Sugeng, Bambang and Drs. Ubud Salim, MA and Prof. Dr. Bambang Swasto, ME (2000) Pengaruh Stabilitas Dividen terhadap Kineija Portofolio Saham Di Bursa Efek Jakarta. Magister thesis, Universitas Brawijaya.
Abstract
Berdasarkan ‘the relevance of dividend - hypothesis’, kebijakan dividen perusahaan memiliki dampak informatif terhadap pasar yang selanjutnya mempengaruhi nilai pasar perusahaan. Di dalam literatur disebutkan bahwa tingkat stabilitas dividen sebagai refleksi dari kebijakan dividen perusahaan dianggap memiliki relevansi dengan prospek cash flow perusahaan di masa-masa mendatang. Oleh karena itu ia mempengaruhi penilaian pasar terhadap harga saham perusahaan yang pada gilirannya berdampak pada dinamika return dan aspek risiko saham, dua indikator penting kineija saham/portofolio. Penelitian ini terutama bertujuan untuk mengkaji secara empiris: (1) apakah postofolio saham dengan stabilitas dividen yang tinggi memiliki kineija yang lebih baik dibanding portofolio dengan tingkat stabilitas dividen yang rendah; (2) apakah setiap jenis basis stabilitas dividen (cash payment, payout ratio, dan yield) memiliki pengaruh yang berbeda terhadap kineija portofolio saham; dan (3) jenis basis stabilitas dividen yang mana yang memperoleh respon paling positif dari pasar. Penelitian ini dilakukan terhadap 90 jenis saham yang tercatat di Bursa Efek Jakarta, yang dipilih berdasarkan kesinambungan data harga kwartalan dan dividen tahunan yang dimiliki selama rentang waktu 1993 - 1998. Saham sampel tersebut selanjutnya dikelompokkan ke dalam 9 portofolio atas dasar tingkat stabilitas dividen pada setiap jenis basis dividen. Kineija portofolio diukur menggunakan ‘Jensen’s Differential Return Measure’ Dengan menggunakan uji beda dengan ANOVA atas rata-rata dari differential return dan risk masing-masing portofolio, penelitian ini menghasilkan temuan utama, yaitu: (1) portofolio saham dengan tingkat stabilitas dividen yang tinggi terbukti memiliki kineija yang lebih baik (superior) dibanding portofolio dengan tingkat stabilitas dividen yang rendah; (2) masing-masing jenis basis stabilitas dividen memiliki pengaruh yang berbeda terhadap kineija portofolio saham; dan (3) jenis basis stabilitas dividen dengan Yield terbukti memperoleh respon paling positif dari pasar. Temuan-temuan tersebut mengimplikasikan bahwa di dalam rangka meningkatkan nilai perusahaan melalui instrumen kebijakan dividen, manajer perusahaan perlu mengadopsi kebijakan dividen stabil terutama yang didasarkan pada stabilitas dividend yield.
English Abstract
Based on ‘the relevance of dividend-hypothesis’ dividend policy of the firm has information effect to the market which, in turn, affects the market value of the firm. In the literature is cited that dividend stability as a reflection of firm’s dividend policy is assumed to reflect the prospect of future cash flow of the firm. Accordingly, it influences the market appreciation to the firm’s stock price in that it also influences the stock return dynamic and risk, the two main portfolio performance indicators. This research aims at examining three main issues. First, whether stock portfolio with high dividend stability has better performance than that with low dividend stability. Second, whether each of the dividend stability bases (cash payment, pay out-ratio, and yield) demonstrates different effect on portfolio performance. Third, which of dividend stability basis obtains the most favorable respond from market. This research investigated 90 stocks listed at Jakarta Stock exchange, chosen on criteria that such stock showed complete data of four-monthly stock price and annual dividend for the period of 1993 - 1998. Such stocks were grouped into 9 portfolios set by dividend stability rank for each dividend stability basis. Portfolio performance was measured.using ‘Jensen’s Differential Return Measure’. Applying mean difference-test using One Way ANOVA on differential return and risk of each portfolio, this research indicates some findings. First, stock portfolio with high dividend stability was proven to show better performance than that with low dividend stability. Second, the effect of each of dividend stability bases on portfolio performance differs significantly from each other. Third, dividend stability based on Yield was found to be the one obtaining the most favorable respond from market. These findings imply that managers need to more appreciate the dividend stability policy based mainly on dividend yield as one of their instruments to create the firm’s value (shareholder gain). Such findings also support the relevance of dividendhypothesis paradigm.
Other obstract
Based on ‘the relevance of dividend-hypothesis’ dividend policy of the firm has information effect to the market which, in turn, affects the market value of the firm. In the literature is cited that dividend stability as a reflection of firm’s dividend policy is assumed to reflect the prospect of future cash flow of the firm. Accordingly, it influences the market appreciation to the firm’s stock price in that it also influences the stock return dynamic and risk, the two main portfolio performance indicators. This research aims at examining three main issues. First, whether stock portfolio with high dividend stability has better performance than that with low dividend stability. Second, whether each of the dividend stability bases (cash payment, pay out-ratio, and yield) demonstrates different effect on portfolio performance. Third, which of dividend stability basis obtains the most favorable respond from market. This research investigated 90 stocks listed at Jakarta Stock exchange, chosen on criteria that such stock showed complete data of four-monthly stock price and annual dividend for the period of 1993 - 1998. Such stocks were grouped into 9 portfolios set by dividend stability rank for each dividend stability basis. Portfolio performance was measured.using ‘Jensen’s Differential Return Measure’. Applying mean difference-test using One Way ANOVA on differential return and risk of each portfolio, this research indicates some findings. First, stock portfolio with high dividend stability was proven to show better performance than that with low dividend stability. Second, the effect of each of dividend stability bases on portfolio performance differs significantly from each other. Third, dividend stability based on Yield was found to be the one obtaining the most favorable respond from market. These findings imply that managers need to more appreciate the dividend stability policy based mainly on dividend yield as one of their instruments to create the firm’s value (shareholder gain). Such findings also support the relevance of dividendhypothesis paradigm.
| Item Type: | Thesis (Magister) |
|---|---|
| Identification Number: | 040002 |
| Divisions: | S2/S3 > Magister Manajemen, Fakultas Ekonomi dan Bisnis |
| Depositing User: | Unnamed user with username nova |
| Date Deposited: | 02 Aug 2024 01:56 |
| Last Modified: | 02 Aug 2024 01:56 |
| URI: | http://repository.ub.ac.id/id/eprint/226438 |
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