本篇論文取得1995年至2006年間，美國市場上共同基金的交易資料，藉以觀察基金經理人的投資行為是否表現出「賣盈保虧」的行為偏誤。此一行為偏誤即是行為財務學中所稱的「處分效果」。同時我們加入了市場條件這個因子，測試處分效果是否會受到外在環境因素的影響而有所變化，更深一步的了解處分效果在不同市場條件之下對基金績效的影響。
在本研究裡，我們採用了三個不同的指標來觀察處分效果。同時也使用兩種不同的方法來將市場區分為市場條件較佳的牛市與市場條件較差的熊市，藉此來了解處分效果在市場條件有所改變時候的變化。即使是專業的基金經理人我們依然在他們身上觀察到了處分效果的存在。在市場條件較佳的情況下，投資人明顯對風險的接受度提高，使處分效果明顯的上升。相反的，在市場條件較差的情況下，基金經理人投資的態度則趨於保守，投資行為較為理性，反而使得處分效果減弱。我們更一步的觀察到了處分效果明顯地減低基金績效，處分效果越大的經理人，其基金的表現越差。同時在牛市之下，基金績效比熊市更容易受到處分效果的影響。
根據本研究的結果，投資人的行為明顯受到市場條件因子的影響。在越樂觀的環境之下，投資人越容易出現行為偏誤。

In this paper, we obtain the data of mutual fund managers in America from 1995 to 2006 to investigate their trading behavior. Selling the winners but holding the losers is so called disposition effect in behavioral finance. We try to determine the existence of disposition effect among professional traders, fund managers. We also join a new factor, market condition to examine the variation of disposition effect under different market conditions. Then we will further analyze the relation between fund performance and disposition effect.
We use three indicators to estimate the disposition effect and take two different methods to classify the market into bullish and bearish. We test the difference of disposition effect between bull market, which is the optimistic environment and bear market which, is the pessimistic one. In this paper, we find that fund managers become more risk-seeking in bull market and behave more disposition effect. In contrast, they become conservative and behave less disposition effect in bear market. The fund performance is also obviously influenced by disposition effect. Fund managers with higher disposition effect perform lower return in our result. Besides, fund performance will be further impact by disposition effect in bull market than in bear market.
According to our research, this behavioral bias, disposition effect will be influenced by market condition. The optimistic environment may imply higher behavioral bias.

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