Market Reaction Around Ex-Dividend Date

Hadianto, Bram and Herlina, Herlina and Njotoprajitno, Rosemarie Sutjiati and Suwarno, Niken Angginia Nastiti (2022) Market Reaction Around Ex-Dividend Date. Jurnal Ilmiah Universitas Batanghari Jambi, 22 (1). pp. 115-119. ISSN 1411-8939

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A dividend is a component of returns for the investors besides capital gains. Hence, its payment becomes attractive for investors to own the stocks. According to the informational content dividend theory, the market reacts positively around the ex�dividend dates when they enhance their amount and vice versa. Motivated by the debatable evidence from many previous studies, this research wants to prove this theory by classifying the companies into two groups. Group one consists of the companies going up dividends per share. Group two contains the opposite ones. This research population is the consistent companies becoming members of the LO45 index between 1 February 2015 and 31 January 2019, where the number is 21. To calculate the total samples, we use the Slovin formula and get 17 companies. To take these companies, we use the simple random sampling method. Then, we obtain 49 and 29 ex-dividend dates for the companies elevating and decreasing dividends, one-to-one. To examine the proposed hypotheses, we utilize the one-sample t-test. Generally, this study disputes the informative content of dividend theory. In its place, this study supports the informational market inefficiency in the semi-strong form, evidenced by the lengthy market reaction. The adverse market reaction still occurs for the companies elevating dividends on the fourth day after the ex-dividend date. However, the positive reaction still happens for the companies reducing them on the third day after this date.

Item Type: Article
Uncontrolled Keywords: ex-dividend date; market reaction; the decision of the company to elevate and cut dividends; the informationally inefficient market in semi-form
Subjects: H Social Sciences > HD Industries. Land use. Labor > HD28 Management. Industrial Management
Depositing User: Perpustakaan Maranatha
Date Deposited: 27 Feb 2023 07:15
Last Modified: 27 Feb 2023 07:15

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