HUBUNGAN KANDUNGAN INFORMASI LAPORAN ARUS KAS DAN LABA DENGAN RETURN SAHAM

Abstract

The purpose of this study to examine information content of total cash flows in good news and bad news condition. The objective of event study methodology is to analyze the market reactions that caused by publication of financial report. The hypothesis of the study are .1). Information content in cash flows statement the conditionof good news is not significantly associated with the stock return increase around the financial statement publication date. 2). Information content in cash flows statement the condition of bad news is not significantly associated with the stock return decrease around the financial statement publication date. As the number of 43 companies was taken as sample from LQ-45 companies. Among the 43 companies, 32 sample were categorized as good news and the other II sample were in bad news. Data from audited financial statement were taken from annual financial report in The Jakarta Stock Exchange. The statistic method used to Lest hypotheses is a linear regression in the return model. To control earning factors, beside a sample which in from of training group, the companies that published total earning altigether with cash flows statement was also taken as sample for control group. The results of test hypotheses and analyze of Cumulative Abnormal Return (CAR) shows that 1). Information content in cash flows statement the condition of good news is not significantly associated with the stock return increase around the financial statement publication date, and 2). Information content in cash flows statement the condition of good news is not significanly associated with the stock return increase around the financial statement publication' date. The results indicate that the publication statement of cash flows have not the information content. Penelitian ini bertujuan untuk menguji kandungan informasi laporan arus kas balk kategori good news maupun kategori bad news. Pengujian dilakukan dengan studi peristiwa (event study) untuk menganalisis reaksi pasar sebagai akibat adanya publikasi laporan keuangan yang dihipotesiskan sebagai berikut : 1). Informasi laporan arus kas dalam kategori good news tidak berhubungan dengan peningkatan return saham di seputar tanggal publikasi laporan keuangan, dan 2). Informasi laporan arus kas dalam kategori bad news tidak berhubungan dengan penurunan return saham di seputar tanggal publikasi laporan keuangan. Sampel sebanyak 43 perusahaan yang diambil dari perusahaan-perusahaan yang termasuk claim LQ-45. Diantara 43 perusahaan, 32 sampel termasuk kategori good news dan 11 sampel termasuk kategori bad news. Data laporan keuangan auditan diperoleh dari annual report di BEJ. Metode statistik yang digunakan untuk menguji hipotesis adalah regresi Tinier, selain sampel yang berupa training group, sebuah sampel juga dipilih sebagai control group yaitu emiten-emiten yang mempublikasikan total labanyabersamaan dengan laporan arus kas. Dari hasil pengujian hipotesis dan pengamatan terhadap Cumulative Abnormal Return (CAR) menunjukkan bahwa informasi laporan arus kas balk dalam kategori good news maupun bad news secara signifikan tidak berhubungan dengan peningkatan ataupun penurunan return di seputar tanggal publikasi laporan keuangan. Hal ini berarti bahwa informasi laporan arus kas tidak mempunyai kandungan informasi.