OPTIMALISASI RETURN INVESTASI PADA PERUSAHAAN BLUCHIP DI SEKITAR CUMDATE DIVIDEN

Abstract

This study aims to determine whether there is an investor reaction before and after the dividend distribution cumdate. This study also aims to identify the most optimal day in making investment decisions during the dividend distribution period of blue-chip issuers on the Indonesia Stock Exchange. The sample in this study was 50 dividend distribution events in 15 companies during 2021 - 2024. The variables analyzed include the Advance-Decline Ratio (ADR), Return Volatility, and Share Turnover. The analysis was carried out using the Paired Sample T-Test, K-Means Clustering to group days based on their characteristics, and Event-Based Return Optimization (ERO) to identify the best days to buy and sell shares. The results of the Paired Sample T-Test show that there is a significant difference in return volatility between the estimate window, pre-cumdate and post-cumdate. Through K-Means clustering, the days in the event window period are divided into three groups based on the ADR, volatility, and turnover patterns. Cluster 1 = high volatility and turnover, low ADR. Cluster 2 = high volatility, turnover, ADR. Cluster 3 = turnover, low volatility, moderate ADR. Event-Based Return Optimization (ERO) simulation shows a significant difference in market activity patterns before and after the cumdate, that the strategy of buying and selling shares on certain days between cumdates will provide optimal returns. Investors can use this to prepare investment plans during the dividend distribution period.