Effects of accounting information on excess return using Fama and French three-factor model in order to examine capital market reaction due to dividend announcement

Diaraya Diaraya, Gagaring Pagalung, Abdul Hamid Habbe, Ratna Ayu Damayanti

Abstract


This paper discussed the effects of accounting information on the excess return of shari’ah stocks and conventional stocks using Fama and French Three Factor Model, and examined the reaction of the capital markets as a result of the dividend announcement.
The results and data analysis had yielded 8 stock portfolios. It can be concluded that the AER variable movements had an immediate reaction to the movement, meaning that the dividend announcement brought the content of the information to the capital markets or it can be said that the Indonesian capital market conditions have started heading to a semi-strong form.


Keywords


Fama and french three factor model; Accounting information; Dividend; Excess return; Market efficiency

Full Text:

PDF


DOI: http://dx.doi.org/10.26487/hebr.v1i1.1160

Refbacks

  • There are currently no refbacks.


Copyright (c) 2019 Hasanuddin Economics and Business Review

Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License.

StatCounter - Free Web Tracker and Counter HEBR Stats  Flag Counter

__________________________________

HEBR : Hasanuddin Economics and Business Review
Faculty of Economics and Business, Universitas Hasanuddin
ISSN Print : 2549-3221 ISSN Online : 2549-323X

Jl. Perintis Kemerdekaan KM.10 Tamalanrea, Makassar 90245
Telp/fax. (0411) 583678
Email: hebrjournal@gmail.com/hebrjournal@fe.unhas.ac.id