In a word, yes. Until you investigate, you can't really know what happened or who's responsible. This doesn't mean you have to spend weeks looking into minor incidents, however: You can scale the investigation to the seriousness of the underlying conduct. But you should investigate all harassment complaints, both to make sure you have uncovered and dealt with any misconduct and to help your company defend itself if either the complaining employee or the alleged harasser files a lawsuit. For more information on conducting an investigation, see Nolo's article Investigate a Workplace Complaint.