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All Journal Marine Fisheries: Jurnal Teknologi dan Manajemen Perikanan Laut Diponegoro Journal of Accounting Jurnal Ekonomi dan Bisnis Jurnal Akuntansi dan Bisnis Budapest International Research and Critics in Linguistics and Education Journal (Birle Journal)
Fuad Fuad
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Arts Humanities Economics, Econometrics & Finance Education Environmental Science Languange, Linguistic, Communication & Media Social Sciences Other

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Journal : Jurnal Akuntansi dan Bisnis

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The Information Content Simultaneity of Returns and Earnings: The Case of Indonesia Fuad Fuad; Dwi Ratmono; Yuserrie Zainuddin
Jurnal Akuntansi dan Bisnis Vol 8, No 2 (2008)
Publisher : Accounting Study Program, Faculty Economics and Business, Universitas Sebelas Maret

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.20961/jab.v8i2.82

Abstract

This paper analyzes in detail the information content of returns and earnings, both linearly and simultaneously because they are jointly affected by information that is difficult to specify explicitly. Based on empirical evidence, we challenge the assumption that earnings follow first order moving average process, while assuming that they actually follow first order autoregressive process. Using 900 firm-specific observations from 1996 to 2004 we found that earnings (ERC) and returns response coefficients (RRC) provide similar estimates under joint estimation rather than linear one. We also found that 2-Stage Least Square (2SLS) reduces the bias of ERC and RRC in contrast to under Ordinary Least Square. Surprisingly, earnings and returns convey information larger in the short-term rather than in the long-term. In particular, we found that one year lag of return contain more information about future earning than two-or three years lag of return.
Co-Authors Andi Rachmanda Anton Wibisono Aty Utami Boihaki Boihaki Cut Yusnidar Dwi Ratmono Faisal Faisal Farisa Mardiana Rahma Kinantya Komala Nur Shabrina Ledhyane Ika Harlyan Linear Diah Sitoresmi Monica Handoko Muhamad Indra Yudha Kusuma Muhammad Arif Rahman Ratih Yeltsinta Rofiqoh Kartikasari Sonni Handoko Teuku Isnaini Wahida Kartika Sari Yashinta Pradyamitha Cendy Yuda Pamungkas Yulia Rachmawati Yuserrie Zainuddin