Salah satu event yang hendak diuji kekuatan muatan informasinya adalah peristiwa pengumuman perusahaan yang mengalami penurunan laba terhadap return saham. Permasalahan ini dianggap menarik karena kebanyakan, investor kurang tertarik untuk memilih saham-saham dari perusahaan yang mengalami penurunan laba. Tujuan penelitian ini selain untuk mengetahui reaksi harga saham di Bursa Efek Jakarta terhadap peristiwa pengumuman penurunan laba, juga untuk mengetahui apakah terdapat perbedaan rata-rata abnormal return (average abnormal return) dalam perdagangan saham. Sampel saham yang dipilih dalam penelitian ini adalah sahamsaham yang tercatat di Bursa Efek Jakarta. Untuk menguji kandungan informasi (information content) dari peristiwa tersebut, digunakan metode event study. Hasil pengujian tersebut menunjukkan bahwa Bursa Efek Jakarta bereaksi negatif terhadap peristiwa pengumuman penurunan laba . Hal ini terlihat dari adanya hasil pengujian abnormal return negatif yang memberikan tingkat signifikansi sebesar 99%, melebihi dari yang ditetapkan yaitu 95%.

One of the events that would be tested for the strength of its information load is the company decreasing earning announcement which related to its stock return. This study was interesting because of the most of investors were not interested in the company that announced its decreasing earning which meant it does not well performed. In otherwise, it was bad news. This study is not only aimed to find out price reaction toward decreasing earning announcement event in Jakarta Stock Exchange, but it tries to find out whether there is distinction in its Average Abnormal Return (AAR). Stocks samples that were chosen in this study were those have listed in Jakarta Stock Exchange. This study uses event study method to examine information content in the company’s decreasing earning announcement event. The examination shows that JSX was responded to the decreasing earning announcement with negative reaction. It can be seen from its results that support to the significance level of 99% the negative abnormal return which more than the minimal significance level at 95% that stated.

Kata Kunci : Return Saham,Penurunan Laba,Abnormal Return,Pengumuman Laporan keuangan, Event study, earning announcement, abnormal return