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Stock Return

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DAMPAK PUBLIKASI LAPORAN KEUANGAN TERHADAP
PERILAKU RETURN SAHAM DI BURSA EFEK JAKARTA
Oleh : Dwi Susilo, Teguh Djiwanto, Jaryono
Abstract
This research was event study that was conducted by observing the share return behavior for 11 observation days that were 5 days before the publication date, 1 day of the publication and 5 days after the financial report publication. The data used in this research was secondary data from
JSE, with the samples of 53 manufacturer companies taken with the purposive sampling method. The data used in this research was the daily price of shares on closing and combination share price index (IHSG). The statistic method used was Kolmogorof Smirnov to know whether the data obtained have normal distribution, and to test the difference of share return before and after financial report publication the non-paametric statistic test that was wilcoxon-marked level test was used because the data collected has not normal distribution, and to test the difference of share return before and after financial report publication the non-parametric statistics test that was wilcoxon-marked level test was used because the data collected has not normal distribution. To know the Expcted return, two models were used,
Adjusted Average model and Market model.
The result of the research showed that there was an increase on the share return after th e financial report publication. This fact proved that there was information content in the financial report publication. By using the wolcoxon-market leveling test, it is known that there was no abnormal return difference before and after financial report publication. This was proved by the Z counting value of –1,753 bigger than Z table with the trust level of 95 % was –1,96, so that Ho was acceptable.
Key Words : share return, expected return, financial report publication.

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Pendahuluan
Pasar modal adalah wadah alternatif bagi pemilik modal (investor) untuk melakukan penanaman modal (investasi). Dalam pasar modal tersedia berbagai “financial assets” yang menawarkan tingkat keuntungan dan risiko yang berbeda. Para pemilik modal atau investor tersebut bebas memilih jenis financial assets yang diinginkannya, tentu saja dengan harapan bahwa investasi tersebut mampu memberikan keuntungan yang optimal kepada mereka. Bagi investor yang tidak mempunyai kesempatan investasi dalam riil assets dan mempunyai kelebihan dana mereka dapat melakukan investasi dalam financial assets, sebaliknya bagi investor yang mempunyai kesempatan investasi dalam riil assets tapi tidak mempunyai dana mereka dapat memperoleh dana dengan emisi saham melalui pasar modal.
Pengertian pasar modal menurut Undang-undang Nomor 8 Tahun
1995 adalah Bursa efek yang merupakan pihak yang menyelenggarakan dan menyediakan sistem atau sarana untuk mempertemukan penawaran jual dan beli efek pihak-pihak lain dengan tujuan memperdagangkan efek diantara mereka. Pasar modal di Indonesia sejak tahun 1997 mengalami perkembangan yang cukup pesat, hal ini dapat dilihat dari 56 emiten pada tahun 1989 menjadi 288 pada tahun 1999 (Viktor Purba, 2000). Dari peningkatan tersebut tampak bahwa pasar modal dapat dijadikan sebagai alternatif penghimpun dan penyalur dana yang cukup menarik.
Laporan keuangan adalah salah satu sumber potensial yang lazim digunakan oleh para investor sebagai dasar pengambilan keputusan penanaman modal, adanya informasi yang dipublikasikan akan merubah keyakinan para investor hal ini dapat dilihat dari reaksi pasar, harga saham, dan reaksi tingkat keuntungan, laporan keuangan dikatakan mempunyai kandungan informasi apabila dengan dipublikasikannya laporan keuangan akan menyebabkan para investor bereaksi untuk melakukan penjualan atau pembelian saham, selanjutnya reaksi tersebut akan tercermin dalam perubahan return saham diseputar tanggal publikasi laporan keuangan.
Masalah yang diteliti adalah reaksi pasar yang ditimbulkan oleh adanya publikasi laporan keuangan berupa gejolak return saham, jadi dalam penelitian ini akan diamati reaksi pasar, yaitu adanya perubahan return

98 SMART : Vol. 2 No. 2 Mei 2004 : (p.97-110)

saham disekitar tanggal publikasi laporan keuangan dan selanjutnya akan dianalisis ada tidaknya abnormal return disekitar tanggal publikasi laporan keuangan, dengan demikian masalah yang akan diteliti selanjutnya dapat dirumuskan dalam bentuk pertanyaan sebagai berikut :
1. Apakah perilaku return saham mengalami kenaikan atau penurunan sesudah publikasikannya laporan keuangan
2. Apakah terdapat perbedaan secara signifikan atas return saham antara sebelum dan sesudah publikasi laporan keuangan”.
Metode Penelitian
Definisi Operasional Variabel
1. Harga saham adalah harga saham harian pada closing price dalam periode pengamatan, yaitu lima hari sebelum publikasi,satu hari saat publikasi dan lima hari setelah publikasi.
2. Return saham : adalah merupakan pendapatan perlembar saham yang dinikmati oleh investor atas suatu investasi yang dilakukan. Return saham dihitung dengan rumus sebagai berikut :
Pit - Pit – 1
Rit =
Pit - 1
Keterangan :
Rit
=
Pit
=
Pit – 1
=

Return saham perusahaan ke-i selama periode ke-t
Harga saham perusahaan ke-i pada periode t
Harga saham perusahaan ke-i pada periode t -1

3. Expected Return adalah return yang diharapkan oleh investor di waktu yang akan datang, yang dihitung dengan rumus sebagai berikut :
a) Model Rata-rata Yang Disesuaikan (Mean-adjusted Model)
Model ini menganggap bahwa Expected Return bernilai tetap atau konstan yang besarnya sama dengan rata-rata return realisasi sebelumnya (jumlah return realisasi dibagi dengan jumlah hari) selama

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99

periode estimasi (estimation period). Expected Return dihitung dengan rumus sebagai berikut : t4 E (Rit) =

ΣtAR i= it

3

T

Keterangan :
E (Rit)
=
Rit
T

return saham ke-i yang diharapkan pada periode peristiwa ke-t
= return realisasi saham ke-i pada peiode istimasi ke-t
= lamanya periode estimasi, yaitu dari t3 sampai t4.

b) Model Pasar (Market Model).
Return yang diharapkan dengan model pasar dapat ditentukan dengan menggunakan tehnik regresi sebagai berikut :
E(Rit) = αi + βi Rmt+ εit
Keterangan :
E(Rit) = return saham ke-i yang diaharapkan pada waktu ke- t αi = Konstanta βi = Beta saham perusahaan ke-i pada periode ke-t
Rm,t
= Return pasar pada periode ke-t, yang dapat dihitung dengan rumus = (IHSGt – IHSGt-1)/ IHSGt-1 dengan IHSG adalah
Indeks Harga Saham Gabungan. εi,t = kesalahan acak sekuritas ke-i pada periode estimasi ke-t
4. Abnormal Return.
Abnormal Return merupakan selisih antara return sesungguhnya dengan return yang diharapkan, yang dapat dirumuskan sebagai berikut :
ARit = Rit – E (Rit)

100 SMART : Vol. 2 No. 2 Mei 2004 : (p.97-110)

Keterangan :
ARit = abnormal return saham i pada periode hari ke-t.
Rit
= return sesungguhnya yang terjadi untuk saham ke-i pada hari ke-t. E (Rit) = return yang diharapkan saham ke-i untuk hari ke-t.
Populasi Penelitian dan Penentuan Sampel
1. Populasi Penelitian.
Populasi dalam penelitian ini adalah seluruh perusahaan manufaktur yang terdaftar di Bursa Efek Jakarta, hal ini dengan alasan bahwa perusahaan manufaktur merupakan perusahaan yang paling banyak terdaftar di Bursa Efek Jakarta.
2. Prosedur Penentuan Sampel.
Prosedur penentuan sampel dalam penelitian ini menggunakan metode purposive sampling, dengan tujuan agar dapat diperoleh sampel yang memenuhi kriteria.
Adapun kriteria sampel dalam penelitian ini adalah sebagai berikut :
a. Perusahaan manufaktur yang telah terdaftar di Bursa Efek Jakarta sebelum 31 Desember 1999, karena yang akan diamati dalam penelitian ini adalah informasi laporan keuangan per 31 Desember
2000 yang dipublikasikan pada tahun 2001.
b. Saham yang aktif diperdagangkan di Bursa Efek Jakarta, yaitu apabila frekuensi perdagangan saham selama tiga bulan sebanyak 75 kali atau lebih, hal ini sesuai dengan Surat Edaran Bursa Efek
Jakarta No. SE-03/BEJ/II-1/1994
c. Perusahaan manufaktur yang mempublikasikan laporan keuangannya selambat-lambatnya 120 hari setelah berakhirnya periode laporan keuangan.
Berdasarkan kriteria tersebut di atas, dari 138 perusahaan manufaktur yang tercatat di Bursa Efek Jakarta, hanya terdapat 53 perusahaan saja yang memenuhi syarat untuk dijadikan sampel penelitian. Dampak Publikasi Laporan Keuangan … (Dwi Susilo) 101

Hasil Dan Pembahasan
Model Rata-rata Disesuaikan (Mean Adjusted Model).
Tabel 1. yang menyajikan hasil rata-rata abnormal return dengan menggunakan Mean Adjusted Model selama periode pengamatan yaitu 11 hari, 5 hari sebelum publikasi dan 5 hari setelah publikasi, dapat dilihat bahwa pada 5 s.d 3 hari sebelum publikasi laporan keuangan terjadi kenaikan abnormal return, akan tetapi pada 2 hari menjelang pengumuman abnormal return menurun dan kembali mengalami kenaikan pada 1 hari menjelang sampai dengan saat dipublikasikannya laporan keuangan hal ini mungkin terjadi karena investor berspekulasi mengharap meningkatnya harga saham dipasaran menjelang dipublikaikannya laporan keuangan dan puncaknya pada 1 hari sesudah dipublikasikannya laporan keuangan harga saham sangat meningkat sehingga return saham mengalami kenaikan hingga
0,69974 dan ternyata mengalami penurunan lagi pada hari setelah publikasi laporan keuangan, hal ini sebagaimana dapat dilihat pada tabel 2. yang menyajikan rata-rata abnormal return selama periode pengamatan yaitu 11 hari, 5 hari sebelum publikasi, 1 hari saat publikasi dan 5 hari setelah publikasi sebagai berikut :

102 SMART : Vol. 2 No. 2 Mei 2004 : (p.97-110)

Tabel 1. Rata-rata Abnormal Return Selama Periode Pengamatan
Periode Average Abnormal Return
-5
0,21125
-4
0,21718
-3
0,2245
-2
0,21256
-1
0,21549
0
0,23997
1
0,69974
2
0,22092
3
0,24225
4
0,22555
5
0,21204

Average Abnormal Return

Dari nilai rata-rata abnormal return selama periode pengamatan diatas terlihat bahwa rata-rata abnormal return mulai meningkat pada harihari menjelang dipublikasikannya laporan keuangan, dan mulai mengalami penurunan 2 hari setelah publikasi laporan keuangan, keadaan tersebut dapat digambarkan dalam bentuk grafik, sebagaimana dapat dilihat pada gambar 1. sebagai berikut :
0,75
0,7
0,65
0,6
0,55
0,5
0,45
0,4
0,35
0,3
0,25
0,2
0,15
0,1
0,05
0
-5

-4

-3

-2

-1

0

1

2

3

4

5

Periode Pengamatan

Dampak Publikasi Laporan Keuangan … (Dwi Susilo) 103

Gambar 1. Rata-rata Abnormal Return Selama Periode Pengamatan
Berdasarkan gambar diatas, rata-rata abnormal return yang tertinggi adalah pada hari + 1 sebesar 0,69974. Kenaikan ini dapat diartikan bahwa pasar bereaksi dengan pengumuman laporan keuangan atau dengan kata lain bahwa laporan keuangan mempunyai kandungan informasi, hal ini sesuai dengan penelitian yang dilakukan oleh Stanislaus Kostka Suhendi, (1995) tentang Pengaruh Publikasi Laporan Keuangan terhadap Volume
Perdagangan Saham di Bursa Efek Jakarta, diperoleh suatu hasil bahwa aktivitas volume perdagangan disekitar publikasi secara signifikan lebih besar dari aktivitas volume perdagangan pada periode tanpa publikasi, hal ini berarti bahwa publikasi laporan keuangan perusahaan mempengaruhi keputusan investasi para pemodal di Bursa Efek Jakarta.
1) Uji Normalitas Data.
Sebelum uji hipotesis dilakukan untuk melihat apakah ada hubungan antara abnormal return sebelum dan sesudah publikasi laporan keuangan dan untuk menghindari bias, maka data harus mengikuti distribusi normal. Dengan menggunakan teknik statistik
Kolmogorof-Smirnov, dapat diketahui bahwa rata-rata abnormal return selama periode pengamatan tidak mengikuti distribusi normal,
Oleh karenanya untuk menguji hipotesis apakah ada perbedaan ratarata return saham antara sebelum dan sesudah publikasi laporan keuangan digunakan analisis statistik non parametrik yaitu tehnik uji peringkat bertanda wilcoxon (wilcoxon-sign-rank test.).
2) Pengujian Peringkat Bertanda Wilcoxon.
Alat analisis statistik yang digunakan untuk menguji hipotesis yang diajukan dalam penelitian ini adalah metode statistik non parametrik dengan menggunakan tehnik uji peringkat bertanda wilcoxon
(wilcoxon-sign-rank test.). Pengujian ini dimaksudkan untuk melihat apakah ada perbedaan rata-rata abnormal return sebelum dan sesudah publikasi laporan keuangan. Hasil pengujian terhadap rata-rata abnormal return selama periode pengamatan dapat dilihat pada tabel 2. sebagai berikut :

104 SMART : Vol. 2 No. 2 Mei 2004 : (p.97-110)

Tabel 2. Pengujian Peringkat Bertanda Wil coxon Rata-rata Abnormal
Return
SESUDAH
SEBELUM
Z
-1,753
Asymp. Sig. (2-tailed)
,0,80
a Based on negative ranks. b Wilcoxon Signed Ranks Test
Hasil pengujian menunjukkan bahwa nilai Z = - 1,753, dengan membandingkan nilai Z hitung dengan dan nilai Z tabel (untuk tingkat kepercayaan sebesar 95 % ) didapat nilai Z tabel sebesar + 1,96. Oleh karena - Z hitung > - Z tabel, yang ini berarti bahwa Ho terletak di daerah penerimaan, maka keputusannya adalah menerima Ho, ini berarti bahwa tidak ada perbedaan rata-rata abnormal return sebelum dan sesudah publikasi laporan keuangan.
Model Pasar (Market Model).
Dalam model pasar ini besarnya Ekspected Return dihasilakan dari perhitungan statistik yaitu dengan menggunakan tehnik regresi linear sederhana, dan dari perhitungan tersebut didapat rata-rata abnormal return, sebagaimana dapat dilihat pada tabel 5. berikut ini :
Tabel 3. Rata-rata Abnormal Return Selama Periode Pengamatan
Periode Average Abnormal Return
-5
0,003798
-4
0,008788
-3
0,017648
-2
0,004307
-1
0,007711
0
0,031711
1
0,465506
2
0,009513
3
0,031463
4
0,016727
5
0,006016

Dampak Publikasi Laporan Keuangan … (Dwi Susilo) 105

Average Abnormal Return

Tabel 3. yang menyajikan hasil nilai rata-rata abnormal return dengan menggunakan model pasar (market model) selama periode pengamatan yaitu : 5 hari sebelum publikasi, 1 hari saat publikasi dan 5 hari setelah publikasi, dapat dilihat bahwa pada 2 hari sebelum publikasi laporan keuangan sampai 1 hari setelah publikasi laporan keuangan, rata-rata abnormal return meningkat terus, hal ini mungkin terjadi karena investor berspekulasi mengharap meningkatnya harga saham dipasaran menjelang dipublikasikannya laporan keuangan dan puncaknya pada 1 hari sesudah dipublikasikannya laporan keuangan harga saham sangat meningkat sehingga return saham mengalami kenaikan hingga 0,465506, kenaikan rata-rata abnormal return saham ini mungkin disebabkan investror merespon secara positif dengan adanya laporan keuangan akan tetapi pada hari kedua setelah publikasi laporan keuangan dan seterusnya rata-rata abnormal return mengalami penurunan kembali. Gambar 2 menyajikan grafik rata-rata abnormal return selama periode pengamatan sebagai berikut :
0,5
0,45
0,4
0,35
0,3
0,25
0,2
0,15
0,1
0,05
0
-5 -4 -3 -2 -1

0

1

2

3

Periode Pengamatan

Gambar 2. Rata-rata Abnormal Return Selama Periode
Pengamatan

106 SMART : Vol. 2 No. 2 Mei 2004 : (p.97-110)

4

5

Berdasarkan gambar diatas, maka dapat diartikan bahwa pasar bereaksi dengan adanya publikasi laporan keuangan atau dengan kata lain bahwa laporan mempunyai kandungan informasi. Stanislaus Kostka
Suhendi, (1995) tentang Pengaruh Publikasi Laporan Keuangan terhadap
Volume Perdagangan Saham di Bursa Efek Jakarta, diperoleh suatu hasil bahwa aktivitas volume perdagangan disekitar publikasi secara signifikan lebih besar dari aktivitas volume perdagangan pada periode tanpa publikasi, hal ini berarti bahwa publikasi laporan keuangan perusahaan mempengaruhi keputusan investasi para pemodal di Bursa Efek Jakarta.
1) Uji Normalitas Data.
Sebelum uji hipotesis dilakukan untuk melihat apakah ada hubungan antara abnormal return sebelum dan sesudah publikasi laporan keuangan dan untuk menghindari bias, maka data harus mengikuti distribusi normal. Dengan menggunakan teknik statistik
Kolmogorof-Smirnov, dapat diketahui bahwa rata-rata abnormal return selama periode pengamatan tidak mengikuti distribusi normal,
Oleh karenanya untuk menguji hipotesis apakah ada perbedaan ratarata return saham antara sebelum dan sesudah publikasi laporan keuangan digunakan analisis statistik non parametrik yaitu tehnik uji peringkat bertanda wilcoxon (wilcoxon-sign-rank test.).
2) Pengujian Peringkat Bertanda Wilcoxon.
Alat analisis statistik yang digunakan untuk menguji hipotesis yang diajukan dalam penelitian ini adalah metode statistik non parametrik dengan menggunakan tehnik uji peringkat bertanda wilcoxon
(wilcoxon-sign-rank test.). Pengujian ini dimaksudkan untuk melihat apakah ada perbedaan rata-rata abnormal sebelum dan sesudah publikasi laporan keuangan. Hasil pengujian terhadap rata-rata abnormal return selama periode pengamatan dapat dilihat pada tabel 4. sebagai berikut :
Tabel 4. Pengujian Peringkat Bertanda Wil coxon Rata-rata Abnormal
Return
SESUDAH
SEBELUM
Z
-1,4833
Asymp. Sig. (2-tailed)
,0,80

Dampak Publikasi Laporan Keuangan … (Dwi Susilo) 107

a Based on negative ranks. b Wilcoxon Signed Ranks Test
Hasil pengujian menunjukkan bahwa nilai Z = -1,483, dengan membandingkan nilai Z hitung dengan dan nilai Z tabel (untuk tingkat kepercayaan sebesar 95 % ) didapat nilai Z tabel sebesar + 1,96. Oleh karena - Z hitung > - Z tabel, yang ini berarti bahwa Ho terletak di daerah penerimaan, maka keputusannya adalah menerima Ho, ini berarti bahwa tidak ada perbedaan rata-rata abnormal return sebelum dan sesudah publikasi laporan keuangan.
Kesimpulan
1.

Dilihat dari nilai kandungan informasi publikasi laporan keuangan, menunjukkan bahwa ada peningkatan abnormal return pada satu hari setelah hari publikasi (event date) dibandingkan hari sebelumnya, hal ini berarti bahwa publikasi laporan keuangan mempunyai kandungan informasi sebagaimana dapat dilihat pada gambar grafik yang ada

2.

Tidak ada perbedaan abnormal return sebelum dan sesudah publikasi laporan keuangan. Hal ini didasarkan pada pengujian hipotesis dengan menggunakan uji peringkat bertanda wilcoxon (wilcoxon-sign-rank test), dihasilkan bahwa penelitian menerima (tidak menolak) Hipotesis nol, baik model rata-rata disesuaikan maupun model pasar. Hal ini mungkin disebabkan pada hari publikasi ada suatu peristiwa lain yang lebih berpengaruh terhadap perilaku returns aham, sehingga pelaku saham kurang merespon publikasi laporan keuangan.

108 SMART : Vol. 2 No. 2 Mei 2004 : (p.97-110)

Daftar Pustaka
Chalimah. 1996, Pengaruh informasi laporan keuangan perusahaan yang dipublikasikan terhadap fluktuasi harga (ancangan strategi inveatasi saham di Pasar Modal Indonesia), Thesis, Magister
Management UNDIP Semarang.
Eduardus Tandelilin. 2001, Analisis Investasi dan Manajemen Portofoli,
Edisi Pertama, BPFE Jogjakarta.
Elton / Gruber.1995, Modern Potfolio Theory and Investment Analysis, Fifth
Edition, John Wiley & Sons, INC, New York.
Iman Ghozali, dkk. 2002, Meneropong Hitam Putih Pasar Modal dan Likaliku Kebijakan Ekonomi Moneter, Magister Ekonomi UNDIP –
LP2S dengan Gama Media Jogjakarta.
Jogiyanto Hartono. 2000, Teori Portofolio dan Analisis Investasi, BPFE
Jogjakarta.
J. Supranto. 1997, Statistik, Teori dan Aplikasi, Edisi kelima, Jilid 2,
Penerbit Erlangga Jakarta.
Mamduh Hanafi. 1997, Informasi laporan keuangan (studi kasus pada emiten BEJ), Kelola No. 16/VI/1997
Marwan Asri Suryawijaya. dkk, 1998, Reaksi Pasar Modal Indonesia terhadap peristiwa politik dalam negeri (event studi pada peristiwa 27 Juli 1996), Kelola No.18/VII/1998
M. Suparmoko. 1999, Metode Penelitian Praktis (untuk ilmu-ilmu sosial ekonomi dan bisnis),BPFE Jogjakarta.

Dampak Publikasi Laporan Keuangan … (Dwi Susilo) 109

Sugiyono dan Eri Wibowo. 2001, Statistika Penelitian dan Aplikasinya dengan SPSS 10,0 for windows, Penerbit Alfa Beta Bandung.
Suad Husnan. 1994, Dasar-dasar teori portofolio dan analisis sekuritas,
Edisi kedua, BPFE Jogjakarta.
Suad Husnan. dkk, 1996, Dampak Pengumuman Laporan Keuangan
Terhadap Kegiatan Perdagangan Saham dan Variabilitas
Tingkat Keuntungan, Kelola No. 11/V/1996.
Sri Retno Indrastani. Pengaruh Pengumuman LAporan Keuangan Terhadap
Pasar Modal, Emperika, Nomor 22, 1998
Stanislous Kostka Suhendi. 1995, Pengaruh publikasi laporan keuangan terhadap volume perdagangan, Laporan Internship, Magister
Managemen UGM Jogjakarta.
Victor Purba. 2000, Perkembangan dan Struktur Pasar Modal Indonesia
Menuju Era Afta 2003, Badan Penerbit Fakultas Hukum
Universitas Indonesia, Jakarta.

110 SMART : Vol. 2 No. 2 Mei 2004 : (p.97-110)…...

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...Journal of Accounting and Economics 11 (1989) 295-329. North-Holland FINANCIAL STATEMENT ANALYSIS AND THE PREDICTION OF STOCK RETURNS* Jane A. O U Santa Clara university, Santa Clara, CA 95053, USA Stephen H. P E N M A N Universi(v of California, Berkeley, CA 94720, USA Received January 1988, final version received April 1989 This paper performs a financial statement analysis that combines a large set of financial statement items into one summary measure which indicates the direction of one-year-ahead earnings changes. Positions are taken in stocks on the basis of this measure during the period 1973-1983, which involve cancelling long and short positions with zero net investment. The two-year holding-period return to the long and short positions is in the order of 12.5%. After adjustment for 'size effects' the return is about 7.0%. These returns cannot be explained by nominated firm risk characteristics. 1. Introduction F i n a n c i a l s t a t e m e n t analysis identifies aspects of financial statements that a r e r e l e v a n t to investment decisions. O n e goal of the analysis is to assess firm value from financial statements. M u c h empirical a c c o u n t i n g research has a t t e m p t e d to discover value-relevant accounting attributes in o r d e r to enhance financial s t a t e m e n t analysis. T h e a p p r o a c h taken in this work assumes that m a r k e t price is sufficient for d e t e r m i n i n g firms' values a n d thus serves as a b e......

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...University of Washington version 2.0 School of Business April 2004 Walt Disney Company’s Sleeping Beauty Bonds – Duration Analysis* In July 1993, the Walt Disney Company issued $300,000,000 in senior debentures (bonds). The debentures carried an interest rate of 7.55%, payable semiannually, and were priced at “par”. They were due to be repaid on July 15, 2093, a full one hundred years after the date of issue. However, at the company’s option, the debentures could be repaid (in whole or in part) any time after July 15, 2023 or 30 years after the issue date. Beauty, the fairy tale princess and heroine of a popular Disney animated film, according to legend, slept under enchantment in a magic castle for one hundred years. The Disney 100-year debentures were immediately dubbed the “Sleeping Beauties.” The issue caused a lot of comment among traders of portfolio managers. “It’s crazy,” said William Gross, head of fixed-income investments at Piper Capital Management Company. “Look at the path of Coney Island over the last fifty years and see what happens to amusement parks.”[1] Scott Jacobson, head of fixed-income research at Piper Capital Management, felt that the bonds were too risky for his clients, but “if corporate treasurers can get away with it, why not?”[2] Other interpreted the successful sales of the bonds as a vote of confidence in the Disney Company and U.S. economy policy. “It shows that......

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Underperformance in Long-Run Stock Returns Following Seasoned Equity Offerings

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Determinants Macroeconomics Variables and Stock Return

...of F in a n ce (H on ou r s) 2010 CHAPTER ONE INTRODUCTION 1.1 Introduction Stock market is a place for listed companies to raise capital .Companies can use the capital for continuing operating activities and expand business. However, the investors are explained to get a positive return from dividend and capital gain in the stock market. Based on the history, the economic condition will influence stock market. For instances, Malaysia faced deflation during the Asian crisis in years 1997. It caused the KLCI index sharply reduced from 1207.43 to 470.43. It have been shown that the investors need to predict the stock prices based on the macro factors to get an abnormal return from stock market There were a lot of researches to study the relationship between macroeconomics variables and stock returns. It is important to study the interaction of macroeconomics factor and stock return. Based on the study, the public can identify which factors can influence the stock market and use the knowledge to predict movement of stock price. According to Wongbangpo & Sharma (2002), the research can reveal the functions of stock market in identify the change in economic condition and also can predict the future performance of stock market. Besides, the study will be useful for the stock market participators. Clare & Priestley (1998) said that the study of the risk factor relationship of stock market will be useful for corporate manager to undertake cost of capital calculation.......

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Required Rate of Return on Stocks

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Required Rate of Return on Stocks

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