Eka Lavista


This study tests whether there are significant stock prices changes around the cum-dividend date. In
particular, it examines the stock price movement of two days before and two days after the cum-dividend
date. It uses an event study methodology. The population of this study are all companies in the LQ45
listed at Indonesia stock exchange for the year 2017 and the sample consists of 38 companies. Abnormal
return is measured using the single index model. Results show that there are no significant abnormal
returns around the cum-dividend date. In addition, there is no significant abnormal return difference
between two days before and two days after the cum-dividend date. The implication of the reported
findings is that investors may not obtain significant positive abnormal returns using a cum-dividend date
as the trading strategy.


dividend; cum-dividend date; abnormal return; event study

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