Reaksi Investor Terhadap Publikasi Rasio-Rasio Keuangan Good News dan Bad News pada Perusahaan LQ 45 yang Terdaftar di Bursa Indonesia (BEI)
RAVISKA DEWI ARINI (Pembimbing: Sumiyana, Drs., M.Si.), Sumiyana, Drs., M.Si.
Keterbatasan utama dari hasil studi empiris adalah belum menguji bagaimana reaksi investor terhadap rasio-rasio laporan keuangan, khususnya terhadap rasio-rasio keuangan good news (GN) dan bad news (BN). Tujuan penelitian ini adalah untuk menginvestigasi masalah tersebut.
Hasil penelitian mengindikasikan bahwa investor cenderung merespon publikasi rasio-rasio keuangan GN dan BN. Studi ini melihat bahwa tidak ada perbedaan yang signifikan dalam reaksi investor terhadap rasio-rasio keuangan GN dan rasio-rasio keuangan BN. Dilihat kecepatan dari reaksi investor, investor cenderung bergerak lambat dan terlalu lama untuk menyeap informasi-informasi dari rasio laporan keuangan. Penelitian ini mengindikasikan bahwa, 1). Adanya anomaly pasar, yaitu investor justru bereaksi secara positif dan signifikan publikasi rasio-rasio keuangan GN dan BN, dan 2). Bursa Efek Indonesia belum efisien secara informasi (informationally semi-strong form) maupun secara keputusan (decisionally semi-strong form).
The main limitation of most empirical studies pertaining to the usefulness of financial statements release is that they did not examine yet the market reaction to the good and bad news financials ratios. The objective of this study is to investigate that issue.
The results show that the Indonesia stock exchanges investors respond to the firms good news and bad news financial ratios releases. Statistically, however, this study find that there is no a significant difference between investor reaction to the good and bad news financial ratios announcements. From the speed and precision of the investor reaction, it appears that investors react slowly and too long to absorb the good and bad news of financial ratios information. They do not also precise in responding to the bad news financial ratios (i.e respond to the bad news financial ratios as a good news). The findings posit two indications: (1) there is a market anomaly with respect to the investor reaction to the good and bad news financial ratios announcements, and (2) the Indonesia Stock Exchange is not effiucient yet in informationally semi-strong form and decisionally semi-strong form.
Kata Kunci : good news, bad news, financial ratios, explanatory power and market anomaly,
