極端報酬經驗與台灣投資人投資決策

Abstract

儒林外史中，范進得知自己考中舉人的消息之後，狂喜的情緒導致於心智失衡，進而產生異於常人的舉止。此故事顯示當人們面臨不同於以往的狀況時，事件之特殊性對於情緒心智的影響，使得人們的舉止在事件後有所不同。 本文旨在探討了解，在財務市場中，當投資人面臨異於常態的投資報酬時，是否此類極端報酬事件會對投資人產生影響，改變其後續買賣投資行為?若有所影響，是在何層面產生影響?本文引用展望理論(Prospect Theory)、原賦效果(Endowment Effect)及錯置效果(Disposition Effect)等探究極端報酬事件對於投資人進行投資買賣交易之可能影響。實證結果顯示，若投資人於前期投資經歷了極端正報酬或極端負報酬事件，其後續買賣交易行為有異於一般投資損益下的行為。極端報酬事件將會遞延投資人下次交易時間點，而此經驗本身會降低投資人對於剛出手股票的偏好。極端正報酬使投資人於下次賣出股票時更為積極，然而極端負報酬經驗減低了投資人下次交易之意願，其表現較趨於保守謹慎。本文同時也發現，錯置效果對於投資人賣出股票之行為有著極為顯著之影響，不論前期投資結果為何，投資人仍傾向於賣出獲利之股票，繼續持有賠錢的股票。

This paper investigates the influence of prior extreme gain and extreme loss experience on individual investors’ subsequent transactions. In general, individual investors lower their propensity to trade after they had experienced extremeness on their investment portfolio. Prior extreme gain experience and extreme loss experience both defer individual investors’ willingness to trade immediately. However, when investors execute a trade, an experience of extreme gain tends to encourage individual investors to sell more aggressively. House money effect is intensified after experiencing an extreme gain. In contrast, an extreme loss experience discourages individual investors from active trades. The discouragement from extreme loss experience is much larger than encouragement from an extreme gain experience. When examining investors’ selling behavior, our finding indicates that recallability affects investors to some extent, disposition effect dominates more. We also explore the situation faced by investors and find that investors are better off if they sell the same loser after prior extreme loss experience, and they are less happy if they sell the same winner after an extreme gain experience.