摘要：Keywords: dividend; ex-dividend date; stock return; the abnormal return. ABSTRACT Investors invest their funds in order to gain profit. Investors are investing in capital gains and dividend hopes. However, investors who invest funds in a stock company in the long-term horizon will obtain the form of dividend income. This study aims to analyze the effect of dividend announcements on stock return changes before and after the ex-dividend date in Indonesia Stock Exchange (IDX). This study used 22 companies joined in the 50 biggest market capitalizations. The company is divided into two groups consisting of 13 companies announced dividend increases and 9 companies that announce dividend reduction. Study period for 21 days which is divided into three periods: 10 days before the dividend announcement date; one day when the dividend announcement; and 10 days after the date of the dividend announcement. The method used in this study is event study by observing the movement of shares in the capital market. To test the stock price reaction tests abnormal return during the study period by using One Sample T-test. The results showed that there is an increase on the announcement positive abnormal return around the dividend announcement date in a company that does increase dividend payments (t-1), and there is a negative abnormal return around the announcement date of the dividend on the company decrease its dividend payments (t-8). The announcement of dividend increase and decrease the effect on stock returns before and after ex-devidend date in Indonesia Stock Exchange (IDX).
