ANALISIS PENGARUH PENGUMUMAN LABA TAHUNAN TERHADAP RETURN SAHAM PADA PERUSAHAAN YANG TERDAFTAR DALAM INDEKS LQ45 DI BURSA EFEK INDONESIA JAKARTA

Abstract

This study analized the market reaction on earning disclosure which described the relation between earning announcement on stock returns. Using LQ45 index in 1 August 2008 to 31 January 2009, we used 11 days (5 days before and after the announcement and the day of the announcement). Market reaction was proxied by cumulative abnormal return (CAR) This study find the evidence to support the hypothesis that after 5 days earning announcement market react positively. It seems that earning iformation flow to investor tend to be slow than other informations.
Keyword: return, cumulative abnormal return, earning announcement