Analisis Komparasi Antara Pendekatan Firm-Specific dan Pendekatan Market-Wide Regime Shifting Behavior: studi empiris JSX 2000-2006

Susilowati, Kristanti, Drs. Sumiyana, M.Si., Ak.

2007 | Skripsi | S1 Extention - Accounting

Penelitian-penelitian pendahulu menemukan bahwa volatilitas return disebabkan oleh laba tak terduga. Sebab akibat ini dapat dikategorikan ke dalam dua pendekatan, yaitu pendekatan firm-specific (Skinner & Sloan, 2002; Lopez & Rees, 2001), dan market-wide regime shifting behavior (Conrad, Cornell & Landsman, 2002). Hasil studi empiris pada penelitian-penelitian pendahulu menemukan bahwa pendekatan firm-specific lebih kuat didukung daripada market-wide regime shifting behavior. Semua hasil studi empiris penelitian pendahulu diperoleh dari pasar modal dengan bentuk efisiensi kuat. Tujuan penelitian ini adalah untuk melakukan analisis komparasi antara kedua model pendekatan yang disebabkan oleh laba tak terduga dalam pasar modal yang sedang berkembang, Bursa Efek Jakarta. Sampel adalah perusahaan-perusahaan yang termasuk dalam kategori indeks LQ 45 minimal tiga kali selama tahun 2000-2006. Penelitian ini merekomendasikan bahwa pendekatan firm-specific memiliki dukungan empiris yang lebih kuat. Keywords: laba tak terduga, Edward Benson Ohlson model, reaksi asimetri, firm-specific approach, market-wide regime shifting behavior, cumulative abnormal return, nilai intrinsik.

Prior researches found that return volatility are caused by unexpected earning. This causal could be categorized in two approach, that are firm-specific approach (Skinner & Sloan, 2002; Lopez & Rees, 2001), and market-wide regime shifting behavior (Conrad, Cornell & Landsman, 2002). Prior empirical results investigated that firm-spesific model supported stronger than the other one. All prior empirical result were from strong efficient capital market. This research goal is to compare both two models that are caused by the unexpected earnings in emerging capital market, Jakarta Stock Exchange. Samples of the data are the firms listed in LQ 45 indexes in at least three times for the year of 2000-2006. This research recommends that firm specific model has empirically stronger than market-wide regime shifting model. Keywords: unexpected earnings, earnings surprises, firm-specific approach, market-wide regime shifting behavior, Edward-Benson-Ohlson (EBO) model, assymetric reaction, cummulative abnormal return, intrinsic value.

Kata Kunci : Firm-Specific; Market-Wide Regime Shifting Behavior; unexpected earnings, earnings surprises