Pengaruh Announcement Leverage-Changing Security Transactions Terhadap Temporal Behavior Dari Risiko Dan Required Return Di Bursa Efek Indonesia

Oleh :
Anton Kuswanto - F1207536 - Fak. Ekonomi dan Bisnis

ABSTRACT The aim of this research was to investigate the influence of change in systematic risk and change in the uncertainty of beta on cumulative abnormal return, following announcements of leverage-changing security transactions based on the announcements of right issue, share buy back, bond issue, and bond buy back in Indonesia Stock Exchange. Event study was the method on this research with the observation periods over five year period started from year 2004 to the end of 2008. Sampling method on this research was using purposive sampling method that applied some restrictions to give boundaries to the samples. The final sample consists of 112 announcements, with the samples distribution on each event: 13 announcements of right issue, 25 announcements of share buy back, 43 announcements of bond issue, and 31 announcements of bond buy back. The results were shown that change in systematic risk have significant effect on abnormal return in Indonesia Stock Exchange following announcements of bond buy back on positive event group and announcements of share buy back, bond issue, and bond buy back each on negative event group. While change in the uncertainty of beta have significant effect on abnormal return in Indonesia Stock Exchange following announcements of bond buy back on positive event group, and also following the announcements of share buy back, and bond buy back both on negative event group. The results suggest that change in systematic risk and change in the uncertainty of beta on favorable event influence abnormal return following announcement of bond buy back in Indonesia Stock Exchange. And for unfavorable event, change in systematic risk influence abnormal return following announcements of share buy back, bond issue, and bond buy back in Indonesia Stock Exchange. While change in the uncertainty of beta influence abnormal return following announcements of share buy back and bond buy back in Indonesia Stock Exchange. Keywords: systematic risk, uncertainty of beta, cumulative abnormal return