
2.3.2 Hedonic Depreciation of House Money…………………… 17
2.4 Reference Point…………………………………………………….. 18

2.5 Underdiversification and Familiarity bias…………………………. 25
2.5.1 International Diversification Puzzle……………………….. 25
2.5.2 Local Equity Preference in Domestic Portfolios………….. 26
2.5.3 Investment in the Most Familiar: the Employer’s Stock….. 28
2.6 Availability Bias……………………………………………………. 28
3. Data and Methodology………………………………………………… 34
3.1 Data………………………………………………………………… 34
3.2 Methodology……………………………………………………….. 37
3.2.1 Trading Profit………………………………………………. 38
3.2.2 Risk Taking………………………………………………… 42
3.2.3 House Money Effect Measure…………………………….. 44
4. Empirical Results………………………………………………………. 49
4.1 The House Money Effect…………………………………………... 49
4.2 The Size of a Prior Gain should be Large Enough to be Perceived
as the House’s Money……................................................................51
4.3 The Hedonic Depreciation of the House Money Effect…………….54
4.4 Underdiversification and Familiarity Bias…………………………. 56
4.5 Reference Point…………………………………………………….. 59
5. Conclusions…………………………………………………………….. 62

Appendix A……………………………………………………………………. 64
Appendix B……………………………………………………………………. 67
Reference………………………………………………………………………. 68
Tables………………………………………………………………………….. 79
Figures………………………………………………………………………….150		zh_TW
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dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0883575012en_US
dc.subject (關鍵詞) 賭資效應zh_TW
dc.subject (關鍵詞) 熟悉偏誤zh_TW
dc.subject (關鍵詞) 參考點zh_TW
dc.subject (關鍵詞) House Money Effecten_US
dc.subject (關鍵詞) Familiarity Biasen_US
dc.subject (關鍵詞) Reference Pointen_US
dc.title (題名) House Money and Investment Risk Takingzh_TW
dc.title (題名) 賭資與投資風險承擔zh_TW
dc.type (資料類型) thesisen
dc.relation.reference (參考文獻) Ackert, Lucy F., Narat Charupat, Bryan K. Church, and Richard Deaves, 2003, An Experimental Examination of the House Money Effect in a Multi-Period Setting, Working Paper, Federal Reserve Bank of Atlanta.zh_TW
dc.relation.reference (參考文獻) Anderson, John R., 1974, Verbatim and Propositional Representation of Sentences in Immediate and Long-term Memory, Journal of Verbal Learning and Verbal Behavior, 13, 149-162.zh_TW
dc.relation.reference (參考文獻) Anderson, John R., 1990, Meaning-Based Knowledge Representations, Cognitive Psychology and Its Implication, W. H. Freeman and Company, New York.zh_TW
dc.relation.reference (參考文獻) Arkes, Hal R. and Catherine Blumer, 1985, The Psychology of Sunk Costs, Organizational Behavior and Human Decision Processes 35, 124-140.zh_TW
dc.relation.reference (參考文獻) Arkes, Hal R., Cynthia A. Joyner, and Mark V. Pezzo, 1994, The Psychology of Windfall Gains, Organizational Behavior and Human Decision Processes 59, 331-347.zh_TW
dc.relation.reference (參考文獻) Arkes, Hal R. and Lisa T. Herren, 1988, The Role of Potential Loss in the Influence of Affect on Risk-Taking Behavior, Organizational Behavior and Human Decision Processes 42, 181-193.zh_TW
dc.relation.reference (參考文獻) Badrinath, S., and Wilber Lewellen, 1991, Evidence on Tax-motivated securities trading behavior, Journal of Finance 46, 369-382.zh_TW
dc.relation.reference (參考文獻) Barber, Brad M. and Terrance Odean, 2005, All that Glitters: the Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors, Working Paper.zh_TW
dc.relation.reference (參考文獻) Barber, Brad M. and Terrance Odean, 2000, Trading is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors, Journal of Finance 55, 773-806.zh_TW
dc.relation.reference (參考文獻) Barberis, Nicholas, Ming Huang, and Tano Santos, 2001, Prospect Theory and Asset Prices, Quarterly Journal of Economics 116, 1-53.zh_TW
dc.relation.reference (參考文獻) Barberis, Nicholas and Ming Huang, 2001, Mental Accounting, Loss Aversion, and Individual Stock Returns, Journal of Finance 56, 1247-1292.zh_TW
dc.relation.reference (參考文獻) Battalio, Raymond C., John H. Kagel, and Komain Jiranyakul, 1990, Testing Between Alternative Models of Choice Under Uncertainty: Some Initial Results, Journal of Risk and Uncertainty 3, 25-50.zh_TW
dc.relation.reference (參考文獻) Benartzi, Shlomo, 2001, Excessive Extrapolation and the Allocation of 401(k) Accounts to Company Stock, Journal of Finance 56, 1747-1764.zh_TW
dc.relation.reference (參考文獻) Benartzi, Shlomo and Richard H. Thaler, 1995, Myopic Loss Aversion and the Equity Premium Puzzle, Quarterly Journal of Economics 110, 507-521.zh_TW
dc.relation.reference (參考文獻) Benartzi, Shlomo and Richard H. Thaler, 2001, Naïve Diversification Strategies in Defined Contribution Saving Plans, The American Economic Review 91, 79-98.zh_TW
dc.relation.reference (參考文獻) Bodkin, Ronald, 1959, Windfall Income and Consumption, American Economic Review 49, 602-614.zh_TW
dc.relation.reference (參考文獻) Brav, Alon and J. B. Heaton, 2002, Competing Theories of Financial Anomalies, Review of Financial Studies 15, 575-606.zh_TW
dc.relation.reference (參考文獻) Brown, Philip, Nick Chappel, Ray Da Silva Rosa, and Terry Walter, 2002, The Reach of the Disposition Effect: Large Sample Evidence Across Investor Classes, Working Paper, The University of Western Australia.zh_TW
dc.relation.reference (參考文獻) Clark, Jeremy, 2002, House Money Effects in Public Good Experiments, Experimental Economics, 223-231.zh_TW
dc.relation.reference (參考文獻) Core, John E. and Wayne R. Guay, 2001, Stock Option Plans for Non-executive Employees, Journal of Financial Economics 61, 253-287.zh_TW
dc.relation.reference (參考文獻) Coval, Joshua D. and Tobias J. Moskowitz, 1999, Home Bias at Home: Local Equity Preference in Domestic Portfolios, Journal of Finance 54, 2045-2073.zh_TW
dc.relation.reference (參考文獻) Ferris, Stephen P., Robert A. Haugen, and Anil K. Makhija, 1988, Predicting Contemporary Volume with Historic Volume at Differential Price Levels: Evidence Supporting the Disposition Effect, Journal of Finance, 43, 677-697.zh_TW
dc.relation.reference (參考文獻) Folkes, Valerie S., 1988, The Availability Heuristic and Perceived Risk, Journal of Consumer Research 15, 13-23.zh_TW
dc.relation.reference (參考文獻) Fredrickson, Barbara L. and Daniel Kahneman, 1993, Duration Neglect in Retrospective Evaluations of Affective Episodes, Journal of Personality and Social Psychology 65, 45-55.zh_TW
dc.relation.reference (參考文獻) French, Kenneth R. and James M. Poterba, 1991, Investor Diversification and International Equity Markets, The American Economic Review 81, 222-226.zh_TW
dc.relation.reference (參考文獻) Gertner, Robert, 1993, Game Shows and Economic Behavior: Risk-Taking on “Card Sharks”, Quarterly Journal of Economics 108, 507-521.zh_TW
dc.relation.reference (參考文獻) Gilovich, Thomas, Robert Vallone, and Amos Tversky, 1985, The Hot Hand in Basketball: On the Misperception of Random Sequences, Cognitive Psychology 17, 295-314.zh_TW
dc.relation.reference (參考文獻) Gneezy, Uri and Jan Potters, 1997, An Experiment on Risk Taking and Evaluation Periods, Quarterly Journal of Economics 112, 631-645.zh_TW
dc.relation.reference (參考文獻) Gourville, John T. and Dilip Soman, 1998, Payment Depreciation: The Behavioral Effects of Temporally Separating Payments from Consumption, Journal of Consumer Research 25, 160-174.zh_TW
dc.relation.reference (參考文獻) Heath, Chip and Amos Tversky, 1991, Preference and Belief: Ambiguity and Competence in Choice under Uncertainty, Journal of Risk and Uncertainty 4, 5-28.zh_TW
dc.relation.reference (參考文獻) Heath, Chip and M. G. Fennema, 1996, Mental Depreciation and Marginal Decision Making, Organizational Behavior and Human Decision Processes 68, 95-108.zh_TW
dc.relation.reference (參考文獻) Heisler, Jeffrey, 1994, Loss Aversion in a Futures Market: An Empirical Test, Review of Futures Markets 13, 793-822.zh_TW
dc.relation.reference (參考文獻) Huberman, Gur, 2001, Familiarity Breeds Investment, The Review of Financial Studies 14, 659-680.zh_TW
dc.relation.reference (參考文獻) Huddart, Steven and Mark Lang, 2003, Information Distribution within Firms: Evidence from Stock Option Exercises, Journal of Accounting and Economics 34, 3-31.zh_TW
dc.relation.reference (參考文獻) Isen, Alice M., Barbara Means, Robert Patrick, and Gary Nowicki, 1982, Positive Affect and Decision Making, Affect and Cognition, Erlbaum, Hillsdale, NJ.zh_TW
dc.relation.reference (參考文獻) Jorion, Philippe, 1994, A Mean-Variance Analysis of Currency Overlays, Financial Analysts Journal 50, 48-56.zh_TW
dc.relation.reference (參考文獻) Kahneman, Daniel, 1992, Reference Points, Anchors, Norms, and Mixed Feelings, Organizational Behavior and Human Decision Processes 51, 296-312.zh_TW
dc.relation.reference (參考文獻) Kahneman, Daniel and Amos Tversky, 1979, Prospect Theory: An Analysis of Decision under Risk, Econometrica 47, 363-391.zh_TW
dc.relation.reference (參考文獻) Kahneman, Daniel, Jack L. Knetsch and Richard Thaler, 1990, Experimental Tests of the Endowment Effect and the Coase Theorem, Journal of Political Economy 98, 1325-1348.zh_TW
dc.relation.reference (參考文獻) Kahneman, Daniel and Carol Varey, 1991, Notes on the Psychology of Utility, in Interpersonal Comparisons of Well-Being, ed. John Elster and John E. Roemer, Cambridge University Press.zh_TW
dc.relation.reference (參考文獻) Kang, Jun-Koo and Rene M. Stulz, 1997, Why is there a Home Bias: An Analysis of Foreign Portfolio Equity Ownership in Japan, Journal of Financial Economics 46, 3-28.zh_TW
dc.relation.reference (參考文獻) Keasey, Kevin and Philip Moon, 1996, Gambling with the House Money in Capital Expenditure Decisions: An Experimental Analysis, Economics Letters 50, 105-110.zh_TW
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