Dividend-Timing Model: Risk and Return Strategy

Nurfitri Desliniati, Wendy Kesuma, Dwi Islamiati Saputri

Abstract


This study examines the effectiveness of the dividend-timing investment strategy by analyzing returns and risks across various buy–sell windows and comparing them against the IDX Composite. Using an event study method, the strategy involves purchasing shares on the cum-dividend date and selling them on the ex-dividend date across seven defined horizons, ranging from the ex-dividend opening price to five days post-dividend. The results indicate that the dividend-timing model consistently generates positive returns across all horizons, outperforming the IDX Composite, which recorded negative returns during dividend periods. Furthermore, the model exhibits lower risk and offers stability amidst market volatility. The novelty of this research lies in its emphasis on risk-adjusted performance, providing empirical evidence that dividend-timing in the Indonesian capital market is not only more profitable but also more efficient in risk management compared to the overall market index.


Keywords


Cum-Dividend Date, Dividend-Timing Model, Ex-Dividend Date; Investment Risk, Stock Return

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References


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DOI: https://doi.org/10.17509/jrak.v14i1.93263

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