Universitas Gajah Mada
This study investigates the effect of rating announcement on the bond performance (yield to maturity) using an event study. Prior work (Hand et al. 1992; Lianto and Matolcsy 1995; Liu et al. 1999) has suggested that downgrade revised bond convey new information to investors. Larger firms are expected to enjoy lower yield and higher rating because of their lower market risk (Bhojraj and Sengupta 2003; Kurana and Raman 2003). This study uses the sample of listed companies in Surabaya Stock Exchange and rated by Pefindo during 2000-2004. The result suggest that, only downgrade revised bonds have difference bond performance before and after the rating announcement, its indicate that downgrade has information content. There is no difference bond performance after the rating announcement between small firms and big firms, it is not consistent with the big bang theory cause there is no difference response of investors from those firms.
Key words: bond performance, yield to maturity, rating announcement, upgrade, downgrade, information content.
1. LATAR BELAKANG PENELITIAN
Investor yang rasional dalam membuat keputusan investasi membutuhkan informasi. Investor seringkali menggunakan informasi yang diumumkan kepada publik karena informasi tersebut mempunyai signal mengenai prospek perusahaan di masa yang akan datang.