自Kahneman and Tverskey (1979) 建立展望理論之後，Sherfrin and Statman (1985) 延伸該理論提出處分效果，作為探討股市中散戶、專業法人是否在獲利時太早出脫持股，但損失時卻持股過久之現象。本研究亦以探討處分效果為主，但特別考量產業類別及公司規模，採用Ferris et al.(1988)所建立之複迴歸模型及Weber and Camerer(1998)所提出的處分係數，觀察投資者是否因不同的投資標的而有不同的處分效果。研究結果顯示在台灣股市十九類股中，除塑膠類股的投資人在獲利時不具處分效果，航運類股的投資人則在損失時不具處分效果外，其餘類股皆具處分效果。由實證亦得知以類股探討處分效果時，台灣股市除較冷門類股外其餘類股皆有處分效果。另外加入公司規模的因素後，實證結果顯示規模越小的公司其處分效果越顯著，表示有規模效果存在。

Since Kahneman and Tverskey (1979) created the prospect theory, Sherfrin and Statman (1985) spread out that theory as disposition effect for the study of investors’ behaviors. This research is based on the disposition effect theory to study the investors’ behaviors of Taiwan Stock Market. We apply Ferris et al. (1988) and Weber and Camerer’s (1998) methods but specially focus on the categories of industries and the companies’ scales. From the evidence of empirical study shows the investors of Taiwan Stock Markets have disposition effect except the investors of plastic industry during the period of getting profit and the investors of communication during the period of getting loss. The evidence also points out that the turnover of trading is related with the disposition effect and the market exists the small company effect.