Abstract:
The objective of this research is to analyze the influence of non-financial and financial information which are CSR disclosure, Return on Equity, Return on Asset, Price Earning Ratio, and Earning Per Share toward Abnormal Return on companies listed in LQ-45 Index in Indonesia Stock Exchange for the period 2011 – 2013.
This research uses quantitative approach. It uses secondary data that can be assessed from www.idx.co.id. The population of this research is companies listed in LQ-45 Index in Indonesia Stock Exchange for the period 2011 – 2013 and uses purposive sampling method to determine the sample. This research uses multiple linear regressions as data analysis method and with significance value 0.05 ( α = 5%).
The result of this research shows that independent variables give different influence partially. Return on Equity and Price Earning Ratio has a positive and significant influence toward Abnormal Return. Meanwhile, Return on Asset has a negative and significant influence toward Abnormal Return, and CSR Disclosure and Earning Per Share has negative and not significnat influence toward Abnormal Return. The result also shows that CSR disclosure, Return on Equity, Return on Asset, Price Earning Raio, and Earning Per Share affecting the Abnormal Return simultaneously with the result of Sig. 0.000. The independent variables in this regression model explains as much as 41,5% of Abnormal Return as dependent variable.
