華爾街有一投資箴言「Cut Losses short, let profit run.」告誡投資人應賠小錢賺大錢，目前現有的相關研究已然發現投資人存在處置效應（Disposition Effect），但投資人的「出盈保虧」卻不等同「賺小賠大」。因此本研究旨在探討期貨市場各類型投資人的交易是否存在著「賺小賠大」之傾向，而該傾向是否影響不同交易人間績效的差異。
本研究篩選交易次數到達一定規模的投資人（包含法人、散戶…等），將每一個別投資人帳戶的績效以「獲利、虧損/大額、小額」區分為2×2之四種交易結果，進而得到個別帳戶中「賺小與賠大所佔比例」，並進而分析不同投資人類別在該比例上是否存在顯著差異，以及試圖控制多個變數後，分析投資人類別的該「賺小賠大」比例是否是造成該類別族群投資績效差異的主要因素。
此研究樣本期間選取自2006年3月27日外資進入台灣期貨市場的起始日，至2008年7月15日共28個交易月份。此外，本研究也加入多種敏感性分析，以加強研究的嚴謹程度。由於現有文獻並未有直接相關的內容，因而本研究將從行為財務學的處置效應做為起點，進一步深入並強調其中賺賠「金額」大小的概念；除了探討各類別交易人中是否存在顯著「賺小賠大」傾向之外，更延伸探討該傾向是否為影響交易人間績效差異的重要因子；希望藉由此研究能幫助投資人未來能以更有效率、更加理性的方式進行投資。
實證結果說明：台灣的自營商、本國法人、外國法人以及散戶中，以散戶存在最顯著的「賺小賠大」傾向；該傾向確實會影響投資人的報酬，且與績效呈現顯著的負相關；在控制了「賺小賠大」指標之後，對績效差異之模型解釋力顯著上升。由此可知，「賺小賠大」傾向為一個傷害績效的投資人行為。

An adage in Wall Street, “Cut Losses short, let profit run,” suggests that traders should be willing to cut losses in small amount and to wait for a big profit. Recent studies have shown the disposition effect among the many types of traders. However, little is known about the amount of losses and profit since “realizing the paper gain and riding on the paper loss” is not equal to “cutting profit short and letting losses run.” This study could fill the void.
Due to the lack of literature, this study will start from the investigation of disposition effect, which is the most related literature, and then explore the idea of the amount of money earned or lost. Sample will be collected by choosing investors who are frequent traders, including domestic and foreign institutional investors, individual investors, etc. the trading performance of each individual investor will be categorized into four trading outcome through Gain or Loss /Big or Small (2×2) classification and then the ratio of “cutting profit short and letting losses run” can be calculated. In this study, we will investigate how the ratios differ among different types of investor, and check if the ratio and other factors would be the main reasons resulting in the difference of trading performance. In other words, the major purpose of this study is to check if there is a “cutting profit short and letting losses run” tendency in any type of traders, and check if such tendency may affect the trading performance.
The sample period will cover from March 27, 2006, when foreign institutional investors started to trade in Taiwan futures market, to July 15, 2008. For robustness, we will give a sensitivity analysis in different conditions. This study will base on the hypothesis of the existence of “cutting profit short and letting losses run” tendency and the hypothesis that this tendency is hazardous to the wealth of investors. Results of this study may help the investors make more wise and profitable investment.
There are dealers, investment institution, foreign investment institutions and the individuals in Taiwan. Based on the empirical result, the individuals showed the most significant tendency of “cutting profit short and letting losses run”. The tendency actually impacts on the return of the investment and has negative correlation with the performance. After controlling the index of “cutting profit short and letting losses run”, we can find out that explanatory power of performance difference model rises significantly. As the result, the tendency of “cutting profit short and letting losses run” is a movement of the investors that damage the performance.

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