Referee Kevin Friend pointed to the spot in the 90th minute when Luke Shaw was brought down in the box by Youssouf Mulumbu, with Rickie Lambert duly stepping up to convert the spot kick and give the visitors all three points from their trip to the Hawthorns.
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"I thought it was very soft - clever play from the Southampton player but to make that call at that stage of the game was a big, big decision to make," the Baggies manager told the press.
"We were disappointed with our first half - certainly with our start to the game, Southampton started much better. They were on the front foot from the off and they pinned us back."
However, the Scot saw signs of improvement after the break, insisting that his men could have even nicked the win themselves before Lambert struck.
"At half-time we readjusted a couple of things and, second half, I thought we were much better," he added.
"As it petered out to a 0-0, which I think it was doing, if any team looked like nicking it I think it would have been us."