Impact of Cash Dividend Announcement on Stock Abnormal Return: Evidence From LQ45 Index in Indonesia Stock Exchange Period 2014-2018

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Afandi, Fransiskus (2019) Impact of Cash Dividend Announcement on Stock Abnormal Return: Evidence From LQ45 Index in Indonesia Stock Exchange Period 2014-2018. Graduate thesis, Sekolah Tinggi Bisnis IPMI.

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Cash dividend considered as the most frequent corporate action held by Indonesian public listed companies. Purpose of the research is to explore the impact of cash dividend announcement to the stock abnormal return, also to evaluate the impact of dividend per share change and financial indicators to abnormal stock return as well as reconfirm whether dividend signaling theory is still relevant to the last five years of stock market observation. Research is done by using an event study on the abnormal return from 10 days before to 10 days after cash dividend announcement combine with significance test. Meanwhile multiple linear regression is used to analyze the impact of financial ratio for the same event window period of 21 days around the dividend announcement. The research scope is limited to 13 companies from LQ45 index which has no other corporate action but a regular annual cash dividend payment for the period of 2014-2018. We found that that there is a minor significance on dividend announcement to the abnormal stock return. However stronger reaction from market can be seen when further analysis being done separately for each type of dividend change and we found more significant abnormal return. We also observed that no financial indicator found to be significant variable to Cumulative Abnormal Return. Another finding is an anomaly of Dividend per Share Growth variable where the analysis show a negative correlation to Cumulative Abnormal Return. Keyword : Dividend announcement, dividend per share change, abnormal return, dividend signaling theory, financial indicator

Item Type: Thesis (Graduate)
Subjects: H Social Sciences > HB Economic Theory
H Social Sciences > HC Economic History and Conditions
H Social Sciences > HG Finance
Divisions: Thesis > Master of Business Administration
Depositing User: Indriana Apriyanti
Date Deposited: 17 Jan 2020 01:35
Last Modified: 17 Jan 2020 02:11

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