ANALISIS KECANGGIHAN INVESTOR TERHADAP KETEPATAN REAKSI PASAR DALAM MERESPON PENGUMUMAN DIVIDEN MENINGKAT

Abstract

This research has purpose to analyze the ability of investor to accuracy of market reaction to
respond announcement of increasing dividend at Indonesian Stock Exchange. This research
also examine dividend information indication and accuracy of market reaction. The variable
which is used to see market reaction is abnormal return, in are side the ability of investor is
promoted by stock holder in institution. The sample which is used in this research is all companies
which are registrated in Indonesian Stock Exchange is chosen by sampling purpose
method since 2004 to 2006 it is got 127 sample of company. This result of research shows
that increasing dividend announcement doesn’t have information indication, investor is not
correct to respond decreasing dividend market announcement or Indonesian Stock Exchange
hasn’t been efficient in information or in all decisions, and there is no effect or impact from
analyze of ability investor toward the accuracy of market reaction to respond increasing dividend
announcement.
Keywords : Dividend Increase, Information Content, Decisionally Efficient Market, Investor Sophistication, Institutional Ownership.