Deskripsi Lengkap
| Bahasa : | ind |
| Sumber Pengatalogan : | LibUI ind rda |
| Tipe Konten : | text (rdacontent) |
| Tipe Media : | unmediated (rdamedia); computer (rdamedia) |
| Tipe Carrier : | volume (rdacarrier); online resource (rdacarrier) |
| Deskripsi Fisik : | xiv, 74 pages : illustration ; 29 cm. + appendix |
| Naskah Ringkas : | |
| Lembaga Pemilik : | Universitas Indonesia |
| Lokasi : | Perpustakaan Lantai 3 |
- Ketersediaan
- File Digital: 1
- Ulasan
- Sampul
- Abstrak
| No. Panggil | No. Barkod | Ketersediaan |
|---|---|---|
| S62331 | 14-19-861277010 | TERSEDIA |
| Tidak ada ulasan pada koleksi ini: 20422309 |
Abstrak
ASBTRAK
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. Variance decomposition dividend-to-price ratio sama dengan nilai beta prediksi pada long-run. Sehingga penemuan ini menunjukan terdapat prediktabilitas return dan dividend growth di Indonesia. Kemampuan pembuktian pada variance decomposition dividend-to-price ratio berasal dari korelasi negatif dari shock prediksi return dengan shock prediksi dividend-to-price ratio.
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.
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. Variance decomposition dividend-to-price ratio sama dengan nilai beta prediksi pada long-run. Sehingga penemuan ini menunjukan terdapat prediktabilitas return dan dividend growth di Indonesia. Kemampuan pembuktian pada variance decomposition dividend-to-price ratio berasal dari korelasi negatif dari shock prediksi return dengan shock prediksi dividend-to-price ratio.
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.