Effect Of Accounting Information Towards Abnormal Return Using The Single Index Model In Testing Capital Market Reaction After Dividend Announcement
This research aims to examine the effects of accounting information towards the abnormal return of syariah and conventional capital using the single index model, as well as examining the capital market reaction due to dividend announcement. The dependent variable in this research is the Average Abnormal Return (AAR). Independent variables include the earning per share (EPS), Debt to Equity ratio (DER), Return on Assets (ROA), and Return on Equity (ROE). Test results and data analysis resulted in 4 stock portfolios. On all stock portfolios, evident value change in the AAR and CAAR variables, which resulted in an increase in profit around the announcement date. It can be concluded that changes in the variables have a significantly quicker reaction and movement. This means the announcement of earnings brought information and content to the stock market, which is an indicator that the Indonesian stock market is developing towards a semi-strong form.
Keyword- Single Index Model, Abnormal Return, Earning Per Share, Debt to Equity Ratio, Return on Assets, Return on Equity, and Market Efficiency