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Abstrak :
Penelitian ini bertujuan untuk melakukan pengujian terhadap efisiensi bentuk setengah kuat (semi strong form) pasar saham syariah yang dh akili oleh saham-saham yang tercatat pada Jakarta Islamic Index (JII). Pada suatu pasar modal yang efisien dimana harga yang terbentuk menyesuaikan secara cepat dengan informasi yang diterima merupakan pasar yang ideal yang sesuai dengan syariah Islam. Untuk itu masaiah yang diteliti adalah apakah return harga sahamsaham syariah dipengaruhi oleh informasi yang dipublikasikan oleh emiten berupa pengumuman pembagian dividen yang merupakan salah satu indikasi pasar yang efisien. Dalam penelitian ini dilakukan dengan tnetode event study dan kejadian atau informasi yang dilakukan pengamatan adalah tanggal pengumuman pembagian dividen oleh emiten yang terdaftar pada JII dan disebut tanggal kejadian (event date). Data yang dipergunakan berupa data harga saham syariah, IHSG dan SWBI untuk periode Januari 2004 sampai denagn Desember 2005. Basil penelitian menunjukkan adanya pengumuman dividen yang dilakukan oleh emiten saham-saham syariah tidak memberikan pengaruh yang signiftkan terhadap return dari saham-saham syariah yang terdaftar pada HI atau tidak terdapat abnormal return (excess return) yang signifikan. Dari tujuh emiten yang termasuk dalam sampel rata-rata abnormal return tertinggi hanya mencapai 1,01% yang dicapai pada hari ketiga setelah tanggal kejadian dan kerugian terbesar yang terjadi mencapai sebesar 1,16% yang dicapai pada hari kelima sebelum tanggal kejadian. Dari 21 hari pengamatan hanya 10 hari mencatat adanya abnormal return sedangkan 11 hari justru mencatat kerugian. Sedangkan dari perhitungan terhadap cumulative abnormal return tercatat hanya 5 hari yang mencatat cumulative abnormal return positif sedangkan 16 hari lainnya tercatat negatif. Hal ini menunjukkan salah satu indikasi bahwa pasar saham syariah balm merupakan pasar modal yang efisien dalam bentuk setengah kuat karena adanya informasi pengumuman dividen tidak lercermin dalam harga tnaupun return dari saham-saham yang terdaftar pada JII.

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This study aims to rest the efficient of Islamic stock market representative by stocks written at Jakarta Islamic index. In a efficient stock market where price formed fast adjust with excepting information is Islamic ideal market. So, examining problem is whether Islamic stock price returns are influenced by published information by emitter, dividend payout which is one of efficient market indicates. Research method that used by using method event study and event or examining information are announcement date of dividend payout by emitters written at Islamic Index Jakarta and event date. The using data is Islamic stock price at JII, IHSG and SWBI for period January 2004-December 2005. The result shows that dividend announcement by Islamic stock emitter doesn't significantly effect to return of Islamic stock written at JII or no excess return significantly. Of 7 emitters which are highs return abnormal average samples reach 1.01% in the third date after event date and the highs losses reach 1.16% in the fifth after event date. From 21 monitoring date, there are abnormal returns for only 10 days meanwhile its written losses for 11 days. From account to cumulative abnormal return recode that only 5 days writing positively cumulative abnormal return meanwhile other 16 days negatively ;mitten This shows one of indicates that Islamic stock price is not efficiently stock market in semi strong form because information of dividend announcement is not reflected in price and return of written stock at JII .

Abstrak :
ABSTRAK
Dividen merupakan bagian dari total return berinvestasi saham di pasar modal. Spare dan Tengler (1992) mengatakan bahwa pendekatan Relative Dividend Yield membentuk portofolio yang terdiversifikasi, total return yang lebih tinggi dari portofolio pasar dengan resiko sistematis yang lebih rendah. Dalam penelitian ini dibentuk Price Index dan Total Return Index Relative Dividend Yield berdasarkan saham ? saham emiten yang memenuhi kriteria Main Board Index IDX, real earnings growth, dividend payout ratio, real dividend growth, dan relative dividend yield dengan pembobotan dividend ? weighted dan equal ? weighted untuk kemudian dibandingkan dengan Price Index dan Total Return Index IHSG dan Bisnis-27. Dalam periode 2009 ? 2013, Price Index Relative Dividend Yield dengan pembobotan equal ? weighted memberikan return yang lebih tinggi dari return market, beta paling rendah, standar deviasi yang sedikit lebih tinggi dari IHSG serta Sharpe dan Treynor ratio yang paling tinggi, sementara Total Return Index Relative Dividend Yield dengan pembobotan equal ? weighted secara konsisten memberikan total return yang lebih tinggi dari total return market, nilai beta yang lebih kecil dari IHSG dan total return index lainnya. Excess return dari indeks relative dividend yield equal ? weighted membutuhkan penjelasan dari variabel ? variabel lain yang tidak ada dalam model CAPM

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ABSTRACT
Dividend is a part of expected total return when investing in stocks. Spare and Tengler (1992) introduced Relative Dividend Yield strategy which resulted in higher total return than the market?s total return with diversified and lower systematic risk portfolio. This thesis construct Relative Dividend Yield as dividend ? weighted and equal ? weighted index based on Main Board Index IDX, real earnings growth, dividend payout ratio, real dividend growth, and relative dividend yield criteria. Compared to IHSG, Bisnis-27 and dividend ? weighted index over the 2009 ? 2013 period, Price Index Relative Dividend Yield as equal ? weighted index outperformed market?s price return with lower beta, highest Sharpe and Treynor ratio, and slightly higher standard deviation than the market?s. Consistently, Total Return Index Relative Dividend Yield as equal ? weighted index outperformed market?s total return with lower beta and highest Sharpe and Treynor ratio. The excess return of Relative Dividend Yield as equal ? weighted index needs more explanations from variables that are not represented in CAPM model.

Abstrak :
ABSTRAK
Bias sampel kecil mengakibatkan ketidakmampuan pengetesan hipotesis prediktabilitas return di Indonesia, namun variasi dari dividend-to-price ratio yang stasioner harus berasal dari prediktabilitas return atau dividend growth. Peneliti menemukan bahwa prediktabilitas dividend growth tidak signifikan dapat menunjukan adanya prediktabilitas return, karena variasi dividend-to-price ratio harus berasal dari prediktabilitas return, jika tidak terdapat prediktibiltas dividend growth. Alternatif pembuktian lainnya menggunakan variance decomposition dividend-to-price ratio. Variance decomposition dividend-to-price ratio dapat memberikan bukti signifikan bahwa variasi dividend-to-price ratio 72% berasal dari prediktabilitas return dan 28 % berasal dari prediktabilitas dividend growth di Indonesia.

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ABSTRACT
Small sample bias causes inability to test return predictability hypothesis in Indonesia, but stationary variation of dividend-to-price ratio must come from return predictability or dividend growth. I find the insignificant dividend growth predictability can show that there exist return predictability, because if dividend growth predictability does not exist, then the variation of dividend-to-price ratio must come from return predictability. Another alternative provement can be performed by using variance decomposition dividend-to-price ratio. This variance decomposition can give significant proof that 72% variation of dividend-to-price ratio come from return predictability, and 28% come from dividend growth predictability in Indonesia. Variance decomposition of dividend-to-price ratio is the same as beta long-run predictability. Thus, these findings show that there exist both return and dividend predictability in Indonesia. This statistical power come from the negative correlation of return shock with dividend-to-price ratio shock

Abstrak :
[ABSTRAK
Penelitian ini menguji pengaruh kebijakan utang, kebijakan dividen dan keputusan investasi terhadap nilai perusahaan. Penelitian menggunakan Structural Equation Model (SEM) dengan data panel dengan sampel 115 perusahaan yang terdaftar di Bursa Efek Indonesia dengan data tahun 2011-2013. Variabel yang digunakan untuk mengukur kebijakan utang menggunakan debt to equity ratio (DER), kebijakan dividen menggunakan dividend payout ratio (DPR), keputusan investasi menggunakan proksi pertumbuhan/penurunan aset tetap dan nilai perusahaan menggunakan rasio price to book value (PBV). Hasil penelitian per variabel menujukan bahwa kebijakan utang berpengaruh terhadap kebijakan dividen, keputusan investasi tidak berpengaruh terhadap kebijakan dividen, kebijakan utang berpengaruh terhadap nilai perusahaan, kebijakan dividen dan keputusan investasi tidak berpengaruh terhadap nilai perusahaan. Bila dilihat dari pengujian model struktural, kebijakan utang berpengaruh langsung terhadap nilai perusahaan secara langsung tanpa melalui kebijakan dividen terlebih dahulu. Hasil penelitian tersebut juga membuktikan bahwa kebijakan dividen dapat berdiri sendiri sebagai variabel independen karena keputusan investasi tidak berpengaruh terhadap kebijakan dividen dan terhadap nilai perusahaan

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ABSTRACT
This study examines the effect of debt policy, dividend policy and investment decision on firm value. This study used structural equation model (SEM) with panel data, took 115 listed companies in Indonesia Stock Exchange from year 2011-2013. This study used variables such as debt to equity ratio (DER) to measure debt policy, dividend payout ratio (DPR) to measure dividend policy, proxy of growth/reduction of the fixed assets and price to book value ratio (PBV) to measure firm value. The results of the study addressing that each variable such as debt policy affects dividend policy, investment decision doesn?t affect dividend policy, debt policy affect firm value, dividend policy and investment decision do not affect firm value. Result from the structural testing model, debt policy affect firm value directly without pass through dividend policy first. The result of the study also revealed that dividend policy could stand alone as an independent variable because investment decision doesn?t affect dividend policy and firm value.;This study examines the effect of debt policy, dividend policy and investment decision on firm value. This study used structural equation model (SEM) with panel data, took 115 listed companies in Indonesia Stock Exchange from year 2011-2013. This study used variables such as debt to equity ratio (DER) to measure debt policy, dividend payout ratio (DPR) to measure dividend policy, proxy of growth/reduction of the fixed assets and price to book value ratio (PBV) to measure firm value. The results of the study addressing that each variable such as debt policy affects dividend policy, investment decision doesn?t affect dividend policy, debt policy affect firm value, dividend policy and investment decision do not affect firm value. Result from the structural testing model, debt policy affect firm value directly without pass through dividend policy first. The result of the study also revealed that dividend policy could stand alone as an independent variable because investment decision doesn?t affect dividend policy and firm value.;This study examines the effect of debt policy, dividend policy and investment decision on firm value. This study used structural equation model (SEM) with panel data, took 115 listed companies in Indonesia Stock Exchange from year 2011-2013. This study used variables such as debt to equity ratio (DER) to measure debt policy, dividend payout ratio (DPR) to measure dividend policy, proxy of growth/reduction of the fixed assets and price to book value ratio (PBV) to measure firm value. The results of the study addressing that each variable such as debt policy affects dividend policy, investment decision doesn?t affect dividend policy, debt policy affect firm value, dividend policy and investment decision do not affect firm value. Result from the structural testing model, debt policy affect firm value directly without pass through dividend policy first. The result of the study also revealed that dividend policy could stand alone as an independent variable because investment decision doesn?t affect dividend policy and firm value., This study examines the effect of debt policy, dividend policy and investment decision on firm value. This study used structural equation model (SEM) with panel data, took 115 listed companies in Indonesia Stock Exchange from year 2011-2013. This study used variables such as debt to equity ratio (DER) to measure debt policy, dividend payout ratio (DPR) to measure dividend policy, proxy of growth/reduction of the fixed assets and price to book value ratio (PBV) to measure firm value. The results of the study addressing that each variable such as debt policy affects dividend policy, investment decision doesn’t affect dividend policy, debt policy affect firm value, dividend policy and investment decision do not affect firm value. Result from the structural testing model, debt policy affect firm value directly without pass through dividend policy first. The result of the study also revealed that dividend policy could stand alone as an independent variable because investment decision doesn’t affect dividend policy and firm value.]

Abstrak :
ABSTRAK
Penelitian ini membahas tentang faktor-faktor yang memengaruhi kebijakan dividen pada perusahaan yang terdaftar di BEI pada periode 2011-2015. Faktor-faktor yang dianalisis dalam penelitian ini antara lain earning per share, lagged dividend, debt to equity ratio, dan share turnover. Sampel terdiri dari 75 perusahaan yang tercatat di Bursa Efek Indonesia, yang aktif membayar dividen selama tahun 2011-2015. Fixed Effect Model diaplikasikan terhadap analisis data panel yang menunjukkan bahwa adanya pengaruh yang kuat antara lagged dividend dan earning per share terhadap kebijakan pembayaran dividen, namun variabel debt to equity ratio dayan share turnover tidak memengaruhi variabel DPR secara signifikan. Berdasarkan hasil penelitian dapat disimpulkan bahwa earning per share dan pola pembayaran dividen di tahun sebelumnya merupakan faktor penting yang memengaruhi kebijakan pembayaran dividen perusahaan.

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ABSTRACT
This thesis discusses the factors that influence the dividend payout policy on firms listed in Indonesia Stock Exchange during 2011 ndash 2015 period. The factors analyzed within this research are earning per share, lagged dividend, debt to equity ratio, and share turnover. This research consists of 75 companies listed in Indonesia Stock Exchange, which actively pay dividend from 2011 to 2015. Fixed effect model with generalized least square are applied in this research, showing the result that lagged dividend and earning per share are influenced positively with dividend per share. Meanwhile, debt to equity ratio and share turnover indicate no significant effect to dividend per share. According to the result of the research, it can be concluded that firms rsquo expectation on future earnings and the dividend paid in the previous year affect the dividend payout policy.

Abstrak :
Penelitian ini bertujuan untuk menganalisis pengaruh struktur kepemilikan saham manajerial, institusional dan asing terhadap kebijakan pembayaran dividen perusahaan. Penelitian ini menggunakan sampel 38 perusahaan yang terdaftar di Bursa Efek Indonesia yang mengeluarkan dividen pada periode 2007 - 2014. Penelitian ini menggunakan pendekatan kuantitatif dengan metode analisis stepwise multiple regression dengan membentuk berupa data panel. Hasil penelitian ini menunjukkan bahwa kepemilikan manajerial berpengaruh negatif dan tidak signifikan terhadap dividend payout ratio yang menjadi proksi kebijakan pembayaran dividen. Selanjutnya, kepemilikan institusional berpengaruh negatif dan signifikan terhadap dividend payout, dan kepemilikan saham asing juga berpengaruh negatif dan signifikan terhadap dividend payout ratio.

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This study aims to analyze the effect of share ownership structure of managerial, institutional and foreign on dividend payout policy. Samples used in this study are 38 firms listed in Indonesia Stock Exchange that are pays dividend for the period of 2007 ? 2014. This study used a quantitative approach with the analytical method is stepwise multiple regression with pooled data. The result of this research show that managerial ownership has negative and unsignificantly effect on dividend payout ratio which became a proxy of dividend payout policy. Then, Institutional ownership has a negative and significant effect on dividend payout, and foreign ownership has a negative and significant effect on dividend payout ratio.

Abstrak :
Penelitian ini dilakukan dengan upaya untuk melihat hubungan antara keduanya ketidakpastian politik yang disebabkan oleh pemilihan umum melawan kebijakan dividen perusahaan ditetapkan dalam Rapat Umum Pemegang Saham Saham (RUPS) menggunakan data dari perusahaan non keuangan di Indonesia yang tercatat di Bursa Efek Indonesia (BEI) yang melakukannya pembayaran dividen berturut-turut pada tahun 2004 - 2017. As Selain itu, penelitian ini mempertimbangkan hubungan antara kepemilikan menyatakan kebijakan dividen perusahaan dalam kondisi ketidakpastian yang besar tinggi. Penelitian ini menggunakan metode analisis regresi efek acak melakukan pengujian hipotesis. Berdasarkan pemrosesan data yang tersedia, ditemukan bahwa ketidakpastian politik tidak mempengaruhi kebijakan dividen perusahaan. Di sisi lain, penelitian ini juga menemukan bahwa tidak ada hubungan antara kepemilikan negara terhadap kebijakan dividen perusahaan pada kondisi ketidakpastian politik. ......This research was conducted with an attempt to see the relationship between the two political uncertainties caused by the general election against the company's dividend policy stipulated in the General Meeting of Shareholders (GMS) using data from non-financial companies in Indonesia listed on the Indonesia Stock Exchange (IDX) that did so. successive dividend payments in 2004 - 2017. As well, this study considers the relationship between the stated ownership of the company's dividend policy under conditions of high uncertainty. This study uses a random effect regression analysis method to test the hypothesis. Based on available data processing, it is found that political uncertainty does not affect the company's dividend policy. On the other hand, this study also finds that there is no relationship between state ownership and company dividend policy under conditions of political uncertainty.