處份效果係指人們在從事證券交易時，傾向於實現獲利的股票 卻又不願處份損失的部位。由於 Tversky and Kahneman (1992) 所提 出的價值函數無法解釋處份效果，因此，本文在展望理論的基本精 神之下，建構出一個 tanh ( ) x 型態的價值函數，除了可以解釋處份 效果，也解決了財富變動量趨近於零時風險偏好不合理的現象。

The definition of the disposition effect is when investors tend to realize profit gains, but are reluctant to realize losses. Because the value function proposed by Tversky and Kahneman (1992) cannot explain the disposition effect, we develop a tanh(x)-form value function by using the essence of the prospect theory. This explains the disposition effect and solves for the phenomenon of unreasonable risk attitudes when the change of wealth approaches zero.

展望理論;價值函數;處份效果

Prospect Theory;Value Function;Disposition Effect