ANALISIS PENGARUH PENGUMUMAN LAPORAN KEUANGAN TERHADAP RETURN SAHAM DI BURSA EFEK JAKARTA (BEJ)
ABSTRACT: The objectives of
this study are: 1) to examine the information contents of income statements
dated December 31, showed by significant abnormal returns. 2) to investigate
the influence of fundamental variables on abnormal returns. The samples used in
this study are 50 manufacturing firms listed at BEJ, which are actively traded
between 2004-2005. The samples are recognized by purposive random sampling
method. Six variables used as fundamental variables are ac-count receivables
(PD), inventory (PERSD), gross profit margin (LK), earnings per share (EPS),
operating cash flows (OCF) and return on assets (ROA) variables, and one
control variable that is size. PD, PERSD, and LK variables are measured by two
years averaging model. EPS variable are measured by current period EPS minus
EPS one year before current period, divided by stock price one year before
current period. While OCF and ROA variables are measured by annual percentage
change. Size is proxied by natural logarithm of total assets. Multiple regressions
are used to test the hypotheses in order to know the influence of each
fundamental variables on the cumulative abnormal returns (CAR). Three models
used to measure CAR: market model, mean adjusted model, and market adjusted
model. The examining results of information content for 2004 using one sample
t-test showed that CAR measured by mean adjusted model is significant at
p-value 0.01. While for 2005, CAR was significant at p-value 0.1 (mean adjusted
model). On the other hand, CAR market model and market adjusted model are not significant
both for 2004 and 2005. The regression results for 2004 and 2005 also show that
using mean adjusted model at operating cash flows (OCF) variable affect the
magnitude of CAR positively significant, while return on assets (ROA) variable
affect the magnitude of CAR positively significant for 2004.
Keywords: Information
Contents, CAR, Market Model, Mean Adjusted Model, Market Adjusted Model, Fundamental
Variables
Penulis: Tri Astuti
Kode Jurnal: jpmanajemendd100143
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