AUTHORS:
Dwi Susilo
Teguh Djiwanto
Jaryono
ABSTRACT:
This research was event study that was conducted by observing the share return behavior for 11 observation days that were 5 days before the publication date, 1 day of the publication and 5 days after the financial report publication. The data used in this research was secondary data from JSE, with the samples of 53 manufacturer companies taken with the purposive sampling method. The data used in this research was the daily price of shares on closing and combination share price index (IHSG). The statistic method used was Kolmogorof Smirnov to know whether the data obtained have normal distribution, and to test the difference of share return before and after financial report publication the non-paametric statistic test that was wilcoxon-marked level test was used because the data collected has not normal distribution, and to test the difference of share return before and after financial report publication the non-parametric statistics test that was wilcoxon-marked level test was used because the data collected has not normal distribution. To know the Expcted return, two models were used, Adjusted Average model and Market model.
The result of the research showed that there was an increase on the share return after th e financial report publication. This fact proved that there was information content in the financial report publication. By using the wolcoxon-market leveling test, it is known that there was no abnormal return difference before and after financial report publication. This was proved by the Z counting value of –1,753 bigger than Z table with the trust level of 95 % was –1,96, so that Ho was acceptable.
Key Words : share return, expected return, financial report publication.
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