The Impact of earnings announcement and cash flows announcement to stock return and trading activity

NUGROHO, Ardi, Eduardus Tandelilin, Prof.Dr.,MBA

2007 | Tesis | Magister Manajemen

This research investigates the impact of earnings announcement and cash flows announcement to stock return and trading activity. Material information will affect investors in their investment activity. Earnings announcement and cash flows announcement are public information obligated to public company. Previous researches have found different result in investigating the earnings announcement effect. This research also investigates the materiality of earnings and cash flows announcement for investors. Increasing in trading activity can indicate that the announcements have an impact to stock return. This research can help investors to get better understanding in doing investment activity especially in announcement period. This research uses event study method, to see the impact of earnings announcement and cash flows announcement to stock return and trading activity. This research uses abnormal return to see the impact of announcements to stock return. This research uses one sample test and also paired test to investigate the impact of earning and cash flows announcement. This research uses 1%, 5% or 10% confidence level in testing the hypothesis. This research uses ten days before and after earnings and cash flows announcement for window period. The result shows a significant impact, at 1%, 5%, and 10% confidence level, of earnings announcement and cash flows announcement. The result also shows significant impact at 1% confidence level in trading activity. The result shows that there is no significant difference at any confidence level confidence level between impact of earnings announcement and cash flows announcement.

Kata Kunci : Return Saham,Pengumuman Laba Rugi dan Arus Kas, Event Study, Abnormal Return, Trading Activity, Earnings Announcement, Cash Flows Announcement