KEINFORMATIFAN LABA DI PASAR OBLIGASI DAN SAHAM: UJI LIQUIDATION OPTION HYPOTHESIS




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.

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