THE ANALYSIS OF FACTORS THAT HAVE IMPACT ON INITIAL RETURN: USING DIVIDEND DISCOUNT MODEL (DDM) APPROACH

SETYANI, RIMA ANANDA (2018) THE ANALYSIS OF FACTORS THAT HAVE IMPACT ON INITIAL RETURN: USING DIVIDEND DISCOUNT MODEL (DDM) APPROACH. S1 thesis, Universitas Mercu Buana Jakarta.

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Abstract

The phenomena of a high Initial Return had motivated some researchers to analyze the factors that have impact on the Initial Return using the external factors of the company. Moreover, some researches were conducted to analyze the internal factors that have impact on the historical stock return, not the Initial Return, using one of the components in the Dividend Discount Model (DDM) theory. As far as the researcher had discovered, researcher had not found the previous research that analyze the factors that have impact on Initial Return using the complete components in DDM theory. Hence, the purpose of this research was to examine the factors that have impact on Initial Return using the internal factors of the company, specifically using three components in the DDM (Dividend, Dividend Growth, and Expected Return). For this purpose, the sample of 63 companies out of 106 companies that go public in the period of 2012 to 2016 listed in Indonesia Stock Exchange were selected. This research used cross sectional multiple regression because the data comes from various companies. The result of this research showed that the Dividend has a negative impact on the Initial Return, a big distribution of Dividend will decrease the profit reinvested to the company and make the company does not have a good prospect in the future. The Dividend Growth has a positive impact on the Initial Return, the higher Dividend Growth reflect a good performance of the company and make the company has a good prospect in the future. There is no significant impact between Expected Return and the Initial Return found due to the IPO companies have not have historical systematic risk as the component of the Expected Return, and this research used Hamada (leveraged) beta which might be too complex to calculate and make the investors might be not considering the Expected Return. Keywords: Initial Return, Dividend, Dividend Growth, Expected Return, Dividend Discount Model

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