KEPEMILIKAN INSIDER, PRIOR, DAN PRICE SEBAGAI ESTIMATOR ABNORMAL RETURNS (STUDI PADA PERUSAHAAN PEMECAH SAHAM DI BEJ)
Abstract
The purpose of this research was to examines and evidence empirically the effects
of stock split announcement on abnormal return; effects of insider ownership, prior and
price on cumulative abnormal return (CAR) at period of split around for Jakarta stock
exchange (JSE)-listed companies during 1995 to 1997. Market-adjusted model is used
estimate the abnormal return. Statistic average test and paired samples test abnormal
return is used to indicating the market react to split. The result show stock split
announcement at the significant effected to the abnormal return and that factors (insider
ownership, prior and price) at the significant effected to the cumulative abnormal return.
Using analysis of multiple regression the research found that cumulative abnormal return
is dependent variable and ownership insider, prior, and price at variable independent.