Pengaruh Pengumuman Earnings Terhadap Abnormal Return Saham

Abstract

Investors invest in capital market to get return. In order to get it, they must make
investment decision (buy, hold, or sell stock) based on available information. One of
the information that is available in capital market is earnings information. We can
infer that earnings announcement has information content based on market reaction
showed by significant abnormal return in the event period. Besides that, based on
speed of market reaction to earnings announcement we can know if Indonesian cap-
ital market is efficient or not. This research also study how significant of earnings
announcement to stock’s abnormal return. Finally, this research compare abnormal
return between group of sample who announced increase in profit and group of
sample who announced decrease in profit.
Keywords: earnings, abnormal return