Simposium Nasiona Akuntansi 9 Padang
Padang, 23-26 Agustus 2006 1
KEINFORMATIFAN LABA DI PASAR OBLIGASI DAN SAHAM:
UJI LIQUIDATION OPTION HYPOTHESIS
Ratna Candra Sari1
dan
Zuhrohtun2 (UPN VETERAN YOGYAKARTA)
Abstract
Previous empirical research on informativeness of earnings has focused on stockholders, and has not examined earnings informativeness for stockholders and bondholders. Stockholders are residual claimants and bondholders are fixed claimants, the informativeness of earnings should differ for these two types of investors. When firm is financially strong, earnings changes should be of limited relevance to bondholders, but should be relevance to bondholders. In contrast, as the likelihood of financial distress increase, stockholder’s limited liability allows them to abandon the firm to bondholder and earnings change should be increasingly important to bondholders and less important to shareholders because earnings provide information on firm value. This suggest that the effect of earnings to stock return should decrease as the firm’s financial strength declines, while the effect of earnings to bond return should increase. In contrast, when firm’s financial condition is strong, the effect of earnings to stock return is higher than the effect of earnings to bond return. We refer to this as the liquidation option hypothesis.
The objective of this study is to examine liquidation option hypothesis. We use bond rating as financial condition’s measurement. Consistent with our hypotheses, we find that the effect of unexpected earnings to stock return is significant when firm is financially strong but the effect of unexpected earnings to bond return is not significant. When financial distress increase, the effect of unexpected earnings to stock return is not significant but the effect of unexpected earnings to bond return is significant.
Key words : earnings, liquidation option hypothesis, bond returns, stock returns, informativeness of earnings.
1. LATAR BELAKANG
Statement of Financial Accounting Concepts (SFAC) No.1 (1978) menyatakan bahwa laporan keuangan seharusnya memberikan informasi yang berguna untuk investor dan kreditor saat ini dan potensial untuk membuat keputusan investasi, kredit dan keputusan lain yang sejenis. Salah satu informasi dalam laporan keuangan adalah informasi laba, sehingga secara normatif kreditor dan investor dapat menggunakan laba untuk keputusan investasi dan kredit.
Penelitian terdahulu berfokus pada keinformatifan laba pada pasar saham (Ball dan Brown, 1968; Beaver dan Dukes, 1972; Sloan, 1996; Triyono) dan belum ada penelitian yang menguji perbedaan keinformatifan laba di pasar saham dan obligasi. Obigasi dan saham mempunyai karakteristik yang berbeda, obligasi merupakan fixed claims, sedangkan saham adalah residual claims. Pemegang obligasi merupakan fixed claims karena berapapun laba yang dihasilkan perusahaan, mereka hanya akan menerima penghasilan berupa pembayaran bunga dan pokok pinjaman pada saat jatuh tempo, sedangkan pemegang saham merupakan residual claims karena dividen yang akan diterima tergantung dari besarnya laba perusahaan setelah dikurangi untuk pembayaran bunga dan pokok pinjaman bagi kreditur. Berdasarkan perbedaan karakteristik tersebut, keinformatifan laba seharusnya berbeda untuk pemegang obligasi dan saham.
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