ANALISIS DAMPAK KEBIJAKAN DIVIDEN PADA HARGA SAHAM udDAN PERBEDAAN PPROFITABILITAS PERUSAHAAN SETELAH udPERUBAHAN KEBIJAKAN DIVIDEN DI PERUSAHAAN udMANUFAKTUR DI INDONESIA

摘要

This research has a purpose to analyze the effect of dividend policy to the udstock prices and profitability in Indonesia Stock Exchange. Dividend signaling udtheory said that dividend policy has information content so that it can effect to the udstock value and profitability. The sample of this research is manufacturing udcompany listed in Indonesia Stock Exchange and share the dividend for minimum ud2 years serially from 2004 to 2008. The dividend that be shared must be has an udeffect, increasing or decreasing. udThe independent variable of this research is dividend policy, and the uddependend variable is stock value and the profitability. The policy showed by the udchanging of stock value that released from the company. Dividend policy will be udmarked by the changing of manufacture’s DPS, excistence effect of the stock udvalue that seen on abnormality return around the day of policy announcement, and udcompany’s profitability based on the REO of the company. udThe number of sample in this research is 41 samples for increasing uddividend company’s group, and 32 samples for decreasing dividend company’s udgroup. The hypothesis 1 and 2 then will check the effect of dividend policy to the udstock value. Hypothesis 1 is for the effect of increasing dividend, and hypothesis 2 udis for the effect of the decreasing dividend. Both of hypothesis will be tested by udthe event study. Observation period for hypothesis 1 is 11 days, 5 days before and ud5 days after the announcement of dividend policy. There are also hypothesis 3 and ud4 that will check the effect of dividend changing to the profitability. Hypothesis 3 udis for the effect of increasing dividend, and hypothesis 4 is for the effect of uddecreasing dividend. Hypothesis 3 and 4 will be tested by Paired Sample Test. It udwill be compared between company’s REO when it shares the dividend and udcompany’s REO later, in the next year. udThe result of the research showed, for hypothesis 1, the market will give a udpositive respond by increasing the stock prices when the company announce the udincreasing dividend. For hypothesis 2, when the company announce the uddecreasing dividend, there will be no significant negative responses from the udmarket for that. The result of this study also showed that the changing of dividend udpolicy of the company will impact to the changing of company’s profitability udlater. In the hypothesis 3, when the company increases the dividend, then the udprofitability will be increase in the next year. Similarly in hypothesis 4 when the udcompany decreases the dividend, the profitability will be decrease also later, in the udnext year. Based on the results above, it can be concluded that hypothesis 1, 2, 3, udand 4 support the dividend signaling theory because the changing of dividend policy done by the company will give the information of the changing in stock udvalue and also in company’s profitability. ud udKeywords : dividend signaling theory, dividend policy, stock value, udprofitability