文章基本信息

标题：SIGNIFIKANSI DAN IMPLIKASI PERBEDAAN SPESIFIKASI RETURN DALAM PENELITIAN PASAR MODAL
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作者：DEWA GEDE WIRAMA ; DEWA GEDE WIRAMA
期刊名称：Jurnal Ilmiah Akuntansi dan Bisnis
印刷版ISSN：2303-1018
出版年度：2009
卷号：4
期号：2
页码：1-20
语种：Indonesian
出版社：Universitas Udayana
摘要：The purpose of this research is to determine the statistical significance and implication of various specifications of stock return. Three specifications are considered, i.e. return that (1) ignores dividend, (2) ignores the proceed from further investment of dividend, and (3) assumes that dividend is reinvested in the same stock. The differences among the three specifications are analyzed under one, four, and seven years of investment periods. Using a sample consisted of 102 companies listed on the Indonesian Stock Market during the seven year period starting from the beginning of 2001, it is found that each return specification results in return numbers that in general are statistically different from each other. The only insignificant difference is the difference between return that ignores proceed from further investment on dividend and the one that assumes that dividend is reinvested in the same stock for one year of investment in stock. The implication of the differences in returns calculated under each specification is further analyzed using an association study that regresses market return on accounting return (ROE) in the same one, four, and seven year periods of investment. Each return specification produces different R2s and betas. Statistically significant differences are found in the analysis with four and seven year periods of investment, except for the difference between returns that, again, ignores the proceed from further investment on dividend and the one that assumes that dividend is reinvested in the same stock for seven years of investment in stock. The conclusion of this research is that ignoring dividend in return calculation might lead to inaccurate results. The impact of ignoring further investment of dividend is somewhat less severe than the impact of ignoring dividend altogether.
关键词：return specification; dividend; reinvestment; statistical difference