Updates @EkyDakka.Com (Jurnal SNA 6 - 13)


Click Flag to Translate Bahasa Indonesia 中文(简体) Português English (US) Français Deutsch Italiano 日本語 한국어 Русский Español

Friday, November 26, 2010

Event Study: Pengumuman Laba Terhadap Reaksi Pasar Modal

Event Study: Pengumuman Laba Terhadap Reaksi Pasar Modal
(Study Empiris, Bursa Efek Indonesia 2004-2006)

Binsar I. K. Telaumbanua,* dan Sumiyana
Universitas Gadjah Mada

ABSTRACT

This paper examines the investor reaction to earnings announcement around event period of earnings announcements date. This paper divide into two categories, First, the positive-earning announcement include increasing of earning per share (EPS) and second, the negative-earning announcements consist of decreasing of Earning Per Share (EPS). The examination of content and efficient market hypothesis used Event Study. We propose one hypotheses as positif-earnings announcement and negative-earnings announcement correlate to reaction of stock Price in IDX. Dependent variable is stock return and independent variable is market return. The sample are the 29 companies from LQ 45 that release the annual earnings of year 2004-2006. The earnings announcements date is taken from Indonesian Securities Supervisory Agency (Bapepam). Statistical test with standard error of estimate (SEE) was used to test the significance of abnormal return during event periods of earnings announcements.
The results show that investor responds significantly to the positive and negative earnings announcement at the announcement dates. And also, earning announcement seen give information contents to capital market. Finally, the empirical result is contrary the finding of Ball and Brown (1968), Foster (1977), and Hayn (1995). However, this evidence supports the Lako’s studies (2002a, 2002c).

Keywords: event study, reaction of stock price, market efficient, positive-earning announcement, negative earnings announcements, good news and bad news
_____________
*) adalah lulusan Fakultas Ekonomika & Bisnis, Universitas Gadjah Mada

1. PENDAHULUAN
The capital market is one part of the financial markets functioning economy and finance functions (Husnan, 1994). Capital markets in the economic function is to allocate funds efficiently from parties who have the funds to the party in need of funds, while the finance function can be demonstrated by the acquisition of reward for those who provide funding in accordance with the investment characteristics of their choosing. Capital market to be one option for investors in the funds they have. In this case the information is something very important, because an investor before investing their funds in capital markets by buying shares traded she must understand and believe that all the information available and the mechanism of trade in the stock market can be trusted, no one party had manipulated the information and trade.

The success of an enterprise viewed from the value of the company. At companies that go public, the value of the company viewed its stock price. Stock prices reflect the value of the company when the stock market in an efficient state. Efficient markets can show that stock prices reflect the full (fully Reflect) the available information, this information may include the company's annual report, the distribution of dividends, stock splits, stock market analysts' reports, and so forth. Efficient capital market makes share prices tend to be fair and truly reflect the value of stocks (companies) in question until there are no stock prices are overvalued or undervalued. If true stock prices in the capital market in Indonesia overvalued or undervalued means of capital market in Indonesia is not yet efficient, in addition to an efficient capital market where all relevant information received by investors and the information was already predicted in the stock.
....................

Jurnal Simposium Nasional Akuntasi XI (SNA 11)
Download Link:
http://www.ziddu.com/download/12649973/paper12.doc.html

No comments:

Post a Comment