Title: ANALYSIS OF MARKET REACTION TO THE ANNOUNCEMENT OF THE DIVIDEND CUT POLICY ON THE JAKARTA EVEC EXCHANGE (EMPIRICAL STUDY ON THE JAKARTA STOCK EXCHANGE PERIOD 1994 - 1997)
Author: AGUS SUKARNO
Item Type : Thesis (Thesis)
Affiliations: Master of Management Study Program, Faculty of Economics and Business, Universitas Airlangga , Surabaya, Indonesia
Publisher: Universitas Airlangga
Abstract
This research examines the market reaction to the policy of cutting dlvlden at the Jakarta Securities Exchange during the 1994-1997 period. By complying with the minimum sampling criteria of companies during successive years of paying dividends regularly or paying dividends and being able to cut their dividends, 51 companies were used as samples. The proxy used for the market reaction to the dividend cutting policy is Abnormal Return. Inl Pefle!itian uses the t)Oa~sis &V6nt ~Iudy model and Iinie"bef!l8nda regression. Event Study is used to see the market reaction to the policy of cutting dividends. While the Multiple Unler Regression model is used to see the influence of the variables characteristics of the company's theme AbflOl"mBl Return received by investors in ssa! become a policy of cutting dividends. Event Study is carried out using the Single Index Market Modf1/ technique to estimate expected returns. The test results show that there is a negative and significant Abnormal Return based on the event. This evidence shows that the market reacted negatively when the policy of cutting dividends or in other words investors still posted Abnwmaf Return which was / relieved\if dBflQ8n adsnre policy of cutting dividends confidently on the Jakarta Stock Exchange. Testing with multiple linear regression models is carried out using Abnormal Return as the dependent variable with eight independent variables. The independent variables used in the model are the percentage of dividend reduction (percul), company size (size). stock risk (Beta), stock performance (Carm), variations in eaming poIa Multiple analysis analysis shows five significant independent variables, namely company size (size), stock performance (C8nn), variations in eaffling patterns (resvar), the coincidence of the stock dividend announcement with the announcement of dividend cuts (stl).
Keywords: ANALYSIS OF MARKET REACTION TO THE ANNOUNCEMENT OF THE DIVIDEND CUT POLICY ON THE JAKARTA EVEC EXCHANGE (EMPIRICAL STUDY ON THE JAKARTA STOCK EXCHANGE PERIOD 1994 - 1997)
Sources: http://repository.unair.ac.id/85207/
