SIGNIFIKANSI DAN IMPLIKASI PERBEDAAN SPESIFIKASI RETURN DALAM PENELITIAN PASAR MODAL [JURNAL]

ABSTRACT
The purpose of this research is to determine the statistical
significance and implication of various specifications of stock return.
Three specifications are considered, i.e. return that (1) ignores
dividend, (2) ignores the proceed from further investment of
dividend, and (3) assumes that dividend is reinvested in the same
stock. The differences among the three specifications are analyzed
under one, four, and seven years of investment periods.
Using a sample consisted of 102 companies listed on the
Indonesian Stock Market during the seven year period starting from
the beginning of 2001, it is found that each return specification
results in return numbers that in general are statistically different
from each other. The only insignificant difference is the difference
between return that ignores proceed from further investment on
dividend and the one that assumes that dividend is reinvested in the
same stock for one year of investment in stock.
The implication of the differences in returns calculated under
each specification is further analyzed using an association study
that regresses market return on accounting return (ROE) in the same
one, four, and seven year periods of investment. Each return
specification produces different R2s and betas. Statistically
significant differences are found in the analysis with four and seven
year periods of investment, except for the difference between returns
that, again, ignores the proceed from further investment on dividend
and the one that assumes that dividend is reinvested in the same
stock for seven years of investment in stock.
The conclusion of this research is that ignoring dividend in
return calculation might lead to inaccurate results. The impact of
ignoring further investment of dividend is somewhat less severe
than the impact of ignoring dividend altogether.

Keywords: return specification, dividend, reinvestment, statistical
difference

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