| Summary: | Every company has a purpose in carrying out its operations both in
providing services for the production of goods and services. Basically the main
aim of the company is to maximize shareholder wealth. Earnings announcement is
timely and relevant to the individual that is in the stock market where the market
reacts to earnings because earnings have information content. The information in
each financial period will be different and would be respond by the market
differently.
Sampling technique in this study was purposive sampling to study the
subject at LQ 45 companies listed in Indonesia Stock Exchange. This study
describes the causality correlation classified causal link, between the earnings
surprise variable to abnormal stock returns with dummy regression analysis
method. Sources of data is used in this study are secondary data obtained from the
Stock Exchange, the World Investment and Financial Statements LQ 45 firms in
2010-2012.
The results showed (1) operating earnings surprises significant positive
effect on abnormal stock returns, (2) net earnings surprise without extraordinary
income significantly negative effect on abnormal stock returns, (3) net earnings
surprise significantly negative effect on abnormal stock returns, (4) the market
response to the annual financial statements are weaker than the quarterly financial
statements. This study provides a view that operating earnings surprise able to
properly describing its relationship to abnormal stock returns that responded
significantly by market. In addition, this study provides new results that quarterly
financial statements responded more strongly by the market. Because earnings in
2010 can not be compared with 2011 earnings will be better if the variable net
profit without extraordinary income shock is replaced by free variables
comprehensive income using data earnings surprise in early 2011 as a replacement
in 2010.
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