Kemahiran Investor dan Pola Return Saham Setelah Pengumuman Laba: Studi empiris Pada Perusahaan Manufaktur Yang Terdaftar di BEJ
Marfuah (Pembimbing: Dr. Indra Wijaya Kusuma, MBA), Dr. Indra Wijaya Kusuma, MBA
ABSTRACT
The purpose of this study is to test the relationship between investor sophistication and post-eanings announcement drift. The study employs the proportion of firm shares held by institutional investors as the proxy for investor sophistication. On the basis of the data of companies listed in the Jakarta Stock Exchange during the period of 1995 and 1996, the empirical test shows that there was a negative relationship between investor sophistication and post-eanings announcement drift. This result indicates that sophisticated investors reduce post-earnings announcement drift. Our findings imply that the trading activities of unsophisticated investors are the cause of the predictability of stock returns after earnings announcements.
Key Words: Post-earnings announcement drift, Institutional ownership, Investor
sophistication, Market effeciency, Transaction costs
Kata Kunci : Efisiensi Pasar Modal, Mekanisme Pencapaian Efisiensi Pasar,
