The underrection to news is one of the anomalies to the efficient market hypothesis. Several explanations to this phenomenon have been proposed by the behavioral finance. According to Grinblatt and Han (2005), this difference between the stock price and the fundamental value is due to the disposition effect. In order to study the adjustment of prices to the fundamental value, an experimental approach has been adopted. For each of the two studied treatments, six experimental sessions have been realized. 69 subjects have taken part to the first treatment and 72 to the second. The results prove an underreaction of prices to a fundamental value change in each of the treatments. This underreaction exists subsequent to the increases as well as to the decreases of the fundamental value. The results also indicate that the price-adjustment is low when most of the subjects negotiate the stock with a loss paper. Finally, the underreaction is at its lowest level when the subjects, in situation of paper gain, receive good news.
