Pengaruh Pengumuman Dividend Initiation dan Dividend Cut/Omissions Terhadap Return Saham di Bursa Efek Jakarta
Sri Dwi Ari Ambarwati (Pemb : Prof. Dr. Eduardus Tandelilin,MBA), Prof. Dr. Eduardus Tandelilin,MBA
Penelitian ini bertujuan untuk mengetahui dan membuktikan secara empiris pengaruh pengumuman dividend initiations dan dividend cut/omissions terhadap return saham di Bursa Efek Jakarta serta menguji apakah reaksi pasar terhadap pengumuman tersebut yang diproksi sebagai besarnya abnormal return juga dipengaruhi oleh karakteristik khusus perusahaan seperti perubahan dividend yield, size, Cumulative Return Movement (CARM). Institutional holding, Beta koreksi, dan market to book value. Hipotesis yang diajukan adalah:
(I). Pemegang saham bereaksi positif terhadap pengumuman pembayaran dividen pertama kalinya (dividend initiations) di Bursa Efek Jakarta;
(2). Pemegang saham bereaksi negatif terhadap pengumuman pemotongan atau penghapusan dividen pertama kalinya (dividend cut/omissions) di Bursa Efek Jakarta; (3). Perubahan dividend yield, size, CARM, institutional holding, Beta, dan market to book value berpengaruh terhadap abnormal return.
Sampel penelitian adalah saham-saham yang melakukan inisiasi dan pemotongan/ penghapusan dividen mulai tahun 1989 sampai 2000. Penentuan sample dengan purposive sampling method sedangkan data yang digunakan adalah data sekunder yang diperoleh dari ICMD, Facebook, PPA UGM, MM UGM dan database BEJ. Teknik analisis pengujian hipotesis 1 dan 2 menggunakan event study untuk menghitung abnormal return sedangkan hipotesis 3 dengan regresi berganda.
Hasil penelitian menunjukkan bahwa pemegang saham bereaksi positif terhadap pengumuman inisiasi dividen dengan tingkat kepercayaan 95% dan bereaksi negatif terhadap pengumuman pemotongan/ penghapusan (cut/omissions) dengan tingkat kepercayaan 99%. Reaksi pemegang saham terhadap dividend initiations dipengaruhi oleh variabel size dan CARM (F= 6.470; Adj R2 =0.506; p=0.029 dan 0.002 < 0.05). Sedangkan reaksi pemegang saham terhadap dividend cut/omissions dipengaruhi oleh variabel CARM dan Beta koreksi (F= 10.668; Adj R2 =0.496; p= 0.000 < 0.0 I dan 0.021 < 0.05)
This study purpose was to understand and prove empirically the dividend initiations and dividend cut/omissions effects on stock return in Jakarta Stock Exchange and examine whether the market reaction to the effects projected as the magnitude of abnormal return were also affected by specific characteristics of enterprises, such as, changes in dividend yield size, cumulative return movement (CARM), institutional holding, correction Beta, and market to book value. The proposed hypotheses were: (I) the stockholders reacted positively to announcement of payment for dividend initiations in Jakarta Stock Exchanges; (2) the stockholders reacted negatively to the announcement of dividend cut/omissions in Jakarta Stock Exchanges; (3) the changes in dividend yield, size, CARM, institutional holding, Beta, and market to book value had effects on abnormal return.
The study samples were dividend initiations and dividend cut/omissions from 1989 to 2000. The samples were determined by purposive sampling method; whereas, the used data were secondary data derived from ICMD, Fact Book, PPA UGM, MM UGM and database of Jakarta Stock Exchanges. Analysis techniques of hypotheses 1 and 2 were tested by using event study to estimate abnormal return; whereas, of hypothesis 3 was tested by using multiple regression.
The results of study indicated that the stockholders reacted positively to the announcement of dividend initiations with 95% reliance rate and negatively did to the announcement of dividend cut/omissions with 99% reliance rate. The reaction of stockholders to dividend initiations was affected by variables of size and CARM (F=6.470; AdjR2 = 0.506; P = 0.029 and 0.002 < 0.05). Whereas, the reaction of stockholders to dividend cut/omissions was affected by variables of CARM and correction Beta (F = 10.668; AdjR2 = 0.496; P = 0.000 < 0.01 and 0.02 < 0.05)
Kata Kunci : Dividen Intitiations, Dividend Cut/omission, Return Saham, BEJ
