Reaksi Harga Saham Sekitar Cum-Dividend Date Pada Perusahaan LQ45 di Bursa Efek Indonesia

  • Eka Lavista STIE Widya Gama Lumajang
  • Muhammad Rijalus Sholihin STIE Widya Gama Lumajang
Keywords: dividend, cum-dividend date, abnormal return, event study

Abstract

This study seeks evidence whether there is significant stock prices changes around cum-dividend date, in particular t examines the stock prices movement of two days before and two days after cum-dividend date.This study uses an event study methodology. The population of this study are all companies in the LQ45 listed at Indonesia stock exchange. A total of 38 companies are examined in the study. Abnormal return is measured as the difference between real return and expected return, whilst the expected return is measured using the single index model.The study finds that there are no significant abnormal returns around cum-dividend date. In addition, the study does not find any significant abnormal return difference between two days before and two days after cum-dividend date. The findings reported in this study could benefit investors in understanding the behavior of stock prices around cum dividend date and this could be used as an investment strategy. Investors may obtain significant positive abnormal returns.

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Published
2018-08-24