dalimunthe, nindytia puspitasari and Mutiasari Nur Wulan, Mutiasari N.W and Paujiah, Sipa (2022) ANALISIS PENGARUH KEBIJAKAN DIVIDEN TERHADAP ABNORMAL RETURN SAHAM SEBELUM DAN SESUDAH EX DIVIDEND DATE DI BURSA EFEK INDONESIA TAHUN 2019-2021. GEMA EKONOMI (Jurnal Fakultas Ekonomi) Fakultas Ekonomi Universitas Gresik, 11 (3). pp. 487-498. ISSN 26210444
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#!2022 ANALISIS PENGARUH KEBIJAKAN DIVIDEN TERHADAP ABNORMAL RETURN SAHAM SEBELUM DAN SESUDAH EX DIVIDEND DATE DI BURSA EFEK INDONESIA TAHUN 2019-2021.pdf Download (355kB) | Preview |
Abstract
The announcement of dividends is information that contains economic value and can attract buying interest from market participants so that prices will increase. While the ex dividend date is a day without dividends or investors are no longer entitled to receive dividends so that it can cause stock prices to decline. Previous research found that there is a positive abnormal return before the ex dividend date and will decrease after the ex dividend date. However, the phenomenon of increasing stock prices before the ex dividend date and decreasing stock prices after the ex dividend date is still a debate for researchers. This study aims to provide empirical evidence on the difference in the average abnormal returns of big caps, medium caps and small caps stocks before and after the ex dividend date on the Indonesia Stock Exchange for the 2019-2021 period. The research sample consisted of 94 companies with the sample criteria distributing dividends for three consecutive years. The results showed that dividend policy has an effect on stock abnormal returns. On average, stock prices for all capitalizations tend to increase before the ex-dividend date and decrease after the ex-dividend date. This study also found that firm size was negatively correlated with the average stock return. This means that stocks with small sizes will produce a higher average return than stocks of large companies.
| Item Type: | Article |
|---|---|
| Subjects: | H Social Sciences > HG Finance |
| Depositing User: | Unnamed user with username 0024059003 |
| Date Deposited: | 06 Apr 2023 07:24 |
| Last Modified: | 06 Apr 2023 07:24 |
| URI: | http://repository.lppm.unila.ac.id/id/eprint/49765 |
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