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Author(s): Bernardus Yuliarto Nugroho
This study aims to analyze the effect of changes in the aggregate earnings and discount rate to stock returns quarterly. The sample in this study is financial and non-financial public company that listed on the Indonesia Stock Exchange from 2010-2016. This study uses panel data and time series regression model. Minor studies of this research also wanted to examine if there are anomalies in post-earnings announcement drift at the aggregate level. The results of this study indicate that there is a significant positive influence between earnings and stock returns on both exchanges at the level of individual companies and the aggregate. This study also shows that there are positive effects similar to earnings from the discount rate on stock returns in both the individual and aggregate level.