RELEVANSI NILAI LABA DAN DIVIDEN (Studi Kasus di Bursa Efek Indonesia)

Abstract

The purpose of this paper is to investigate whether the earnings levels, earnings changes and lagged dividend yield are relevant to explain stock returns. The sample of research are 61 companies listed and active in Indonesia stock exchange for the period of 2009-2015. Model testing is performed using regression cross-section and panel data. The results showed that the variable of earnings levels, earnings changes and lagged dividend have a positive effect on stock return and theoretically support the value relevance of earnings and dividend. Keyword: Value Relevance, Earnings, Dividend, Stock Return