Contribution of Sell-Side Equity Analyst Reports to Client’s Return and Stock Price Efficiency: Indonesia Stock Market Evidence (Sumbangan Laporan Penganalisis Ekuiti terhadap Pulangan Pelabur dan Kecekapan Harga Saham: Bukti Empirikal Bursa Saham Indones

Irwan Adi Ekaputra, C. Erna Susilawati, Cynthia Afriani Utama



The present study investigates whether equity analyst reports benefit clients and improve stock price efficiency. Company- focus reports issued and documented by six brokerage companies in Indonesia are collected and the analysis focuses on the revisions of stock recommendations (upgrade, downgrade, or reiteration); earnings forecasts; and price targets. First, the results show that analyst reports contribute to client’s returns. Upgrade revisions, downgrade revisions and price target revisions significantly influence clients’ abnormal returns. However, clients do not seem to take into account earnings forecast revisions. Second, the finding reveal that analyst reports contribute to stock price efficiency. Upgrade revisions and price target revisions improve price efficiency. However, earnings forecast revisions and downgrade revisions do not appear to improve price efficiency. Third, the results indicate that price efficiency improvement tends to reduce non-client (market) abnormal returns, which corroborates the second finding.

Keywords: Abnormal return; analyst; brokerage; price efficiency; price informativeness


Kajian ini terdiri dari tiga bagian guna mempelajari apakah laporan analis saham: (1) menguntungkan nasabah, (2) meningkatkan efisiensi harga saham. Kami mengumpulkan laporan analis yang diterbitkan dan didokumentasikan oleh enam broker saham di Indonesia, dan berfokus pada revisi atas rekomendasi saham (upgrade, downgrade, atau reiteration), prakiraan laba, dan target harga. Hasil pertama menunjukkan bahwa laporan analis berkontribusi pada imbah hasil nasabah. Revisi upgrade, downgrade dan revisi target harga berpengaruh signifikan pada imbal hasil abnormal yang diperoleh nasabah. Namun demikian, nasabah tampaknya tidak memperhatikan revisi atas prakiraan laba. Hasil kedua mengungkapkan bahwa laporan analis berpengaruh pada efisiensi harga saham. Revisi upgrade dan target harga mampu meningkatkan efisiensi harga saham,sedangkan revisi prakiraan laba dan revisi downgrade tidak mempengaruhi efisiensi harga saham. Hasil ketiga menunjukkan bahawa peningkatan efisiensi harga saham cenderung menurunkan imbal hasil abnormal non-nasabah (pasar). Hal ini selaras dengan hasil kedua.

Kata kunci: Pulangan tidak normal, penganalisis; broker; kecekapan harga; penerangan harga

Full Text:



  • There are currently no refbacks.


The editors and publisher of Jurnal Pengurusan have made every possible effort to verify the accuracy of all information contained in this publication. Any opinions, discussions, views and recommendations expressed in the article are solely those of the authors and are not of Jurnal Pengurusan, its editors or its publisher. Jurnal Pengurusan, its editors and its publisher will not be liable for any direct, indirect, consequential, special, exemplary, or other damages arising therefrom.