PENGARUH PENGUMUMAN DIVIDEN TERHADAP PERUBAHAN HARGA SAHAM: STUDI DI BURSA EFEK JAKARTA (BEJ)

Abstract

This study investigates the efffect of dividend announcement on stock prices at Jakarta Stock Exchange in the sample period of 2005 and 2006. This study used 29 stocks for upward dividend announcements and 16 stocks for downward dividend announcements. Event study is used to investigate the reaction of dividend announcements within 7 days before and after announcements. Abnormal return is calaculated using Capital Asset Pricing Model (CAPM).
The result of this study does not support the hypothesis that dividend announcement affect the stock prices at Jakarta Stock Exchange. Surprisingly there is significant effect of dividend announcement on t+1. This phenomenon indicates the existence of investor’s belief. Investor will reviced their belief of the stock price after information was announced, specially on dividend anouncements.
Keyword: Dividend announcement, CAPM, Jakarta Stock Exchange