Reaksi pasar terhadap pengumuman Dividen di Bursa Efek Jakarta tahun 2002 dan 2003

Dahlan, Al Fauzi , Arif Surya Irawan, S.E., M.Com

2007 | Skripsi | S1 Extention - Accounting

Investors who have investment in capital market having a return in dividend or capital gain. Dividend is the cash, stock, or any type of property a corporation distributes to its shareholders. Dividend is the only way a company transferring its assets to shareholders. Capital gain is difference between the sales price and the original costs or realized gain that results when the stock is sold for more than was paid for it. The one of information that investor easily and quickly to get is dividend announcement, increasing and decreasing of dividend.

This research is tend to get the evidence that Indonesian capital market represented by Jakarta stock exchange (JSX) reacted to information of dividend announcement, do dividend have an information content? Furthermore this research is wanted to prove that market is react differently depends on the magnitude of dividend changes (increasing or decreasing). Market responded negatively when dividend decrease, investors get negative abnormal return, the opposite positive market response to increasing dividend, and investor get positive abnormal return. To examine information content of dividend using event study, with examining t value of average of abnormal return in the event period is not null. We use simple regression to examining does the percentage of dividend changes (increase or decrease) is significantly affect to abnormal return that accepted by the investor. The result of this research indicates that market does not react to both of dividend increase and decrease. It shows by the result of t test, value of t count is lower than t table. The magnitude of dividend changes is not significantly affect to the abnormal return that accepted by the investor. The conclusion of this research show that in the Jakarta Stock Exchange dividend has no information content.

Keywords: dividend, capital gain, abnormal return, information content

Kata Kunci : dividend, capital gain, abnormal return, information content