Reaksi Pasar Terhadap Pengumuman Dividen: Pengujian Teori Residual

I A Agung Idawati, Dr. Suad Husnan, M.B.A

2016 | Tesis | S2 Manajemen

Penelitian ini bertujuan untuk menguji reaksi pasar terhadap pengumuman dividen dengan penekanan pada pengujian teori residual. Reaksi pasar dapat dilihat dari abnormal return yang terjadi di sekitar hari pengumuman dividen, diharapkan pada saat pengumuman (t = 0) atau sehari setelah pengumuman (t = +1) terdapat abnormal return yang signifikan. Menggunakan metode event study dengan periode jendela 11 hari perdagangan. Penentuan sampel menggunakan metode purposive sampling, dengan kriteria (1) Saham terdaftar dan aktif diperdagangkan di BEI (2) Mengumumkan dividen yang meningkat tetapi tidak melakukan penambahan investasi pada periode pengamatan tahun 2013-2014 (3) Mengumumkan dividen yang menurun tetapi melakukan penambahan investasi pada periode pengamatan tahun 2013-2014 (4) Tidak mengumumkan atau mengeluarkan kebijakan lain, seperti stock split, right issue, bonus share (saham bonus) atau pengumuman lainnya di periode jendela. Berdasarkan kriteria tersebut, diperoleh sampel sebanyak 32 perusahaan, dimana 9 perusahaan mengumumkan kenaikan dividen dan 23 perusahaan mengumumkan penurunan dividen. Perhitungan abnormal return menggunakan Market Adjusted Model. Metode analisis data yang digunakan adalah One Sample t-test. Berdasarkan analisis data dapat disimpulkan bahwa pasar tidak memberikan reaksi yang signifikan pada saat pengumuman kenaikan dividen. Namun, pasar memberikan reaksi yang positif terhadap pengumuman penurunan dividen tepat pada saat pengumuman, dimana terdapat nilai t-hitung yang positif signifikan pada saat event day (t=0).

This study purposed to examine the market reaction to dividend announcement with emphasis on the residual theory. The market reaction can be seen through the abnormal return resulted around the event of dividend announcement, at the event period (t=0) or the day after event period (t=+1) were expected to result the significant abnormal return. This research used event study methods and 11 trading days as window period. The selection of the sample using purposive sampling method with criteria: (1) The stocks were listed and actively traded on the Indonesia Stock Exchange (2) The emmiten announcing dividend increase while did not rise the investment during 2013-2014 observation period, (3) The emitten announcing dividend decrease and rise the investment during 2013-2014 observation period (4) Not announced or issued other policies, such as stock splits, right issue, bonus shares or other announcements in the window period. According to the criteria obtained a sample of 32 companies, which 9 companies announced dividend increase and 23 companies announced dividend decrease. The researcher choose Market Adjusted Model to calculate abnormal return and used One Sample t-test as data analysis methods. Based on data analysis, it can be concluded the market did not react significantly during the announcement of a dividend increase. However, the market reacted positively toward announcement of dividend decrease right at the time of announcement, where at the event day (t=0), t-value was significantly positive.

Kata Kunci : Teori residual, reaksi pasar, abnormal return, pengumuman dividen, residual theory, market reaction, abnormal return, dividend announcement