DIVIDEND SIGNALS AND STOCK RETURNS
Keywords:
Dividend Signal, Stock Return, Signaling TheoryAbstract
Dividend signals are considered one form of information used by investors in making investment decisions. This study is based on signaling theory, which posits that information disclosed by corporate management, such as dividend distribution, can influence investors' perceptions of future stock return potential. The aim of this study is to determine the effect of dividend signals on stock returns in companies listed on the Indonesia Stock Exchange (IDX) in 2024. The dividend signal variable is measured using a dummy variable: a score of 1 is assigned if there is an increase or initiation of dividends, and 0 if there is no increase or no dividend distribution. Control variables include net profit margin (NPM), return on equity (ROE), and total asset turnover (TAT), which have consistently been shown to influence stock returns in prior studies. This study uses secondary data from annual financial reports published on the IDX website. The sample comprises 278 companies, determined using the Slovin formula and selected via proportionate stratified random sampling. Multiple linear regression analysis is employed to assess the effect of the independent variable on stock returns. The results indicate that dividend signals have a positive effect on stock returns. This finding suggests that investors regard dividend-related information as an important signal in making investment decisions. For companies, the result implies that dividend policy should be given due consideration, as it influences investor perceptions of the company's future prospects.
Downloads
References
Adi Pertiwi, N. P., & Wirama, D. G. (2019). Reaksi Pasar Atas Dividend Initiation dan Dividend Omission. E-Jurnal Akuntansi Universitas Udayana, 26(2), 1190–1214. https://doi.org/10.24843/eja.2019.v26.i02.p13
Afni, N. M. R. S. (2023). Pengaruh Kinerja Keuangan Terhadap Return Saham Pada Perusahaan Manufaktur Yang Terdaftar Di Bursa Efek Indonesia. 2(1), 34–45.
Ali; Heba & Hegazy, A. Y. (2022). Dividend policy, risk and the cross-section of stock returns: Evidence from India. International Review of Economics & Finance, 79, 169–192. https://doi.org/https://doi.org/10.1016/j.iref.2022.02.002
Arramdhani, S., & Cahyono, K. E. (2020). Pengaruh NPM, ROA, DER, DPR Terhadap Return Saham. Jurnal Ilmu Dan Riset Manajemen, 9(4), 1–21. http://jurnalmahasiswa.stiesia.ac.id/index.php/jirm/article/view/3017
Baker, H. K. A. de R. J. R. (2020). Investors and dividend yields. The Quarterly Review of Economics and Finance, 76, 386–395. https://doi.org/https://doi.org/10.1016/j.qref.2019.09.004
Baros, F., Ayem, S., & Prastyatini, S. L. Y. (2022). Pengaruh Likuiditas, Profitabilitas Dan Ukuran Perusahaan Terhadap Risiko Financial Distress Pada Perusahaan Manufaktur. AKURAT : Jurnal Ilmiah Akuntansi, 13(2), 87– 105.
Blaszke, E. (2021). The Impact of Dividend Payout Policy on Stock Return Volatility Of Companies Listed on The Warsaw Stock Exchange. Education Excellence and Innovation Management: A 2025 Vision to Sustain Economic Development during Global Challenges, 14126–14136. https://doi.org/10.15611/fins.2019.2.02
Brown, Stephen J.; Warner, J. B. (1985). Using Daily Stock Return: The Case of Event Studies. Journal of Financial Economics, 14(1), 3–31. https://doi.org/https://doi.org/10.1016/0304-405X(85)90042-X
Bursa Efek Indonesia. (2024). 14 Juta Investor Pasar Modal: Sinergi, Inovasi Digital, dan Akses Informasi yang Kian Inklusif. Idx.Co.Id. https://www.idx.co.id/id/berita/siaran-pers/2234
Bursa Efek Indonesia. (2025). Ikhtisar dan Sejarah BEI. Idx.Co.Id. https://www.idx.co.id/id/tentang-bei/ikhtisar-dan-sejarah-bei
Chabachib, M., Setyaningrum, I., Hersugondo, H., Shaferi, I., & Pamungkas, I. D. (2020). Does financial performance matter? Evidence on the impact of liquidity and firm size on stock return in Indonesia. International Journal of Financial Research, 11(4), 546–555. https://doi.org/10.5430/ijfr.v11n4p546
D’Agostino, R.B.; Stephens, M. A. (1986). Goodness-of-Fit-Techniques. Marcel Dekker, New York.
Fadlina;, I. L. (2024). Pengaruh Financial Leverage Dan Operating Leverage Terhadapprofitabillitas Pada Perusahaan Sub Sektor Otomotif Dankompnen Yang Terdaftar Di Bursa Efek Indonesia Periode 2020-2022. Paser Institute of Accounting and Finance, 2(2), 172–184.
Fakhri Rana Sausan, Korawijayanti, L., & Arum Febriyanti Ciptaningtias. (2020). The Effect of Return on Asset (ROA), Debt to Equity Ratio (DER), Earning per Share (EPS), Total Asset Turnover (TATO) and Exchange Rate on Stock Return of Property and Real Estate Companies at Indonesia Stock Exchange Period 2012-2017. Ilomata International Journal of Tax and Accounting, 1(2), 103–114. https://doi.org/10.52728/ijtc.v1i2.66
Ferdianegara, M. (2020). Pengaruh Price Earning Ratio, Return On Equity, Dan Debt To Equty Ratio Terhadap Return Saham. Kaos GL Dergisi, 1(5), 379–
389. https://doi.org/10.1016/j.jnc.2020.125798
Ghozali, H. I. (2016). Aplikasi Analisis Multivariate dengan Program IBM SPSS 23 (Kedelapan). Badan Penerbit Universitas Diponegoro.
Gilang Danendra Caesaro, Rahmawati, C. H. T., & Lukas Purwoto. (2023). Stock Returns: Effect of Return on Assets, Return on Equity, Debt To Equity Ratio, and Dividend Payout Ratio. Manajemen Dewantara, 7(3), 159–171. https://doi.org/10.30738/md.v7i3.16254
Gujarati, D. N. (2009). Basic Econometrics. Tata McGraw-Hill Education, New Delhi.
Hafifin, K., Susbiyani, A., Akuntansi, J., Ekonomi, F., & Muhammadiyah Jember,
U. (2022). Pengaruh Rasio Keuangan Terhadap Return Saham (Studi Empiris Pada Perusahaan Manufaktur Yang Listed di Bursa Efek Indonesia Periode 2017-2020). Jurnal Ilmiah Multidisiplin, 1(4), 657–666.
Hair, J. F. Risher, J. J. Sarstedt, M. & Ringle, C. M. (2019). When to use and how to report the results of PLS-SEM. European Business Review, 31(1), 2–24. https://doi.org/https://doi.org/10.1108/ebr11-2018-0203
Hanifah, A. (2023). The Influence of Debt Equity Ratio (DER), Earning Per Share (EPS), Net Profit Margin (NPM) and Return on Equity (ROE) on Stock Returns (Study of the Cigarette Industry that Goes Public on the Indonesian Stock Exchange for the 2011-2021 Period). Journal of Accounting and Finance Management (JAFM), 4(4), 289–296. https://creativecommons.org/licenses/by/4.0/
Hansson, F. (2020). How Does Dividend Events Affect Stock Prices? : An Event Study on Market Efficiency. Nationalekonomiska Institutionen, 3–30. https://www.diva- portal.org/smash/record.jsf?pid=diva2%3A1530497&dswid=9540
Hartono, J. (2017). Teori Portofolio dan Analisis Investasi. BPFE Yogyakarta. Januardin, J., Wulandari, S., Simatupang, I., Meliana, I. A., & Alfarisi, M. (2020).
Pengaruh DER, NPM, dan PER terhadap Return Saham pada Perusahaan Sektor Property and Real Estate di Bursa Efek Indonesia. Owner (Riset Dan Jurnal Akuntansi), 4(2), 423. https://doi.org/10.33395/owner.v4i2.251 Larasati, W., & Suhono. (2022). Pengaruh earning per share, debt to equity ratio dan return on equity terhadap return saham. Competitive Jurnal Akuntansi Dan Keuangan, 6(1), 44–50. https://ejournal3.undip.ac.id/index.php/jiab/article/view/26220/23231
Leite, R. P. S. & M. M. (2024). Does Dividend Index Composition Affect Stock Prices? Boletim De Conjuntura, 17(51), 426–451.
Maimunah, S., Yusuf, A., & Sunarya, H. (2020). Analisis Sikap, Minat Dan Motivasi Mahasiswa Terhadap Keputusan Menempuh Pendidikan Profesi Akuntansi. Jurnal Akuntansi, 7(1), 58–70.
Megginson, W. L. (1996). Corporate Finance Theory. In The Fisher Model and Financial Markets (pp. 44–52). Addison Wesley Educatinal Publisher. https://doi.org/10.1142/9789812700971_0006
Miller, C.; Whiting, H. (2005). Voluntary Disclosure of Intellectual Capital and The Hidden Value. Proceedings of the Accounting and Finance Association of Australia and New Zealand Conference.
Nandyayani, D. A. D., & Suarjaya G, A. A. (2021). The Effect on Profitability on Stock Return. American Journal of Humanities and Social Sciences Research, 5, 695–703. www.ajhssr.com
Natalia, K. S. H. M. (2020). Determinan Return Saham Pada Perusahaan Perbankan di Indonesia. Business Management, Economic, and Accounting National Seminar, 1491–1507.
Ndruru, A. (2023). Analysis of the Effect of Financial Performance on Stock Returns in Manufacturing Companies ( Basic Industry & Chemical Sector ,. 1(3), 125–142.
Nugraha, G. M. A. C., & Wirama, D. G. (2023). Nilai Tukar, Inflasi dan Return Saham dengan Jenis Industri sebagai Variabel Pemoderasi. E-Jurnal Akuntansi, 33(4), 919–934. https://doi.org/10.24843/eja.2023.v33.i04.p04
Nurafifah, R., Idris, A., & Rahmawati, Z. (2023). Pengaruh return on equity, debt to equity ratio, dan price earning ratio terhadap return saham. Jurnal Cendekia Keuangan, 2(1), 10. https://doi.org/10.32503/jck.v2i1.3116
Olimsar, F., Elisabeth, C. R., Ulum, B., Pattiasina, V., & Waoma, S. (2023). Analisis Rasio Keuangan Terhadap Return Saham. 08(01). https://doi.org/10.29040/jie.v8i1.10637
P. Geno, M. R., Nuradmanta, R. W., & Firmansyah, A. (2020). Return Saham Perusahaan Subsektor Properti Dan Real Estate Di Indonesia: Rasio Likuiditas, Rasio Solvabilitas, Degree of Leverage. Moneter: Jurnal Keuangan Dan Perbankan, 8(2), 65.
https://doi.org/10.32832/moneter.v8i2.4057
Prastyaniti, S. L. Y., & Bangun, A. V. B. (2024). Dividend policy: Total asset turnover, return on investment against stock returns. Procceding Of Internatioanal Conference On Accounting And Finance, 2, 773–782.
Robiyanto, R., & Yunitaria, F. (2022). Dividend announcement effect analysis before and during the COVID-19 pandemic in the Indonesia Stock Exchange. SN Business & Economics, 2(2), 1–20. https://doi.org/10.1007/s43546-021- 00198-8
Ross, S. A. (1977). The Determination of Financial Structure: The Incentive- Signalling Approach. The Bell Journal of Economics, 8(1), 23–40. https://doi.org/https://doi.org/10.2307/3003485
Safitri, D. N., & Kusumawati, E. (2021). Analisis Faktor-Faktor Keuangan Terhadap Return Saham. The 13th University Research Colloqium 2021 Sekolah Tinggi Ilmu Kesehatan Muhammadiyah Klaten ANALISIS, 1, 155– 162.
Samino Hendrianto. (2022). Analisis Return on Equity, Dividend Payout Ratio, Price to Earning Ratio dan Pengaruhnya Terhadap Return Saham pada Perusahaan LQ45 Yang Terdaftar di Bursa Efek Indonesia. Jurnal Multidisiplin Madani, 2(4), 1915–1928. https://doi.org/10.55927/mudima.v2i4.284
Samsul, M. (2006). Pasar Modal dan Manajemen Portofolio. Erlangga.
Santoso, B., Sidharta, E. A., & Wardini, A. K. (2020). The impact of Fundamental Factors on Stock Return of The Engineering and Construction Services Company. Jurnal Organisasi Dan Manajemen, 16(2), 158–170. https://doi.org/10.33830/jom.v16i2.818.2020
Sepri Yanti, E., Wahyu Santosa, P., & Hidayati, R. (2020). Pengaruh Kinerja Keuangan dan BI Rate terhadap Return Saham Sektor Otomotif Indonesia. JEBA (Journal of Economics and Business Aseanomics), 5(1), 1–13. https://doi.org/10.33476/j.e.b.a.v5i1.1401
Siti Aminah, L. (2021). the Effect of Current Ratio, Net Profit Margin, and Return on Assets on Stock Return. Marginal : Journal of Management, Accounting, General Finance and International Economic Issues, 1(1), 1–9. https://doi.org/10.55047/marginal.v1i1.8
Smarabhawa, A. A. G. A., & Dwiana Putra, I. M. P. (2023). Likuiditas, Leverage, Profitabilitas, Penilaian Pasar, Firm Size dan Return Saham. E-Jurnal Akuntansi, 33(6), 1687. https://doi.org/10.24843/eja.2023.v33.i06.p020
Sugiyono, P. D. (2019). Metode Penelitian Kuantitatif, Kualitatif, dan R&D. Alfabeta.
Suryo, A., & Yasa, G. W. (2021). Kinerja Keuangan dan Return Saham Perusahaan Blue Chip di Bursa Efek Indonesia. In E-Jurnal Akuntansi (Vol. 31, Issue 12, p. 3288). https://doi.org/10.24843/eja.2021.v31.i12.p19
Tarau, M. F., Dungga, H. R., & Meriyana Franssisca. (2020). Analisis Pengaruh Kinerja Keuangan Terhadap Return Saham Pada Perusahaan Sektor Industri Makanan Dan Minuman di Bursa Efek Indonesia Periode 2014-2018. Jurnal Ilmiah Manajemen Dan Bisnis, 110(9), 2620–9551.
Wiagustini, N. L. P. (2014). Manajemen Keuangan. Udayana University Press. Yohanes, Y., & Abdi, M. (2020). Pengaruh Kinerja Keuangan Terhadap Return
Saham Perusahaan Food And Beverage Tahun 2013-2018. Jurnal Manajerial
Dan Kewirausahaan, 2(2), 351. https://doi.org/10.24912/jmk.v2i2.7928
Yuningsih, V. (2020). Pengaruh net profit margin (NPM) dan earning per share (EPS) terhadap return saham dengan struktur modal sebagai variabel intervening. Entrepreneurship Bisnis Manajemen Akuntansi (E-BISMA), 1(1), 31–41. https://doi.org/10.37631/e-bisma.v1i1.215
