DISPOSITION EFFECT TERHADAP HUBUNGAN ANTARA NILAI FUNDAMENTAL DAN HARGA SAHAM PADA PERIODE KRISIS FINANSIAL
Jurusan Akuntansi Fakultas Ekonomi Universitas Pakuan
Jl. Pakuan, P.O. Box 452, Bogor.
Telp/Faks. +62 251 312 206
Stock price was positively affected by a change of company fundamental value which included profitability, growth, and dividend factors. Excess volatility hypothesis, on the other hand, indicated that stock price was too volatile correlated to its fundamental value. This study empirically investigated the moderating impact of disposition effect – the tendency to sell stocks that had appreciated in price (winners) too soon and to hold stocks that trade price below the purchase price (losers) too long – on the relationship between fundamental values and stock prices. Fifty-three stocks of Indonesian Stock Exchange were chosen as the research sample based on sampling criteria for the periods before, during, and after the 2008 financial crisis. By using multiple regressions analyses, this study revealed that during these periods, disposition effect weakened the positive relationship between earning per share and stock prices as well as between book value per share and stock prices. The higher the proportion of disposition investors, the less sensitive the stock price to the changes in fundamental variables. Unlike previous studies that investigated the direct impact of disposition effects on stock prices, this study investigated the indirect impact of disposition effect on stock prices. Thus, this study contributed to the existing behavioral finance literature by providing some useful insights into understanding why stock prices were less sensitive to the changes in fundamental variables in the presence of disposition effect.
Key words: disposition effect, earning per share, book value per share, stock price, financial crisis.