PENGARUH EARNINGS SURPRISE TERHADAP CONTRARIUM RETURN SHARE PRICES

Aristianto, Astri Indranila (2013) PENGARUH EARNINGS SURPRISE TERHADAP CONTRARIUM RETURN SHARE PRICES. S2 thesis, UAJY.

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Abstract

Earning surprise is difference between earning forecast and earning announcement value. Earning surprise will influence stock price of a company, so it needs a strategy to make expected investment. This research utilized contrarian strategy that was opposite strategy to habit by doing stock purchase when market was experiencing decrease and other investors did selling and sold their share when market was experiencing increase, while other investors made stock purchasing (Manurung, 2009). The aim of this research was to test positive return on negative earnings surprise and negative return on positive earnings surprise. This research replicated Johnson & Zhao’s research (2012) on contrarian share prices reaction towards earning surprise. The research sample utilized companies registered and included in LQ45 with entrance minimal limit 5 years or 10 periods in 2000-2011. The data collection utilized secondary archives documentation. The variables utilized in this research were Earning Surprise as independent, represented to Timely Earning Surprise (I_TES), Forecast Dispersion (DISP), and Preannouncement Return (PRE_RET) while Return Contrarian Share Price as dependent variable represented with Revenue Surprise (I_RS), Return Volatility (BHAR_VOL), Percentage Bid-Ask Spread (SPREAD) and Lagged Surprise (I_LAGES). The result of this research was that positive Earnings surprise did not influence negative return contrarian share prices and negative Earnings surprises represented with PRE_RET positively influenced positive return contrarian share price represented with I_LAGES, but I_TES and DISP did not influence I_LAGES. Negative Earnings Surprise represented with I_TES, DISP and PRE_RET did not influence positive return contrarian share prices represented with I_RS, BHAR_VOL and Spread.

Item Type: Thesis (S2)
Uncontrolled Keywords: Earnings Surprise, Return Contrarian Share Price
Subjects: Magister Manajemen > Manajemen Keuangan
Divisions: Pasca Sarjana > Magister Manajemen
Depositing User: Editor UAJY
Date Deposited: 24 Feb 2014 13:14
Last Modified: 24 Feb 2014 13:14
URI: http://e-journal.uajy.ac.id/id/eprint/4792

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