Analisis Abnormal Return Sebelum dan Sesudah Ex-Date Dividen pada Perusahaan IDX30 di BEI

Kevin Syach Putra Suhendi, Desmintari Desmintari, Fitri Yetti

Abstract


One of the reasons for investors to invest in a stock is the dividend distribution by the company. Dividend announcements can be good information if the dividends paid increase and vice versa. Regarding dividend announcement information, is this one information that can make a significant difference in abnormal returns. The purpose of this research is to determine the difference in abnormal returns before and after the ex-dividend date of the company IDX30 which announces dividend increases or announces dividend reduction. The population of this study are several stocks that are included in the IDX30 period 2018-2019. The sample of this study has used a purposive sampling technique which results in 16 companies announcing dividend increases and 11 companies announcing dividend decreases. This type of research itself is a quantitative research. The data used is in the form of historical price data / stock prices 10 days before and 10 days after the ex-dividend date obtained from the Yahoo Finance website. The data analysis technique used the event study method and paired sample t-test. The results of this study indicate that (1) There is no significant abnormal return before and also after the ex-dividend date on the company IDX30 which announced the dividend increase. (2) There is no significant difference in abnormal returns before and after the ex-dividend date on IDX30 company that has announced a dividend reduction. The conclusion is that dividend announcements are not the only information that has an impact on investors in valuing a stock but is determined by the company's ability to obtain earnings (earnings power) from the assets owned by the company.


Keywords


Abnormal Return; Ex-Dividend Date; IDX30; Dividend Increase; Dividend Decreasing.

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