Looking Back or Not? Stocks Sold Last Time and Current Disposition Decision: Evidence from Taiwanese Individual Investors

投資人在決定是否處分手中股票時，會考慮上次賣出股票所實現的損益、並持續受到賣出股票目前的市價所影響嗎？ 前人針對投資人處分股票行為的相關研究皆著眼於所持有股票本身的報酬，且根據投資人對獲利和損失的不對稱反應提出錯置效果 (disposition effect, 或稱為處分效果) 並深入討論。 本文則引用私房錢效果 (house money effect) 和提出一假說描述投資人因經歷後悔所產生之反應，利用Cox比例危險模型分析投資人是否會受到上次賣出股票的影響。 首先，本文分析上次賣出股票的損益是否會改變投資人面對眼前決策的態度。 此外，假設投資人會持續觀察已賣出的股票，當上次賣出的股票其價格持續上漲時，投資人會因相對太早賣出該支股票感到後悔，並可能在下次決定處分股票時降低其賣出股票的意願。 實證結果顯示，投資人的確會持續認知上次賣出的股票，並在下次處分股票時受其影響。 同時檢驗私房錢效果和投資人經歷後悔後的反應，本文發現私房錢效果較經歷後悔對投資人的處分決策可能產生更大的影響。 最後本文也將投資人按照不同屬性分成子樣本探測其對上次賣出股票的反應是否一致，實證結果大致符合前人根據錯置效果所得到的結論。This paper asks: do investors remember how much they earned from the stock and still monitor the stock after selling it? According to the rational belief, a rational investor should not look back and let the past outcome affect his ongoing selling decision. Previous studies on investor disposition behavior mostly focus on the discussion of disposition effect incurred by asymmetric reaction to the gains/losses of the stocks in hand. This study applies the survival analysis to capture the impacts of the time-varying variables, and test two behavioral biases, house money effect and reaction to experienced regret, for better understanding of the influenced incurred by the stocks sold last time. This paper finds that on average investors do watch the stocks they have sold and would be affected by those two effects when making disposition decision for the stocks in hand. Moreover, the realized return of the stocks sold last time may have greater impacts than the ex post return of the stocks investors have sold on their ongoing disposition decision. When applying further analysis according to different investor attributes, the results mostly are consistent with previous studies.1.Introduction...........................................1.Data and Methodology ..................................6 2.1.Data...............................................6 2.2.Methodology ......................................11 2.3.Proposed Hypotheses ..............................16.Empirical Results.....................................18 3.1.Test for the Disposition Effect ..................18 3.2.Stocks Sold Last Time and Disposition Decision ...20 3.3.Test for Attributes and Regret on Disposition ....27.Conclusion ...........................................31eference ..............................................3