ANALISIS KORELASI INVESTMENT OPPORTUNITY SET TERHADAP RETURN SAHAM PADA SAAT PELAPORAN KEUANGAN PERUSAHAAN
ABSTRACT: The objective of
this research is to examine correlation between IOS as growth proxy of a
company and stock return. IOS proxy variables as growth proxy in this re-search
are MKTBASS,MKTBKEQ, CAPBVA, and EPS/ Price Ratio. These variables are
correlated with stocks returns that are surrogated by CAR (cumulative abnormal
return) in around date of final statement publication for each company. CAR
computation use corrected stock beta by using Fowler and Rorke (1983) method,
with four days before and after correction period. Therefore, stock return
computations that are accumulated during event period use corrected beta. Correlation
test are done by Kendall”s Tau_b non parametric correlation model. Sample is
chosed by purposive sampling method during 3 years observation. Assuming that
IOS proxy variables are valid growth proxies, and one of sampling criteria is
the company does not have null return during event period and return estimation
periods The results of non parametric correlation test with Kendall”s Tau_b
test indicate that MKTBASS has significant correlation with CAR. MKTBKEQ and CAPBVA
have marginal significant correlation with CAR.EPS/Price ratio does not has
significant correlation with CAR. These mean that generally these three IOS
proxy variables that are stated as the most valid proxies as growth proxy, have
correlation with opportunities to obtain abnormal return. Therefore, these IOS proxies
have information content that can be used by investors as decision making tool
in capital market because these can give positive signal to stock return. EPS/price IOS proxy
has insignificant negative correlation with CAR, so this proxy does not
influence stock abnormal return.The result of this research contributes for
capital market investor and also for the
previous researchs that IOS proxy variables are rigorous and have relation to
abnormal return.
Keywords: investment
opportunity set, IOS Proxy, Nonparametric Correlations Kendall”s Tau_b, Stock Beta,
Abnormal return and Cummulative abnormal return
Penulis: Agustina M.V
Norpratiwi
Kode Jurnal: jpmanajemendd070026
Pesan jurnal yang anda butuhkan disini.... >>> KLIK DISINI <<<
