臺灣博碩士論文加值系統

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.

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

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