Purpose

This paper investigates whether individual investors are attentive to stock splits and whether higher split ratios (stronger private information signals) reduce the disposition effect.

Design/methodology/approach

This study employs stock split events and transaction data in the Indonesia Stock Exchange (IDX) from January 2004 to December 2017. The authors measure individual investors' attention using buy-initiated trades. To test the effect of split signal on disposition effect, the authors regress individual investors' sell-initiated trades on past stock returns.

Findings

Unlike Birru (2015), the authors find that individual investors are attentive to stock splits, especially when stock split ratios are high. In turn, stock splits tend to weaken the disposition effect. The higher the stock split ratios, the weaker the disposition effect.

Research limitations/implications

This study has a limitation in that the authors exclude all stock splits with dividend events around the split date. These stock splits cover 37% of all splits in Indonesia.

Practical implications

Practically, individual investors should look for stock-related information to reduce disposition bias.

Originality/value

To the best of authors’ knowledge, this study is the first to test individual investors' attention on stock splits based on their buy-initiated trades. This study is also the first to test the impact of stock split ratios on the disposition effect reduction. This study's findings enrich the scant literature on individual investors' attention and how to reduce their disposition effect bias.

中文翻译：

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个人投资者对股票分拆的关注及其处置效应

目的

本文研究了个人投资者是否关注股票拆分以及更高的拆分比率（更强的私人信息信号）是否会降低处置效果。

设计/方法/途径

本研究使用了 2004 年 1 月至 2017 年 12 月印度尼西亚证券交易所 (IDX) 的股票拆分事件和交易数据。作者使用买入发起的交易来衡量个人投资者的注意力。为了检验拆分信号对处置效果的影响，作者对个人投资者的卖出发起交易对过去的股票收益进行了回归。

发现

与 Birru（2015 年）不同，作者发现个人投资者关注股票拆分，尤其是当股票拆分比率很高时。反过来，股票分割往往会削弱处置效应。拆股比例越高，处置效应越弱。

研究局限性/影响

这项研究的局限性在于，作者排除了所有在拆分日期前后发生股息事件的股票拆分。这些股票拆分占印度尼西亚所有拆分的 37%。

实际影响

实际上，个人投资者应该寻找与股票相关的信息以减少处置偏差。

原创性/价值

据作者所知，这项研究是第一个根据个人投资者的买入交易来测试他们对股票分割的关注度的研究。本研究也是首次检验股票分割比率对处置效应降低的影响。这项研究的发现丰富了关于个人投资者注意力以及如何减少他们的处置效应偏差的文献。