PENGARUH INFORMASI AKUNTANSI TERHADAP RETURN SAHAM: PERTIMBANGAN UKURAN PERUSAHAAN PADA PERUSAHAAN MANUFAKTUR DI BURSA EFEK INDONESIA

Abstract

This research investigates six financial ratios (CR, DER, TAT, ROE, EPS, BVS) as
accounting information that being influence to stock return (measured by average
abnormal return), and how these effect simultanly and partially by considering the firm
size that based on total assets. Investigation is primarily focused on the value relevance of
accounting information from 125 manufacturing firms at the Jakarta Stock Exchange in
2004 and 2005. The t and F tests in multiple regression models are used to test hypotheses.
The result of testing show that in 2004 there is no a significant effect but in 2005
accounting information only explain stock return variation about 4.3%. Partially,in 2005
there are only EPS and BVS have significant value under 10%. Testing by considering the
firm size show that significant value is only showed by third group in 2004 (19.2%) and
2005 (17%). Partially, in 2004 and 2005, TAT (third group) inclined to become investor’s
attention and other variables show various result.