Effect of Dividend Announcement on Changes in Stock Price (Return) (Study of Non-Financial Companies Listed on the Indonesian Stock Exchange

Abstract

Dividend announcement is one of the published information issued by the company that can be used by investors to react to changes in shares. In emerging markets like Indonesia, all types of information can be utilized even if they have no economic value. Based on that, this information as a dividend announcement can be valuable when the investor's reaction is correct. Some researchers say that dividend announcements must be made periodically due to irregular economic conditions. This study aims to determine how the influence of information on dividend announcements regarding changes in stock prices (returns) of non-financial companies on the Indonesia Stock Exchange. Period taken 15 days before and after the date of the Ex dividend. This study uses regression analysis on panel data and for testing is the value of abnormal stock returns with a total of observations of 49 samples. The number of samples is divided into groups of increasing dividends and reducing dividends. The results of this study indicate that as a whole investors do not only use dividend announcement information in stock transactions, so that the effect is not too impactful. In addition, seeing the reaction of investors to the announcement of an increase in dividends is also not used properly. dividend announcements are bad news for investors. While investors can optimize information about reducing dividend announcements, so that investors can make a profit even in a situation where dividends have decreased.