PENGARUH PENGUMUMAN LABA TERHADAP ASIMETRI INFORMASI
Diantimala,Yossi (Pembimbing:Dr.Jogiyanto HM,MBA), Dr.Jogiyanto HM,MBA
2001 | Tesis | S2 Accounting-
This research investigates earning announcement effect on information asymmetry. The conventional wisdom generally assumes that the ccountinginformation and firm's specific information release will reduce the level of information asymmetry. Some empirical researches was implied more finding that at the day of the firm publishes their financial statement, the level of information asymmetry perceived by market participant declines. This declining indicated by lower spread. The empirical researches also implied that for peri ode before earning announcement, the level of information asymmetry increase. It's caused by some investors have non-public information to anticipated earnings announcement. For peri ode after earning announcement, the level of information asymmetry increase too. This increasing affected by investors' ability difference to process earning announcement. This research examines wheather earnings announcement impact information asymmetry. Futher, the research examines the movement of the level of information asymmetry arround earnings announcement date, that is, before earning announcement, at the day of earnings announcement, and after earning announcement.
The number of companies taken as samples in the research cover about 63 companies, listed at Jakarta Stock Exchanged from 1994 until ] 996. The hypothetical test was conducted by implementing pooled data methode, taking a research peri ode 1994 till 1996. Bid-Ak Spread used to be base to get residual as proxy the level of information asymmetry (ASIN). Residual taken from regression Bid-Ask Spread and control variables, that is PRICE, TRANS, VARIAN, DEPTH. Then, to be sure that information asymmetry is true caused by earning announcement effect, this research regress earning announcement (proxied by earning changed (~EPS)) on ASIN (proxied by residual).The result show that control variables statistically significant effect spread,
and earning changed (~EPS) statistically significant effect informationasymmetry. This result supports the first hypothesis. The hypothetical test used t- test two different means show that the day of financial statement announced by the firms, information asymmetry normal. For periode before and after earning announcement, information asymmetry decrease. This result show inconsistence between result and second hypothesis. It's mean the result not support second hypothesis (2a, 2b, 2c).
Kata Kunci : earning announcement, Bis-Ask Spread, information asymmetry
