The Effect Of Company's Profit Loss Publication On Stock Return

Abstract

Reza, (2006). The Effect Of Company's Profit Loss Publication On Stock Return. Yogyakarta: Department of Accounting. International Program. Economics Faculty Islamic University ofIndonesia. This research aims to explain the effect of unexpected earning onthe stock return around the publication date. The change of the stock return can be seen from the information content on profit (loss) announcement. If there is information content on the profit (loss) announcement, it will be followed by the significant change of abnormal return before and after the announcement day. Then, the problem of this research can beformulated: Whether there is any effect of unexpected earning onthe stock return around the publication date or not. The research population is go public companies listed inJakarta Stock Exchange that publish their financial statements. Financial data and companies' stock price analyzed are taken from the population from which the data can be accessed at Information Center of Capital Market - Jakarta Stock Exchange Corner within the year of 2000 - 2003. The analysis uses a single linear regression to analyze the information contenton financial statement publication. Based on the test result, it shows that the single linear regression test results R square value of 0,074. This means that the change ofprofit (loss) status published by the companies can explain its effect on abnormal return of 7,4%, while its remain of 92,6% is explained byother factors beside profit (loss) publication. The value oft test is 1,717 and its significance is 0,094. Because t test > t table is 1,660, it can be concluded that there is an effect of profit (loss) publication on the average of abnormal return. However, its effect is not significant. This is showed by its significancethat is 0,094 (>0,05). The phenomenon above can describe that there is information content on the financial statement publication. This is based on the understanding concept that if there is information content onan event conducted by a company, it will be followed by the change ofabnormal return significantly. The concept explains that anevent or an activity conducted by a company has information content. This will be a reason for investors to react significantly. As a conclusion, a significant reaction to the companies that publish profit and loss has been a phenomenon explaining that investors' behavior in Indonesian stock market will be effected by the company events. One of them is related to profit (loss) publication.