公司經營行為之賭資效應與損益兩平效應

本文檢視公司的經營是否有行為財務學所稱賭資效應及損益兩平效應所預期的現象，即公司前期經營績效是否系統性地影響次期公司風險。經分析台灣600多家上市公司1984－2007年財務和股市資料後發現：公司是否有前揭兩效應所述行為與其Tobin's q高低有關。缺乏投資機會（低q）的公司，前一年獲利愈高，次期經營行為愈追逐風險，尤以獲利水準較高時為然，與賭資效應相符；前期損失在較小水準且愈小時，次年資產風險也愈高，有損失趨避行為，與損益兩平效應預期一致；損失較大時亦傾向損失趨避，以致次期風險也較高；低q公司風險提高而同期資產報酬卻下降，故受前期損益影響而追逐風險是不理性的偏誤行為。對Tobin's q高的公司並未發現支持上述兩效應的充足證據。

關鍵字

行為財務學；賭資效應；損益兩平效應；損失趨避；行為偏誤

並列摘要

This paper examines whether corporate operation exhibit behaviors that the house-money and break-even effects in behavioral finance predict; that is, whether corporate prior operating performance systematically affects subsequent risk of company. The data on financial and stock market from 1984 to 2007 of more than 600 listed companies in Taiwan is used to empirical analysis. The findings are that whether firms' behaviors are consistent with the both abovementioned effects is related to their Tobin's q levels. Firms with low Tobin's q exhibit behavior in line with the house-money effect because the more their prior gains, the higher the subsequent asset risks, particularly holding as higher earning level. When losses in last year are small, the less the losses, the higher the asset risks in the following year, which is a lossaverting behavior and coincides with prediction from the break-even effect. When losses in last year are large, firms also exhibit loss aversion. Moreover, since asset risks of firms with low q are significantly negatively related to ROA in the same year, corporate risk-taking being influenced by prior operating performance is an irrational and biased behavior. Lastly, there is no evidence supporting these two effects for firms with high q.

並列關鍵字

Behavior finance ； House-money effect ； Break-even effect ； Loss aversion ； Behavior biases

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