International Journal of Business and Management Review (IJBMR)

EA Journals

debt rating

ANALYSIS OF ABNORMAL RETURN BEFORE AND AFTER THE ANNOUNCEMENT OF INVESTMENT GRADE INDONESIA (Published)

This study aims to analyze the stock price reaction to the announcement of Indonesia won the Investment Grade. The method used is the event study. Sample there were 41 companies in Indonesia Stock Exchange. Analysis using the 11-day window period. The data used is the daily stock price and the stock price index. The calculation of the expected return using the market model. The results of the study (1) There is a significant abnormal return the day before the announcement of Investment Grade (2) There is no difference in average abnormal return before and after the announcement of Investment Grade

Keywords: abnormal return, debt rating, investment grade

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