REAKSI PASAR ATAS PENGUMUMAN DIVIDEN TUNAI (STUDI EMPIRIS PADA PERUSAHAAN LQ-45)
Abstract: This study to
analyze market reaction to the announcement of cash dividends on listed
companies LQ-45 from February and August 2014. With the event window for 31
days and 15 days the researchers tried to see if there is a difference of
abnormal return before and after the ex-dividend date.
The sampling technique used is
purposive sampling and number of samples used is 45 from manufactur industries.
This study uses secondary data including historical daily closing stock price,
market index LQ-45 and the schedule of cash dividends. The analysis technique
used isEvent Study Method.
The result showed that abnormal return obtained by investors after the
date of the announcement rated investors as a signal of bad (bad news) because
investors believe stock prices will fall after the announcement. However, the
market is no longer reacting above 7 days after the ex-dividend date.
Keywords: Cash Dividend
Announcement, Abnormal Return, Return Stocks, Market Adjust Model, Event Study,
and the Ex-Dividend Date
Penulis: Akhsani Lubis Dwi
Saputra, Darsono
Kode Jurnal: jpakuntansidd150788
