ANALISIS PERBANDINGAN RISIKO SISTEMATIS DAN ABNORMAL RETURN PADA PERISTIWA STOCK SPLIT
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Date
2014-03-18
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Seminar Nasional, Fakultas Ekonomi dan Bisnis, Universitas Sebelas Maret Surakarta
Abstract
The high of stocks price are usually less attractive to investors. One of the ways to gain demand is to engage in stock split . This action results in an increasing number of stocks outstanding to increase , by this investors can make their investment portfolio realignment. In this portfolio, investors will consider the level of risk and return of stocks that make up the portfolio. The purpose of this research is to analyze the impact of the stock split on systematic risk and abnormal returns before and after the event of stock split. The purposive sampling method is used to obtain the sample and there are 33 companies listed in Indonesian Stock Exchange that can be analysis during the research period 2007-2011. This research applied event study with descriptive and statistical method. The investigation applied descriptive analytic method and statistical analysis using the mean difference test ( paired sample t test ). The results showed that the mean of systematic risk and abnormal returns of stocks increased after the stock split event. The results of paired sample t test there were systematic risk and abnormal returns showed not significant in the differences between before and after the stock split event.
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Keywords
Systematic Risk, Abnormal Returns, Stock Split