Analisis Pengaruh Pengumuman Laporan Keuangan terhadap Return Saham di Bursa Efek Jakarta

Astuti, Tri (2000) Analisis Pengaruh Pengumuman Laporan Keuangan terhadap Return Saham di Bursa Efek Jakarta. Jurnal thesis, STIE YKPN.

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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 account 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.

Item Type: Thesis (Jurnal)
Additional Information: Tesis dapat dibaca di Perpustakaan dengan call number AST a 114/2007
Uncontrolled Keywords: information contents, CAR, market model, mean adjusted model, market adjusted model, fundamental variables
Divisions: Program Pasca Sarjana > Jurnal Tesis Magister Akuntansi
Depositing User: Pustakawan STIE YKPN
Date Deposited: 30 Jul 2019 03:38
Last Modified: 30 Jul 2019 03:38

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