PENGARUH PROFITABILITAS, STRUKTUR MODAL, DAN UKURAN PERUSAHAAN PADA EARNINGS RESPONSE COEFFICIENT

Abstrak

This research analyzes the effects of profitability, capital structure, and firm size on earnings response coefficient. Earnings response coefficient is an indicator financial report’s quality, measured based on investors’ reaction or changes in stock prices on accounting earnings information. This research uses companies listed in the Kompas 100 Index on the Indonesian Stock Exchange during the 2011-2015 periods. Companies in the Kompas 100 Index represent 70 to 80 percent of total market capitalization in the Indonesian Stock Exchange. Therefore, investors can predict the market by examining the movement of Kompas 100 Index. Earnings response coefficient was estimated by regressing cummulative abnormal return on unexpected earnings. Cummulative abnormal return was measured using market-adjusted model with 5 days event window around the event date. In this research, unexpected earnings are the difference between net income attributable to shareholders for the current and previous period, based on quarterly financial statements. Profitability is measured by return on asset, capital structure is measured by debt to equity ratio, and size is measured by natural logarithm of total assets. Sample selection uses the purposive sampling method. Data was obtained by accessing the websites of the Indonesia Stock Exchange and Dunia Investasi. Data was analyzed by multiple linear regression. The results show that profitability has a positive effect on earnings response coefficient, while the capital structure and firm size do not affect earnings response coefficient.

Keywords: earnings response coefficient, profitability, capital structure, firm size.