EVENT STUDY: PENGUMUMAN LABA TERHADAP REAKSI PASAR MODAL (STUDY EMPIRIS, BURSA EFEK INDONESIA 2004-2006)
ABSTRACT: This paper examines
the investor reaction to earnings announcement around publication dates. This
paper divides into two categories. There are the positiveearning announcements
which include EPS increasing, and the negative-earning announcements which
consist EPS decreasing. The examination of content and efficient market
hypothesis used event study. We propose one hypothesis as positifearnings
announcement and negative-earnings announcement correlate to stock price
reactions in IDX. The sample are the 29 companies from LQ 45 that release the
annual earnings of year 2004-2006. The earnings announcement date is taken from
Indonesian Securities Supervisory Agency (Bapepam). Statistical test with
standard error of estimate (SEE) was used to test the abnormal return during
event periods. The results show that investor do not respond significantly to
the positive and negative earnings announcement at the announcement dates. In
addition, earning announcements suggest information contents to capital market.
Finally, the empirical result is contrary to 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, stock
price reaction, efficient market, positive and negative earnings announcements,
good and bad news
Penulis: Binsar I. K.
Telaumbanua, Sumiyana Sumiyana
Kode Jurnal: jpmanajemendd080125
