DO FINANCIAL PERFORMANCE, SIZE AND AGE OF THE COMPANY AFFECT THE DISPOSITION EFFECT OF INVESTOR? CASE: INDONESIAN STOCK EXCHANGE.

Abstract

Information has an important role in determining the results of investment decisions. Investors seek information related to investment opportunities so these conditions will create informed investors and uninformed investors. This study analyzes financial and non-financial variables that can influence the disposition effect behavior in the Indonesian capital market. The variable used in this study is the disposition effect, profitability as financial variables and measured with return on asset, return on equity and net profit margin, and non-financial variables measured with company size using total assets approach, and the age of the company measured with the length of time the company stands. This research use SEM-PLS (Structural Equation Modeling-Partial Least Square) as the method by using the data of company in the group of LQ45, this group is indices by Indonesian stock exchange which is consists of 45 company that has highest market capitalization, highest transaction, and good prospect in growth listed on the Indonesia Stock Exchange between 2012 and 2017. The results of this study show that the variable profitability, firm size, and age of the company affect disposition effect on the Indonesian capital market. These results are expected to provide knowledge and updates on the study of disposition effect behavior and provide input for academics in the field of management especially economic behavioral about the development of behavior in the capital market and provide input for investors regarding the importance of understanding investor behavior in the Indonesian capital market.