Overreaction Market Analysis, Dividend Policy, Firm Size, and Seasonality to Price Reversal Phenomena

Sulaeman Rahman Nidar ()
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Sulaeman Rahman Nidar: Lecturer of Economic and Business Faculty, Padjadjaran University, Indonesia Author-2-Name: Nurul Ulfa Author-2-Workplace-Name: Alumnae of Master Science of Management Padjadjaran University, Indonesia

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Abstract: "Objective � In an efficient capital market, the price of a stock reflects the outstanding and relevant information. However, some studies find that is the capital markets are not always efficient. Sometimes investors put too high a price, good news and vice versa. That�s why there are variety of capital market anomalies such as the price reversal. This research, test share return following one day a big change of the share price in the Indonesia capital market. Methodology/Technique � The unit of analysis in this study are the stocks that listed in the Jakarta Islamic Index. Then we used purposive sampling method for sampling and 21 samples obtained shares. These samples, then classified into 11 shares 10 shares winner and a loser. Analysis the user is paired sample t-test and doubled regression. In addition, double regression analysis with market overreaction, dividend policy, firm size and the January effect as independent variables and price reversal as the dependent variable. Findings � Regression test showed that in the group winner stocks, market overreaction, firm size and January effect have an effect on signs of price reversal. And dividend policy has no significant influence. For the group of loser stocks, market overreaction, dividend policy, firm size and January effect affect both simultaneously and partially on price reversal. Novelty � The study contributes decision making of investors in Indonesia financial market with its evidences."

Keywords: Market Overreaction; Dividend Policy; Firm Size; January Effect; Price Reversal. (search for similar items in EconPapers)
JEL-codes: G11 G14 M41 (search for similar items in EconPapers)
Pages: 5
Date: 2017-04-11
New Economics Papers: this item is included in nep-sea
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Published in Accounting and Finance Review, Volume 2, Issue 2

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