PENGARUH RISIKO PERUSAHAAN, ASIMETRI INFORMASI DAN TINGKAT PERTUMBUHAN TERHADAP RETURN SAHAM PERUSAHAAN YANG MEMBAGIKAN DIVIDEN KAS STUDI EMPIRIS DI BURSA EFEK INDONESIA
| Main Authors: | , Dian Purnomo Jati, SE., , Prof. Dr. Eduardus Tandelilin, M.B.A |
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| Format: | Thesis NonPeerReviewed |
| Terbitan: |
[Yogyakarta] : Universitas Gadjah Mada
, 2011
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| Subjects: | |
| Online Access: |
https://repository.ugm.ac.id/90398/ http://etd.ugm.ac.id/index.php?mod=penelitian_detail&sub=PenelitianDetail&act=view&typ=html&buku_id=53228 |
Daftar Isi:
- The aim of this research is to examine investor reaction to dividend change announcements made by company with different financial risk, different level of asymmetric information and different growth rate over the period 2002-2007. Event study method used to examine significance abnormal return arround event date of dividend increases (decreases) announcement. Conducted test on 196 sample dividend increases and 112 sample dividend decreases. Single Index Model-Beta OLS used to calculate abnormal return arround event date and Independent Sample TTest of average abnormal return used to examine sensitivity of investor reaction. The sample divided into subsample that have been categorized by level of financial risk, level of asymmetric information and growth rate. This research found that when firms announced dividend increase or dividend decrease, investors show significant positive or negative reaction. The results of data analysis also shows that investors are more sensitive in response to dividend increase announcements made by companies with relatively low risk level and more sensitive in responding to the dividend decrease announcements made by companies with relatively low risk level. Subsequently identified that investors are more sensitive in responding to the announcement of dividend increases made by the company with low level of asymmetric information, but have not found significant differences in response to the dividend decrease announcement. The results of data analysis has not shown differences in investor response to dividend increases or decreases anouncement to companies with different growth rates. This research indicate that investors will respond differently to a public information by looking at companyspecific information in advance before interpreting the good news or bad news