Security Price Movement In Response to Fasb Statement no.13

Arief Suadi , -

1981 | Disertasi | S3 Economics

The puspose of this study is to examine whether statement No. 13 “accounting for leases” provides information to investors. If it does, the information is likely to be reflected by a movement in the price of securities affected by statement. On the other hand, securities not affected by the statement will not show this particular movement.



The information content of statement no. 13, therefore, can be measured by comparing the security return of firm affected by the statement (treatment firms) and firm not affected by the statement (control firm). To enhance the comparison, both groups of firms (treatment and control) were sub grouped into low, medium, and high risk levels. Statement no. 13 is presumed to provide information to investors if at least one of the following hypotheses is rejected:



H 01: Mean residual returns of the treatment portfolio are equal to mean residual



returns of the control portfolio.



H 02: Variance-covariances of residual return of the treatment portfolio are equal to variance-covariances of residual returns of the control portfolio.



Because portfolios having multiple risk levels were used, the suitable statistical test of evaluate these null hypotheses are multivariate statistical tests. For this reason, HotellingÂ’s T2 test and boxÂ’s modified M test are used to evaluate the first null hypotheses and the second null hypotheses, respectively.



The result indicated that the first null hypotheses is accepted while the second one was rejected. Based on this findings, the study concluded that statement no. 13 provides information to investors.

Kata Kunci : Security Price Movement