Setiawati, Lusi and Rudiawarni, Felizia Arni (2016) HUBUNGAN ANTARA CUMULATIVE ABNORMAL RETURN, UNEXPECTED EARNINGS DAN RISIKO PADA SEKTOR PERBANKAN. In: Seminar Nasional Akuntansi 19, 24-27 Agustus 2016, Lampung.

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According to data from Lembaga Penjamin Simpanan, in 1998 there were 16 banks was likuidated because bank suffered loss and can’t manage it’s specific risks. Ariff et al. (2013) found a significant relationship between income and bank risk against changes in price of banking stocks. However, according to Acharya (2010) banking risk doesn’t significantly affect the banking stock price changes. So that, this study’s aim to determine relationship between stock prices, earnings and bank risks. This research is a quantitative research using secondary data. The population used in this study is banking industry that is listed in the Indonesia Stock Exchange (BEI) in the year 2011-2014 which has stock transactions and issuing financial statements. The samples used as many as 95 years of banking. In this study, the share price is proxied by the cumulative abnormal return by using single market model. Meanwhile, profit proxied into unexpected earnings by way of disaccord between EPS this period with EPS prior periods. Then the bank risk in this study is a quantitative banking risk, namely credit risk, liquidity risk, and market risk. In addition to considering the banking risk, this study also consider other factors used to measure the soundness of banking, namely the profitability and capital adequacy. This study found no significant difference between stock price with profit generated by banks. In addition, this study also found that there was no significant relationship between bank risk with banking stock price changes. However, banking risk has a significant relationship to the profit generated by banks in the period. Thus, the risk of banks have an important role to determine the sustainability of the banking business, banking risks can affect profit generated by banking afford. In addition Therefore, investors need to consider banking risks when making investment decisions in the banking sector.

Item Type: Conference or Workshop Item (Poster)
Uncontrolled Keywords: Banking Risk, Cummulative abnormal return, Stock Price, Unexpected earnings
Subjects: H Social Sciences > H Social Sciences (General)
H Social Sciences > HG Finance
Divisions: Faculty of Business and Economic > Department of Accounting
Depositing User: Felizia Arni Rudiawarni 31129
Date Deposited: 27 Feb 2021 02:58
Last Modified: 02 Feb 2022 09:28

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