摘要：Keywords: dividend; ex-dividend date; stock return; the abnormal return.ABSTRACTInvestors invest their funds in order to gain profit. Investors are investing in capital gains anddividend hopes. However, investors who invest funds in a stock company in the long-termhorizon will obtain the form of dividend income. This study aims to analyze the effect ofdividend announcements on stock return changes before and after the ex-dividend date inIndonesia Stock Exchange (IDX).This study used 22 companies joined in the 50 biggest market capitalizations. The company isdivided into two groups consisting of 13 companies announced dividend increases and 9companies that announce dividend reduction. Study period for 21 days which is divided intothree periods: 10 days before the dividend announcement date; one day when the dividendannouncement; and 10 days after the date of the dividend announcement. The method used inthis study is event study by observing the movement of shares in the capital market. To test thestock 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 returnaround 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 thecompany decrease its dividend payments (t-8). The announcement of dividend increase anddecrease the effect on stock returns before and after ex-devidend date in Indonesia StockExchange (IDX).
