Event Study: Pengumuman Laba Terhadap Reaksi Pasar Modal
(Study Empiris, Bursa Efek Indonesia 2004-2006)
Binsar I. K. Telaumbanua,* dan Sumiyana
Universitas Gadjah Mada
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