The Effect of Dividend Policy and Market Ratio on Stock Returns of Blue Chip Companies Listed on the Indonesia Stock

Syaiful Anwar Zainuddin; Dudi Rudianto

Penulis

Syaiful Anwar Zainuddin Master of Management, Bakrie University Jakarta
Dudi Rudianto Lecturers of Master of Management , Bakrie University Jakarta

Kata Kunci:

Dividend Yield, Dividend Payout Ratio, Price to Book Value, Stock Return, Blue Chip

Abstrak

This study aims to analyze the effect of dividend policy and market ratio on stock returns of blue chip companies listed on the Indonesia Stock Exchange (IDX) during the 2018–2024 period. The market ratio is proxied by Price to Book Value (PBV), while dividend policy is proxied by Dividend Yield (DY) and Dividend Payout Ratio (DPR). The research method employed is quantitative with a causal approach. The sample consists of 14 blue chip companies with large market capitalization and high liquidity. Secondary data were obtained from the IDX, financial statements, and other financial publications, and were analyzed using multiple linear regression with the assistance of SPSS version 25. The results show that Price to Book Value (PBV) has no significant effect on blue chip stock returns, while Dividend Yield (DY) has a positive and significant effect and Dividend Payout Ratio (DPR) has a negative and significant effect on stock returns. However, simultaneously, the three variables significantly affect stock returns. These findings indicate that investors tend to value higher dividend yields but remain cautiously toward companies that distribute excessively large payouts as it may compromise long-term growth potential. Meanwhile, book-value-based valuation (PBV) does not serve as a primary consideration for investors in the short term, especially under market conditions influenced by external factors such as global economic uncertainty.

Unduhan

Data unduhan belum tersedia.

Referensi

Amrulloh, & Muis, MA (2019). Analysis of the impact of dividend announcements on price changes, abnormal returns, and stock trading volume before and after dividend distribution of Bank Pembangunan Daerah Jawa Timur Tbk in 2015-2017. Research, 1(1), 016–035. https://doi.org/10.35212/277623

Fahira, AY, & Haryadi, D. (2022). The influence of return on assets and dividend payout ratio on stock returns of companies incorporated in the LQ45 index listed on the Indonesia Stock Exchange for the 2019–2021 period. Journal of Accounting, Auditing and Accounting Information Systems, 6(3).

Kusuma, NPN (2023). Predicting blue chip stock prices on the IDX30 index using the recurrent neural network (RNN) algorithm.

Lestari, R.I., Tawe, A., Nurman, Ruma, Z., & Anwar. (2022). Optimizing Blue Chip Stock Portfolios Listed on the Indonesia Stock Exchange Using the Markowitz Model in the Covid-19 Pandemic Era. Journal of Economics, Management, and Accounting, 24(3), 618–623. https://doi.org/10.29264/jfor.v24i3.11423

Lintner, J. (1962). Dividends, earnings, leverage, stock prices and the supply of capital to corporations. The Review of Economics and Statistics, 44(3), 243–269.

Lubis, PR (2021). The Effect of Fundamental Factor Analysis on Blue Chips Stock Returns on the Indonesia Stock Exchange. Journal of Management Science (JMAS), 4(2), 43–52. https://doi.org/10.35335/jmas.v4i2.104

Nugroho, BY (2020). The Effect of Book to Market Ratio, Profitability, and Investment on Stock Return. International Journal of Economics and Management Studies, 7(6), 102–107. https://doi.org/10.14445/23939125/ijems v7i6p114

Nurhaliza, N., & Azizah, SN (2023). Analysis of capital structure, managerial ownership, company growth, and profitability on company value. JRKA, 9(1), 31–44.

Parhusip, NSB, & Udjang, R. (2019). The effect of dividend per share (DPS), earnings per share (EPS) and net profit margin (NPM) on stock prices in state-owned companies listed on the Indonesia Stock Exchange (IDX) for the period 2013-2017. Raswan Udjang JIM UPB, 7(2).

Pinfold, J.F., Wilson, W.R., & Li, Q. (2021). Book-tomarket and size as determinants of returns in small illiquid markets: the New Zealand case. Financial Services Review, 10(1–4), 291–302.

Putra, ANDA, & Lestari, PV (2016). The effect of dividend policy, liquidity, profitability, and company size on company value. E-Journal of Management, 5(2), 1338–1367.

Sugiyono. (2019). Quantitative, qualitative, and R&D research methods (Revised (2019)). Alfabeta, Bandung.

Sulaiman, LA, & Migiro, SO (2015). Effect of dividend decisions on stock price changes: Further Nigerian Evidence. Investment Management and Financial Innovations, 12(1), 330–337.

Veronica, M. (2022). The Effect of Return on Assets and Price to Book Value on Stock Prices. Ekonomica Sharia: Journal of Islamic Economic Thought and Development, 8(1), 1–22.