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Fransisca Astuti Mutiara
Magister Manajemen Fakultas Ekonomika dan Bisnis Universitas Gadjah Mada
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Reaksi Pasar atas Pengumuman Dividen: Sebuah Tinjauan Ulang Fransisca Astuti Mutiara; Leo Indra Wardhana
Performance: Jurnal Personalia, Financial, Operasional, Marketing dan Sistem Informasi Vol 27 No 2 (2020): Performance
Publisher : Faculty of Economics and Business Universitas Jenderal Soedirman

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.20884/1.jp.2020.27.2.3277

Abstract

This study revisits the market reactions on the dividend payment events, cum-dividend date and payment date, using the event study method. The sample of this study includes all dividend announcements from 2017 to 2018 in the Indonesia Stock Exchange. This study performs various robust statistical tests proposed by Harrington and Shrider (2007), who point out that standard classical t-test is not enough to ensure abnormal return on an event because of the bias due to volatility caused by an event. Using various statistical tests for testing the abnormal return, this study shows that the market indeed reacts to the cum-dividend date and dividend payment date, as well as showing that the classical t-test showing the same conclusion as the other tests.
Reaksi Pasar atas Pengumuman Dividen: Sebuah Tinjauan Ulang Fransisca Astuti Mutiara; Leo Indra Wardhana
Performance: Jurnal Personalia, Financial, Operasional, Marketing dan Sistem Informasi Vol 27 No 2 (2020): Performance
Publisher : Faculty of Economics and Business Universitas Jenderal Soedirman

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.32424/1.jp.2020.27.2.3277

Abstract

This study revisits the market reactions on the dividend payment events, cum-dividend date and payment date, using the event study method. The sample of this study includes all dividend announcements from 2017 to 2018 in the Indonesia Stock Exchange. This study performs various robust statistical tests proposed by Harrington and Shrider (2007), who point out that standard classical t-test is not enough to ensure abnormal return on an event because of the bias due to volatility caused by an event. Using various statistical tests for testing the abnormal return, this study shows that the market indeed reacts to the cum-dividend date and dividend payment date, as well as showing that the classical t-test showing the same conclusion as the other tests.
Co-Authors Leo Indra Wardhana