AN EVENT STUDY OF THE IMPACT OF SFAS 95 ON THE U.S. BANKS AND INVESTMENT COMPANIES’ STOCK RETURNS
Indra Wijaya Kusuma(1*)
(1) Gadjah Mada University
(*) Corresponding Author
Abstract
Penelitian ini menguji reaksi pasar saham terhadap serangkaian peristiwa yang berkaitan dengan SFAS No. 95 untuk bank dan perusahaan investasi di Amerika Serikat. Investor menganggap bahwa SFAS no. 95 ini merupakan berita buruk (badnews) untuk bank dan perusahaan investasi. Dengan demikian, diprediksikan bahwa return kejutan (abnormal returns) untuk investor di bank dan perusahaan investasi akan turun selama periode peristiwa yang berkaitan dengan SFAS no. 95 tersebut.
Hasil yang diperoleh berdasarkan metode riset yang dipakai oleh Schipper dan Thompson (1983) tidak berhasil mengkonfirmasi bahwa return kejutan (abnormal returns) untuk investor di bank dan perusahaan investasi akan turun selama periode peristiwa yang berkaitan dengan SFAS no. 95 tersebut. Akan tetapi, hasil yang diperoleh menunjukkan bahwa return kejutan kumulatif (cumulative abnormal returns) untuk bank dan perusahaan investasi pada tanggal peristiwa lebih negatif dibandingkan dengan perusahaan dalam grup kontrol. Lebih lanjut, hasil menunjukkan bahwa peristiwa yang berkaitan dengan SFAS No. 95 mempunyai pengaruh yang negatif kepada bank, tetapi pengaruh yang positif terhadap perusahaan investasi.
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