Pengumuman dividen dan kepemilikan institusional :: Studi empiris di Bursa Efek Indonesia

NURHASANAH, Nunung, Prof. Dr. Eduardus Tandelilin, MBA

2009 | Tesis | S2 Manajemen

Penelitian ini bertujuan untuk menguji secara empiris reaksi investor terhadap pengumuman pembayaran peningkatan dividen tunai tunai selama perioda 2003-2007. Desain event study digunakan untuk mengidentifikasi dan menguji signifikansi abnormal return yang muncul disekitar tanggal pengumuman peningkatan dividen tunai. Pengujian dilakukan terhadap 28 perusahaan kepemilikan institusional tinggi dan 21 perusahaan kepemiikan institusional rendah dengan menggunakan market model. Sedangkan pengujian sensitivitas reaksi investor dilakukan dengan uji beda CAR, dividend payout ratio dan dividend yield dari masing-masing subsampel yang telah dikelompokan berdasarkan besarnya kepemilikan institusional. Hasil penelitian menunjukan bahwa investor secara signifikan berekasi positif terhadap pengumuman pembayaran peningkatan dividen tunai. Reaksi tersebut tampaknya sesuai dengan rent extraction hypothesis. Lebih lanjut lagi hasil penelitian menunjukan bahwa perusahaan kepemilikan institusional tinggi ternyata memiliki CAR yang lebih rendah dibandingkan perusahaan kepemilikan institusional rendah pada saat pengumuman pembayaran peningkatan dividen tunai dan hal tersebut signifikan secara statistik. Selain itu juga hasil penelitian menunjukan bahwa perusahaan kepemilikan institusional tinggi cenderung membayar dividen lebih tinggi dibandingkan perusahaan kepemilikan institusional rendah. Hal tersebut dilakukan untuk mengurangi munculnya konflik keagenan dalam perusahaan secara optimal.

This research is aimed to empirically analyze the investors’ reaction towards the enlargement of cash dividend payout announcement over the period of 2003 – 2007. An event study is used to identify and assessed the significance of the abnormal return that appeared around the enlargement of cash dividend payout announcement date. The study is conducted towards 28 companies with high institutional ownership and 21 companies with low institutional ownership by using market model. On the other hand, the sensitivity test on investors’ reaction is carried out by using CAR, dividend payout ratio, and dividend yield from each sub sample that have been classified based upon the size of the institutional ownership. The result showed that investors significantly reacted positively towards the enlargement of cash dividend payout announcement. This response seems to suit the rent extraction hypothesis. More over, the result also illustrated that those companies with high institutional ownership, actually have a lower CAR rather than those companies with low institutional ownership at the moment of the enlargement of cash dividend payout announcement, and this is statistically proved significantly. On the other hand, the result also show that companies with high institutional ownership tends to pay higher dividend than of those who has low institutional ownership. This is done to reduce the emergence of agency conflicts in a company.

Kata Kunci : Kenaikan dividen tunai,Kepemilikan institusional,Abnormal return,Cumulative abnormal return,Dividend payout ratio,Dividend yield