The psychological bias of financial investors is a hot topic in the research of investment behaviour from psychological and cognitive perspectives. This paper attempts to identify the impacts of the psychological bias of financial investors on the investment returns. The impacts were theoretically analysed by comparing the investments of Buffett and others. Next, the behaviour cost induced by psychological bias was discussed in the context of investment decision-making and in the light of the investment data of an investor. Furthermore, the investment strategy and psychological bias of Chinese investors were analysed based on the statistics of the Shenzhen Stock Exchange in recent years. The results show that the investment decisions of financial investors are affected by cognitive process, emotional process and volitive process; the psychological bias is universal in the investment process; financial investors should overcome errors in their cognition. The research findings offer a good guide for financial investors to gain more returns.