POST EARNING ANNOUNCEMENT DRIFT PADA PORTOFOLIO SAHAM VALUE DAN SAHAM GLAMOUR

RIVIANT FIRMANSYAH, Prof. Marwan Asri M.B.A., Ph.D.

2019 | Tesis | Magister Manajemen

Penelitian ini bertujuan untuk menganalisis perbedaan fenomena post earning announcement drift pada dua saham value dan saham glamour yang berimplikasi saham value akan memiliki performa return lebih baik jika dibandingkan dengan saham glamour. Setelah menglompokkan saham value dan saham glamour, dilakukan pengelompokan earning announcement abnormal return positif dan negatif. Penelitian ini menggunakan sampel saham yang terdaftar di BEI periode 2015 hingga 2017. Pemilihan sampel ditentukan dengan metode purposive sampling. Pembentukan portofolio saham value dan saham glamour di kelompokkan berdasarkan nilai rasio Pertumbuhan, price to earning ratio, dan market to book value dan diambil 40% ratio tertinggi dan 40% rasio terendah dari keseluruhan populasi. Pengujian post earning announcement drift dilakukan menggunakan alat uji statistik yaitu uji beda (uji t) dengan tingkat signifikansi 5% pada rata-rata nilai post earning announcement drift. Hasil penelitian menunjukan terdapat perbedaan tingkat post earning announcement drift dari kedua portofilio. Pada kelompok EAAR positif dan negative, portofolio saham glamour menunjukan tingkat post eanrning announcement drift lebih positif jika dibandingkan dengan saham glamour. Artinya saham glamour bereaksi lebih baik pada pengumuman laba yang dilakukan oleh perusahaan jika dibandingkan dengan saham value. Hal ini menunjukan saham value sebagai saham yang dianggap memiliki return saham lebih baik dan murah jika dibandingkan dengan saham glamour tidak bereaksi lebih baik terhadap pengumuman laba.

This study aims to analyze the differences in the phenomenon of post earnings announcement drift in two stock value portfolios and glamor stocks that have implications for stock value to have a better performance return compared to glamor stocks. After grouping the value shares and glamorous shares, the grouping of earnings announcements made positive and negative abnormal returns. This study uses a sample of stocks listed on the IDX for the period 2015 to 2017. The selection of samples was determined by purposive sampling method. The formation of a stock portfolio value and glamor shares are grouped based on the value of the Growth ratio, price to earnings ratio, and market to book value and the highest 40% ratio is taken and the lowest 40% ratio of the entire population. The post earning announcement drift test was performed using a statistical test tool, namely a different test (t test) with a significance level of 5% at the average post earning value announcement drift. The results showed that there were differences in the post earning level announcement drift of the two portfolios. In the positive and negative EAAR group, the glamour stock portfolio shows the level of post-announcement announcement drift is more positive compared to value stock. This means that glamour shares react better to earnings announcements made by companies when compared to value stocks. This shows that value shares as stocks that are considered to have better and cheaper stock returns compared to glamor shares do not react better to earnings announcements.

Kata Kunci : Post earning announcement drift, pengumuman laba, value stock, glamour stock.