RELEVANSI NILAI EARNINGS DENGAN PENDEKATAN TERINTEGRASI: HUBUNGAN NONLINIER
Abstract: The purpose of this
research is to identify nonlinear relationship between earnings and stock
return. This research provides an empirical examination of value relevance of
earnings used by investors in decision making, stressing on return model. This
research uses 41 manufacturing firms listed in Jakarta Stock Exchanges, which
are selected by using purposive sampling method. Those selected firms announced
their financial statement during 1998 until 2002. The hypothesis is tested by
NLS (Non Linear Least Square) regression model.
The research shows that regression coefficients of earnings are not
significants before, when, and after the announcement of financial statements,
so that H1 is rejected or there is no nonlinear relationship between earnings
and stock return, except in 2000 (V17), the regression coefficient of earnings
is significant, so that H1 is accepted or there is nonlinear relationship
between earnings and stock return. R2 (R-squared) along the observation period
(1999-2002) has changed. The results indicate that value relevance of earnings
has changed year to year.
Based on the result of the research, it can be concluded that earnings
information begin to lose their value relevance, so the investor is suggested
to use another information, such as cash flow information in decision making of
investment.
Keywords: earnings, stock
return, non-linear, value relevance
Penulis: Rahmawati
Kode Jurnal: jpakuntansidd050009
