Mahasiswi Fakultas Ekonomi Jurusan Akuntansi Universitas Syiah Kuala
Information about the fluctuation of dividend cash distributed by companies is one of the information which was considered important enough for investors, because the information contains loads of information regarding the outlook for profits to be gained by investors or prospective investors in assessing firm (Prasetiono, 2000). To examine the presence or absence of information content contained in dividend announcements seen from company stock returns during the event period. This study aims to analyze the difference of stock returns before and after the announcement of dividend decreases and increases in the companies listed in Indonesia Stock Exchange. The samples are all companies registered at the Indonesian Stock Exchange in 2008 whose shares are actively traded. The samples in this study using purposive sampling method and adjusted to the criteria established and replace it if the samples taken are not in accordance with the specified criteria. This study uses the variable dividend, stock return, rate of market portfolio return, abnormal return, and the average abnormal return. Testing the hypothesis in this study using the statistical parametric t-test (Paired sample test). Use of normality of data is using Kolmogorof-Smirnov test with the criterion when p-value> 0.05 then the distribution of data is normal. The results of this study indicate that for the H1 hypothesis was accepted, which means that there are significant differences in returns before and after the announcement of dividend decreases. As for the H2 hypothesis is rejected, which means there is no significant difference in returns before and after the announcement of dividend decreases. Keywords: dividend announcements, stock return, rate of market portfolio return, abnormal return, and the average abnormal return.