Pengaruh bias sampel kecil pada pembuktian prediktabilitas return dan dividend growth di indonesia tidak dapat membuktikan tidak membuktikan tidak ada = The effect of small sample bias on return predictability and dividend growth hypothesis testing inability to prove is not the proof of absence
Adityo Sanjaya;
Adi Waskito, supervisor; Lubis, Arief Wibisono, examiner; Wardatul Adawiyah, examiner
(Fakultas Ekonomi dan Bisnis Universitas Indonesia, 2016)
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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. 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 |
 S62332-adityo sanjaya .pdf :: Unduh
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| No. Panggil : | S62332 |
| Entri utama-Nama orang : | |
| Entri tambahan-Nama orang : | |
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| Penerbitan : | [Place of publication not identified]: Fakultas Ekonomi dan Bisnis Universitas Indonesia, 2016 |
| Program Studi : |
| Bahasa : | ind |
| Sumber Pengatalogan : | LibUI ind rda |
| Tipe Konten : | text |
| Tipe Media : | unmediated ; computer |
| Tipe Carrier : | volume ; online resource |
| Deskripsi Fisik : | xvi, 123 pages : illustration ; 29 cm + appendix |
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| Lembaga Pemilik : | Universitas Indonesia |
| Lokasi : | Perpustakaan Lantai 3 |
| No. Panggil | No. Barkod | Ketersediaan |
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| S62332 | 14-19-197780086 | TERSEDIA |
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| Tidak ada ulasan pada koleksi ini: 20422189 |
