處分效果（disposition effect）為投資人有急售獲利、惜售損失的傾向，也是行為財務學探討投資人非理性行為的論點之一。本研究參考Weber and Camerer（1998）所提出的處分係數方法，對台灣股票集中市場的散戶、自營商、投信基金、外資法人進行處分效果之驗證，並探討考慮了公司資訊揭露透明度、股票風險與投資人情緒等變數後，是否會對處分效果產生影響。
實證結果發現散戶的處分效果最為強烈，其次為自營商，投信基金的處分效果最弱，外資法人則不具有處分效果。散戶與自營商不論投資資訊揭露透明度較佳或較差的公司，都具有處分效果；但是自營商在投資透明度較佳的公司時，處分效果比較輕微；而投信基金在投資資訊揭露透明度較差的公司時，具有處分效果，但是在投資透明度較佳的公司時，處分效果則不顯著；外資法人不論投資資訊揭露透明度較佳或較差的公司，都具有逆處分效果。此外，散戶與自營商不論投資風險較大或較小的公司都具有處分效果，但股票過去報酬率波動幅度的大小並不會影響散戶、自營商與投信基金的處分效果。最後，投資人不論情緒樂觀或悲觀，都具有處分效果，當投資人的情緒樂觀時，有較弱的贏家出盈傾向，較強的輸家保虧傾向。

The disposition effect, the tendency of investors to sell winning investments too soon and hold losing investments too long, which explores the irrational behavior of investors, is one of the important issues in behavioral finance. We employ the disposition coefficient approach proposed by Weber and Camerer (1998) to test the disposition effect
of all kinds of investors in Taiwan stock market. In addition, we also study the potential effect of information disclosure、stock risk and investor sentiment on the disposition effect . The empirical results show that the disposition effect of individual investors is the strongest. Dealers are in the next place. The disposition effect of securities investment trust companies is relatively weak. Qualified Foreign Institutional Investors（QFII） exhibit no disposition effect. Moreover, individual investors and dealers show the disposition effect, no matter what degree of company’s information disclosed. But when dealers invest in highly information disclosing company, the disposition effect is weaker. Securities investment trust companies show the disposition effect when they invest in low information disclosing company, however, when they invest in highly information disclosing company, the disposition effect become insignificant. QFII exhibit no disposition effect, no matter what degree of company’s information disclosed. Individual
investors and dealers show the disposition effect when they invest in high risk or low risk stock. In addition, we also find that the volatility of past stock return doesn’t influence the disposition effect of individual investors、dealers and securities investment trust companies. Finally, investors show the disposition effect no matter what sentiment they have. When investors are optimistic, they show weaker winning disposition effect and stronger losing disposition effect.