Pengaruh Dividen d Yield dan Price Earnings Ratio (PER) terhadap Return Saham Pada Level Investment Opportunity Set (IOS) yang Berbeda (Study pada Saham LQ 45 yang Tercatat di BEI)

Abstract

Company dividend policy has significant impact on shareholders or investors. It indicates that dividend policy of earnings utilization will be shareholders' right. The fact shows that a changing of this policy would influence shareholders' behavior. There are two type of behaviors such as high investment opportunity set`s stock and low investment opportunity set`s stock. The aim of this research are to investigate the impact of investment opportunity set to the dividend yield and price earnings ratio toward Stock Return. There are 13 stocks company of LQ 45 used in this research. Quartal financial reports of 2004-2008 is used in this research. The secondary data are taken from internet or web sources. Regression analysis were employed to examine the impact of those behavior to the Dividend Yield and Price Earnings. In this paper we report that two group of high investment opportunity set`s stock has DY*IOS = 0,602 and PER*IOS = 0,888 and low investment opportunity set`s stock has DY*IOS = 0,767 and PER*IOS = 0,769. Two hypothesis are not supported. Based on this finding, there is no impact of investment opportunity to the dividend yield and price earnings ratio toward stock returns. In addition, IOS and PER have the same measurement for the investment`s opportunity which is needed other powerful proxies to influences each variable.