FARIDA RAKHMAWATI, 040912385 (2013) REAKSI PASAR DAN UJI BEDA RETURN SAHAM PADA PERUSAHAAN YANG RATINGNYA NAIK, RATINGNYA TETAP DAN RATINGNYA TURUN. Skripsi thesis, UNIVERSITAS AIRLANGGA.

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Abstract

Announcement of the company's credit rating issued by PEFINDO is one of the information that can be taken into consideration for investors in making investment decisions. One form of information published is the announcement of corporate rating. There are companies that experienced an increase or decrease in the rating and there are also companies whose ratings remain. This study aims to determine the market reaction occurred and the stock return difference between firms whose ratings rose, the ratings remain and companies whose ratings fell. The data used are the daily stock returns are obtained from the IDX (Indonesia Stock Exchange), and the announcement of corporate rating by PT. PEFINDO. Testing is done with the data event study approach and one way ANOVA test. The results showed that no significant market reaction that occurs due to announcements PEFINDO rating. Rating PEFINDO announcement also did not cause any significant difference in stock returns between firms whose ratings rose, companies whose ratings remain, companies whose ratings fell.

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