LABA PERMANEN DAN PERILAKU DIVIDEN: PENGUJIAN KEMBALI MODEL GARETT DAN PRIESTLEY DI BURSA EFEK INDONESIA
ABSTRACT: The purpose of this
study is to examine the effect of permanent earnings on current dividend
behavior. Following Garret and Priestley’s model, Error Correction Model and
Kalman Filter employed to analysing dividend behavior of the aggregate stock
market. The analyses show that dividends
convey information about positive shock to current permanent earnings.
More-over, the analysis also find evidence that information about expected
changes in permanent earnings is already captured in lagged stock price change.
Mean-while, the analysis find no evidence to support the notion that dividends signal future permanent earning. Finally, the speed
of adjustment of dividends to target
dividend is higher than previously study.
Keywords: permanent earnings, dividend behavior, kalman
filter
Penulis: Perminas Pangeran
Kode Jurnal: jpmanajemendd110178
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