Indonesia Conference Directory

This paper present to analyze the effect of the ex-dividend date announcement of PT. Telkom, Tbk, by taking a sample of PT Telkom TBK shares. The research period of 131 days is divided into two periods, namely the estimated period of 100 days and the period of events for 30 days including 15 days before and after the event. The method used in this research is an event study that will observe changes in the stock prices of PT. Telkom, Tbk before and after the exdevident date. To test the price reaction, an abnormal return test is carried out during the event period with a calculation analysis based on the concepts of expected return models, abnormal returns and a statistical test T test by testing the abnormal return on dividends at the time of ex-dividend date. The results showed that at the 5% significance level there were 26 working days that still produced significant abnormal returns, namely the 2nd day before the event date of - 0.00700 or about 0.7%, then on the 1st day before the event date still produced abnormal negative return - 0.01600 or around 0.16% and on the 3rd day after the event date of - 0.01500 or around 0.15% .. From the results of the study concluded that the stock price reacted negatively to information on dividend announcements when ex-dividend date . It has implications for the signals received by investors in dealing in the stock market