INCREMENTAL INFORMATION CONTENT DALAM OPINI AUDIT UNQUALIFIED DENGAN PARAGRAF PENJELASAN
L e o , In c r e m e n ta l In fo r m a tio n C o n te n t d a la m O p in i A u d it U n q u a lifie d .
155
J u m a l A k u n ta n s i d a n K e u a n g a n I n d o n e s ia
D e s e m b e r 2 0 0 7 , V o l.4 , N o . 2 , h a l. 1 5 5 -1 6 8
DALAM
INCREMENTAL INFORMATION CONTENT
O P I N I A U D I T UNQUALIFIED D E N G A N P A R A G R A F
PE N JE L A SA N
L ia n n y L e o
M a h a s is w a P r o g r a m D o k to r P a s c a s a r ja n a Ilm u A k u n ta n s i U n iv e r s ita s I n d o n e s ia
l l e o @ i n d o s a t .n e t .i d
A b str a c t
T h is s t u d y i n v e s t i g a t e s w h e t h e r t h e r e is a n y d i f f e r e n t m a r k e t r e a c t i o n t o u n q u a l i f i e d
a n d u n q u a lifie d w ith e x p la n a to r y p a r a g r a p h a u d it o p in io n . T h e r e s u lt o f e m p ir ic a l
u n iv a r ia te a n d r e g r e s s io n te s t o n 2 9 1 fir m -y e a r s , w ith b a la n c e d p r o p o r tio n b e tw e e n
th e t w o o p in io n s , s h o w s t h a t t h e r e is a s i g n i f i c a n t d i f f e r e n c e o f s t o c k r e t u r n s
b e t w e e n th e t w o a u d i t o p i n i o n s a r o u n d o p i n i o n a n n o u n c e m e n t . M a r k e t a p p r e c i a t e s
th e e x i s t e n c e o f e x p l a n a t o r y p a r a g r a p h i n t h e u n q u a l i f i e d a u d i t o p i n i o n w i t h h i g h e r
e x c e s s r e t u r n s c o m p a r e d to s t a n d a r d u n q u a l i f i e d a u d i t o p in io n . O v e r a l l t h i s s t u d y
s h o w s i n c r e m e n t a l i n f o r m a t i o n c o n t e n t in u n q u a l i f i e d w i t h e x p l a n a t o r y p a r a g r a p h
a u d i t o p in io n .
Keywords:
unqualified audit opinion, unqualified with explanatory paragraph
audit opinion, excess returns, incremental information content
J u r n a l A k u n t a n s i d a n K e u a n g a n I n d o n e s i a , D e s e m b e r 2 0 0 7 , V o l.4, N o .2 , h a l. 1 5 5 - 1 6 8
156
PENDAH ULUAN
K r i s i s e k o n o m i I n d o n e s i a p a d a ta h u n 1 9 9 7 - 1 9 9 8 m e n g a k i b a t k a n tu r u n n y a
k e p e r c a y a a n p u b l i k t e r h a d a p k r e d i b i l i t a s a k u n t a n p u b lik . L a p o r a n a u d i t m e m b e r i k a n
o p in i u n q u a l i f i e d te r h a d a p b a n k - b a n k b e s a r d a n k e c i l te ta p i d e n g a n p e n u r u n a n n i l a i
t u k a r R u p i a h te r h a d a p D o l a r A m e r i k a S e r i k a t y a n g s a n g a t s i g n i f i k a n s e h i n g g a
s e ju m la h
b esar
b a n k -b a n k
te r s e b u t
h a ru s
d i ’r u m a h s a k i t ’k a n ,
d ib e k u k a n
a ta u
d ilik u id a s i. P a d a p e rio d e y a n g s a m a In d e k s H a rg a S a h a m G a b u n g a n (IH S G ) ju g a
m e l u n c u r d a r i 7 4 0 ( p a d a t a n g g a l 8 J u li 1 9 9 7 ) m e n ja d i s e p e r t i g a n y a , 2 5 8 ( p a d a
t a n g g a l 6 O k t o b e r 1 9 9 8 ) ( s itu s w e b B u r s a E f e k J a k a r ta /B E J : w w w .j s x .c o .i d ).
I n s t i t u t A k u n t a n P u b l i k I n d o n e s i a ( I A P I , d a h u lu I k a t a n A k u n t a n I n d o n e s i a /
I A I ) m e n a n g g a p i h a l d i a ta s a n t a r a la i n d e n g a n m e n g e l u a r k a n h i m b a u a n k e p a d a p a r a
a k u n t a n p u b l i k u n t u k m e n y e b u t k a n a d a n y a k r i s i s e k o n o m i y a n g s e d a n g t e r ja d i, a p a
d a m p a k n y a te rh a d a p p e r u s a h a a n , s e r ta a p a tin d a k a n y a n g d ia m b il u n tu k m e n ja g a
k e l a n g s u n g a n u s a h a p e r u s a h a a n , b i l a a d a . A u d i t o r p e r l u m e m b e r i p e n e k a n a n a ta s
s u a tu h a l y a n g b e rk a ita n d e n g a n la p o ra n k e u a n g a n (S P A P 2 0 0 6 ).
S tu d i s e b e lu m n y a (C h e n d a n C h u rc h
in fo rm a s i
d a la m
o p in i g o i n g
co ncern,
1 9 9 6 ) m e n u n ju k k a n a d a n y a n ila i
bahw a
o p in i g o i n g
concern
b e rg u n a
u n tu k m e n je la s k a n re a k s i p a s a r te rh a d a p k e b a n g k r u ta n p e ru s a h a a n . F ir th (1 9 7 8 )
m e n e m u k a n b a h w a b e b e r a p a j e n i s k u a lif ik a s i a u d it m e m i l i k i d a m p a k s i g n i f i k a n
t e r h a d a p k e p u t u s a n in v e s t a s i.
M e n g i k u t i p e n g u j i a n a s o s i a s i o p in i a u d i t te r h a d a p r e a k s i p a s a r , C h e n d a n
C h u r c h (1 9 9 6 ) d a n F ir th (1 9 7 8 ) m e n g u ji a p a k a h r e tu r n s a h a m p e ru s a h a a n y a n g
m e n d a p a t k a n o p in i a u d i t u n q u a l i f i e d d e n g a n p e n e k a n a n a ta s s u a t u h a l ( d e n g a n
p a r a g r a f p e n je la s a n ) s a m a d e n g a n r e tu r n s a h a m p e ru s a h a a n y a n g m e n d a p a tk a n
o p in i a u d it u n q u a lifie d b e n tu k b a k u .
H a s i l s tu d i m e n g i n d i k a s i k a n a d a n y a i n c r e m e n t a l i n f o r m a t i o n c o n t e n t d a l a m
o p in i a u d it u n q u a lifie d d e n g a n p a r a g r a f p e n je la s a n . D e n g a n u ji b e d a m e a n r e tu r n
s a h a m { u n i v a r i a t e ) d a n u ji r e g r e s i , t e r d a p a t b e d a r e t u r n s a h a m y a n g s i g n i f i k a n
a n t a r a o p i n i a u d i t u n q u a l i f i e d d e n g a n p a r a g r a f p e n j e l a s a n d a n o p in i a u d i t u n q u a l i f i e d
cii s e p u t a r t a n g g a l p e n g u m u m a n o p in i. P a s a r le b ih m e n g a p r e s i a s i a d a n y a p a r a g r a f
p e n j e l a s a n d a l a m o p in i a u d i t u n q u a l i f i e d d i b a n d i n g k a n d e n g a n o p in i u n q u a l i f i e d
b e n tu k b ak u .
P em bahasan
d a la m
paper
in i d i l a n j u t k a n
dengan
pem bahasan
la p o ra n
a u d i t o r s e b a g a i m a n a d i a t u r d a l a m S P A P , p e n e l i t i a n s e b e l u m n y a , p e m i l i h a n s a m p e l,
p e n g u j i a n u n i v a r i a t e , p e n g u j i a n r e g r e s i , d a n k e s im p u la n .
P e r n y a t a a n a u d i t o r d id a s a r k a n a ta s a u d it y a n g d i l a k s a n a k a n b e r d a s a r k a n
s t a n d a r a u d i t i n g d a n a ta s t e m u a n - t e m u a n n y a . L a p o r a n a u d i t o r b e n t u k b a k u m e m u a t
s u a t u p e r n y a t a a n b a h w a l a p o r a n k e u a n g a n m e n y a j i k a n s e c a r a w a ja r , d a l a m s e m u a
157
L e o , In c r e m e n ta l I n fo r m a tio n C o n te n t d a la m O p in i A u d it U n q u a lifie d .
h a l y a n g m a te r ia l, p o s is i k e u a n g a n s u a tu p e r u s a h a a n , h a s il u s a h a , d a n a r u s k a s s e s u a i
d e n g a n p r i n s i p a k u n ta n s i y a n g b e r l a k u u m u m d i I n d o n e s ia . L a p o r a n a u d i t o r b e n tu k
b a k u h a r u s m e n y e b u t k a n l a p o r a n k e u a n g a n a u d i t a n d a la m
p a r a g r a f p e n g a n ta r ,
m e n g g a m b a r k a n s if a t a u d i t d a l a m p a r a g r a f lin g k u p a u d it, d a n m e n y a t a k a n p e n d a p a t
a u d i t o r d a la m p a r a g r a f p e n d a p a t.
K eadaan
te rte n tu
s e rin g k a li
m en g h aru sk an
a u d ito r
m enam bahkan
p a r a g r a f p e n j e l a s a n d a l a m la p o r a n a u d i t o r b e n tu k b a k u . K e a d a a n t e r s e b u t d a p a t
d i k e l o m p o k k a n s e b a g a i b e r ik u t:
1. P e n d a p a t a u d i t o r s e b a g i a n d i d a s a r k a n a ta s la p o r a n a u d i t o r in d e p e n d e n la in .
K e n y a t a a n in i h a r u s d i j e l a s k a n d a la m p a r a g r a f p e n g a n t a r d a n p a r a g r a f p e n d a p a t .
P e n g a c u a n in i m e r u p a k a n p e t u n j u k a d a n y a p e m i s a h a n t a n g g u n g j a w a b d a l a m
p e la k s a n a a n a u d it (P e rn y a ta a n S ta n d a r A u d itin g /P S A N o . 3 8 )
2 . P e n y i m p a n g a n d a r i p r i n s i p a k u n ta n s i y a n g d i t e t a p k a n s e c a r a f o r m a l o le h b a d a n
y a n g b e r w e n a n g . B i l a p e n y i m p a n g a n b e r d a m p a k m a te r ia l t e r h a d a p
la p o ra n
k e u a n g a n s e c a r a k e s e l u r u h a n , a k u n t a n p u b l i k ti d a k d a p a t m e m b e r i k a n p e n d a p a t
w a j a r t a n p a p e n g e c u a l i a n ( u n q u a l i f i e d ). O p in i u n q u a l i f i e d d a p a t d i b e r i k a n h a n y a
b i l a p e n y i m p a n g a n te r s e b u t t i d a k b e r d a m p a k m a t e r i a l d a n p e n y i m p a n g a n d a n
e s tim a s i d a m p a k n y a
( b il a
p ra k tis
u n tu k
d ila k s a n a k a n )
d iu n g k a p k a n
d a la m
p a r a g r a f te r p is a h .
3. K e tid a k k o n s is te n a n .
B ila
te ija d i
p e ru b a h a n
p rin s ip
a k u n ta n s i
a ta u
m e to d e
p e n e r a p a n n y a y a n g m e m p u n y a i a k i b a t m a te r ia l t e r h a d a p d a y a b a n d i n g l a p o r a n
k e u a n g a n p e ru s a h a a n , a u d ito r h a ru s m e n y a ta k a n p e r u b a h a n
te r s e b u t d a l a m
p a r a g r a f p e n j e l a s a n d i d a l a m la p o r a n n y a .
4 . P e n e k a n a n a ta s s u a tu h a l. D a l a m b e b e r a p a k e a d a a n , a u d i t o r m u n g k i n p e r l u
m e m b e r i p e n e k a n a n a ta s s u a tu h a l y a n g b e r k a i t a n d e n g a n la p o r a n k e u a n g a n .
I n f o r m a s i in i h a r u s d i s a j i k a n d a l a m p a r a g r a f t e r p i s a h d a l a m l a p o r a n a u d ito r .
C o n to h
h a l-h a l
yang
m e n u ru t
p e rtim b a n g a n
a u d ito r
p e rlu
m e n d a p a tk a n
p e n e k a n a n a d a l a h b a h w a p e r u s a h a a n a d a la h k o m p o n e n d a r i p e r u s a h a a n y a n g
le b ih b e sa r, p e ru s a h a a n m e m p u n y a i tra n s a k s i s ig n ifik a n d e n g a n p ih a k y a n g
m e m p u n y a i h u b u n g a n is t i m e w a , p e r i s t i w a k e m u d i a n p e n t i n g y a n g l u a r b i a s a ,
d a n m a s a l a h - m a s a l a h a k u n t a n s i , s e la in y a n g b e r k a i t a n d e n g a n p e r u b a h a n d a l a m
p r i n s i p a k u n t a n s i , y a n g b e r d a m p a k a ta s d a y a b a n d i n g l a p o r a n k e u a n g a n d e n g a n
la p o ra n k e u a n g a n p e rio d e s e b e lu m n y a
S tu d i in i f o k u s p a d a m e m b a n d i n g k a n r e a k s i p a s a r te r h a d a p o p in i u n q u a l i f i e d
d e n g a n p a r a g r a f p e n je la s a n d e n g a n u n q u a lifie d b e n tu k b a k u , y a n g d a p a t d is e b a b k a n
o le h p e n y im p a n g a n d a ri p rin s ip a k u n ta n s i y a n g tid a k m a te ria l, p e m b a h a n p rin s ip
a ta u m e t o d e a k u n t a n s i y a n g b e r a k i b a t m a t e r i a l te r h a d a p d a y a b a n d i n g l a p o r a n
k e u a n g a n , d a n a ta u p e n e k a n a n a ta s s u a tu h a l.
158
J u r n a l A k u n t a n s i d a n K e u a n g a n I n d o n e s i a , D e s e m b e r 2 0 0 7 , V o l.4, N o .2 , h a l. 1 5 5 - 1 6 8
T IN J A U A N L IT E R A T U R
D a la m
s tu d i F i r t h ( 1 9 7 8 ) , k u a lif ik a s i a ta s o p in i a u d i t d i i d e n t i f i k a s i k a n
s e b a g a i k u a l i f i k a s i a ta s t r u e a n d f a i r v i e w ( a s o s i a s i n e g a t i f d e n g a n h a r g a s a h a m ) ,
y a n g k e m u d i a n d ir in c i a ta s g o i n g c o n c e r n ( a s o s i a s i n e g a t i f d e n g a n h a r g a s a h a m )
d a n a s s e t v a l u e s ( a s o s i a s i n e g a t i f d e n g a n h a r g a s a h a m ) , s u b s i d i a r y ’s a u d i t ( a s o s ia s i
n e g a tif d e n g a n h a rg a s a h a m ), s ta te m e n ts o f s ta n d a r d a c c o u n tin g p r a c tic e (a s o s ia s i
n e g a tif d e n g a n h a rg a s a h a m ), s ta te m e n ts o f s ta n d a r d a c c o u n tin g p r a c tic e a n d c o n c u r
( tid a k b e r d a m p a k p a d a h a rg a s a h a m ), d a n c o n tin u in g a u d it q u a lific a tio n s (a s o s ia s i
n e g a t i f d e n g a n h a r g a s a h a m ) . S e p e r t i n y a , o p in i a u d i t d a p a t m e n j a d i b a d n e w s a t a u
g o o d n e w s k e p a d a p a s a r , t e r g a n t u n g k e p a d a j e n i s o p in i y a n g d ik e lu a r k a n .
C h e n d a n C h u r c h ( 1 9 9 6 ) m e n g i n v e s t i g a s i a s o s ia s i a n t a r a o p in i g o i n g c o n c e r n
d a n re a k s i p a s a r te rh a d a p p e n d a f ta r a n k e b a n g k ru ta n . T e m u a n m e re k a k o n s is te n
dengan
p e n e litia n
s u r p r is e
s e b e lu m n y a b a h w a
seh u b u n g an
dengan
o p in i g o i n g c o n c e r n
k e b a n g k r u ta n .
P e ru sa h a a n
d ap at m e n g u ra n g i
yang
m e n e rim a
o p in i
g o in g c o n c e r n m e n g a la m i e x c e s s r e tu r n s y a n g k u ra n g n e g a tif d a la m p e rio d e s e k ita r
ta n g g a l p e l a p o r a n k e b a n g k r u t a n d i b a n d i n g k a n d e n g a n p e r u s a h a a n y a n g m e n e r i m a
o p in i u n q u a l i f i e d . S e c a r a k e s e l u r u h a n , t e m u a n m e r e k a k o n s i s t e n d e n g a n t e m u a n
b a h w a o p i n i g o i n g c o n c e r n m e m i l i k i n i l a i in f o r m a s i.
F i r t h ( 1 9 7 8 ) m e n e m u k a n b a h w a k u a lif ik a s i a t a s o p in i a u d it d i i n t e r p r e t a s i k a n
s e b a g a i b a d n e w s s e h i n g g a p u b l i k a s i o p in i b e r a s o s i a s i n e g a t i f d e n g a n h a r g a s a h a m .
N a m u n d a l a m t e m u a n F i r t h ( 1 9 7 8 ) j u g a , k u a l i f i k a s i a t a s o p in i a u d i t d a p a t t i d a k
b e r d a m p a k p a d a h a r g a s a h a m . P a r a g r a f p e n j e l a s a n d a la m l a p o r a n a u d i t o r b e n t u k
b a k u d im a k s u d k a n o le h S P A P (2 0 0 6 ) u n tu k m e n je la s k a n k e a d a a n te rte n tu y a n g
te ija d i p a d a p e ru s a h a a n , y a itu p e n y im p a n g a n d a ri p rin s ip a k u n ta n s i y a n g tid a k
m a te ria l, p e ru b a h a n p rin s ip a ta u m e to d e a k u n ta n s i y a n g b e ra k ib a t m a te ria l te rh a d a p
d a y a b a n d i n g la p o r a n k e u a n g a n , d a n a t a u p e n e k a n a n a t a s s u a t u h a l. P a r a g r a f
p e n j e l a s a n in i t i d a k d i m a k s u d k a n u n t u k m e n u r u n k a n k u a l i t a s o p in i a u d i t u n q u a l i f i e d
y a n g d i b e r i k a n . O l e h k a r e n a n y a , h i p o t e s a n o l s tu d i in i a d a l a h ti d a k a d a p e r b e d a a n
r e a k s i p a s a r t e r h a d a p o p i n i a u d i t u n q u a l i f i e d d a n o p in i a u d i t u n q u a l i f i e d d e n g a n
p a r a g r a f p e n je la s a n . H ip o te s a a lte r n a tif a d a la h a d a b e d a re a k s i p a sa r. R e a k s i p a s a r
m e r e f l e k s i k a n k e p u t u s a n in v e s t a s i d a l a m p a s a r . B ila t e r d a p a t b e d a r e a k s i k a r e n a b e d a
o p in i a u d i t y a n g d i k e l u a r k a n , d a p a t d i i n t e r p r e t a s i k a n b a h w a t e r d a p a t i n f o r m a t i o n
c o n t e n t d a l a m o p in i a u d i t s e b a g a i ta m b a h a n i n f o r m a t i o n c o n t e n t p a d a h a s il y a n g
d i l a p o r k a n d a l a m la p o r a n k e u a n g a n .
F o r m u l a s i h ip o t e s i s a d a l a h s e b a g a i b e r ik u t:
H 0: E x c e s s r e t u r n s o p in i u n q u a l i f i e d s a m a d e n g a n e x c e s s r e t u r n s o p in i u n q u a l i f i e d
d e n g a n p a r a g r a f p e n je la s a n .
L e o , I n c r e m e n ta l I n fo r m a tio n C o n te n t d a la m O p in i A u d it U n q u a lifie d .
159
H al|: E x c e s s r e t u r n s o p in i u n q u a l i f i e d tid a k s a m a d e n g a n e x c e s s r e t u r n s o p in i
u n q u a l i f i e d d e n g a n p a r a g r a f p e n je l a s a n .
H i p o te s i s y a n g d i b e n t u k
a d a l a h 2 - t a i l e d k a r e n a h a s i l s t u d i F ir th
(1 9 7 8 )
m e n u n j u k k a n b a h w a b e r b a g a i p e n y e b a b k u a lif ik a s i o p i n i a u d i t t e r n y a t a m e m p u n y a i
a s o s ia s i y a n g b e ra g a m d e n g a n h a rg a sa h a m .
M E T O D E P E N E L IT IA N
P e m ilih a n S a m p e l
L a p o r a n a u d i t y a n g d i j a d i k a n s a m p e l a d a l a h l a p o r a n a u d i t a ta s l a p o r a n
k e u a n g a n ta h u n 2 0 0 5 d a n 2 0 0 6 , d a n y a n g m e m e n u h i k r i t e r i a b e r ik u t:
1.
L a p o r a n a u d i t t e r s e d i a d i s itu s w e b B E J d e n g a n o p in i u n q u a l i f i e d b e n t u k
b a k u d a n u n q u a lifie d d e n g a n p a r a g r a f p e n je la s a n
2.
D a ta la p o ra n k e u a n g a n te rs e d ia d a la m d a ta b a s e O S IR IS
3.
H a r g a s a h a m d a n I H S G t e r s e d i a d i s itu s w e b B E J
T a b e l 1 m e n g i k h t i s a r k a n p e m i l i h a n s a m p e l. J u m l a h s a m p e l y a n g m e n j a d i
o b s e r v a s i a d a l a h s e b e s a r 2 9 1 f i r m - y e a r s , y a n g te r d i r i a ta s 1 3 4 f i r m - y e a r s d e n g a n
u n q u a lifie d b e n tu k b a k u d a n 157 fir m -y e a r s d e n g a n u n q u a lifie d d e n g a n p a r a g r a f
p e n je la s a n .
T abel 1
P e m ilih a n S a m p e l d a n O p in i A u d ito r
P e m ilih a n S a m p e l
J u m la h p e ru s a h a a n te rb u k a y a n g te rd a fta r p a d a B u rs a E fe k J a k a rta (B E J ) d a lam
p e rio d e 2 0 0 5 - 2 0 0 6
O p in i a u d ito r tid a k te rs e d ia d a la m s itu s B E J
D a ta la p o ra n k e u a n g a n tid a k te rs e d ia d a lam d a ta b a s e O S IR IS
D a ta r e tu r n s s a h a m tid a k te rs e d ia
O p in i a u d ito r q u a lifie d d a n d is c la im e r
J u m la h fir m - y e a r s
(4 0 )
(3 2 1 )
(9 )
(1 1 )
291
O p in i A u d ito r
U n q u a lifie d
U n q u a lifie d d e n g a n p a r a g r a f p e n je la s a n
134
157
J u m la h fi r m -y e a r s
291
J u r n a l A k u n t a n s i cla n K e u a n g a n I n d o n e s i a , D e s e m b e r 2 0 0 7 , Vol. 4, N o .2 , h a l. 1 5 5 - 1 6 8
160
P e n g u jia n
Univariate
D a l a m p e n g u j i a n u n i v a r i a t e , s tu d i in i m e n g i n v e s t i g a s i e x c e s s r e t u r n s y a n g
t e r j a d i s e p u t a r t a n g g a l p e n g u m u m a n o p in i a u d it. M e n g i k u t i F i r t h ( 1 9 7 8 ) , p e r i o d e
e x c e s s r e tu r n s d ih itu n g d a la m p e rio d e 2 0 h a ri s e b e lu m (-2 0 ) s a m p a i d e n g a n 2 0 h a ri
s e t e l a h ( + 2 0 ) p e n g u m u m a n a u d it. E x c e s s r e t u r n s d i h i t u n g u n t u k m a s i n g - m a s i n g
o p in i a u d it u n q u a lifie d d e n g a n p a r a g r a f p e n je la s a n d a n u n q u a lifie d d a la m c o n tr o l
g r o u p . C o n t r o l g r o u p t e r d ir i a t a s f i r m - y e a r s d e n g a n o p in i u n q u a l i f i e d d a n d i b e n t u k
d e n g a n c a ra m e m a s a n g k a n (p a ir in g ) s e tia p p e ru s a h a a n y a n g m e n e r im a u n q u a lifie d
d e n g a n p a r a g r a f p e n je la s a n m a s in g -m a s in g ta h u n d e n g a n p e ru s a h a a n y a n g m e n e r im a
u n q u a lifie d b e n tu k b a k u d a la m
in d u s tr i y a n g s a m a ( s e h i n g g a p e r u s a h a a n y a n g
d i o b s e r v a s i d a n p e r u s a h a a n c o n t r o l b e r a d a d a l a m i n d u s tr i y a n g s a m a ) , s e r t a d e n g a n
s iz e (d iu k u r s e b a g a i m a r k e t c a p ita liz a tio n ) d a n u n e x p e c te d e a r n in g s (U E ) (d iu k u r
s e b a g a i b e d a la b a s e b e l u m p o s lu a r b i a s a a n t a r ta h u n d i s k a l a k a n d e n g a n l a b a s e b e l u m
p o s lu a r b i a s a t a h u n s e b e l u m n y a ) y a n g k u r a n g le b ih s a m a ( s e h i n g g a b e s a r a n m a r k e t
c a p ita liz a tio n d a n U E a n ta ra p e ru s a h a a n c o n tr o l m e n d e k a ti m a r k e t c a p ita liz a tio n
d a n U E p e r u s a h a a n y a n g d io b s e r v a s i ) . D e n g a n m e n g o n t r o l in d u s tr i, s i z e d a n U E ,
d a p a t d i i n t e r p r e t a s i k a n b a h w a b e d a s i g n i f i k a n d i a n t a r a k e d u a k e l o m p o k o p in i
a u d i t d i s e b a b k a n o l e h i n f o r m a t i o n c o n t e n t d a r i o p in i u n q u a l i f i e d d e n g a n p a r a g r a f
p e n je la s a n .
T a n g g a l p e n g u m u m a n a u d it a d a la h ta n g g a l p e n y a m p a ia n la p o ra n k e u a n g a n
y a n g s u d a h d i a u d i t k e p a d a B E J a t a u t a n g g a l p e m a s a n g a n ik l a n l a p o r a n k e u a n g a n
y a n g s u d a h d i a u d i t d i s u r a t k a b a r , m a n a y a n g le b ih c e p a t. L a p o r a n o p in i a u d i t o r
t e r d a p a t d i d a l a m l a p o r a n k e u a n g a n t e r s e b u t.
E x c e s s r e t u r n s s e ti a p p e r u s a h a a n d i h i t u n g s e b a g a i m a r k e t - a d j u s t e d r e t u r n
(T e o h d a n W o n g
1 9 9 3 ). U n t u k s e t i a p p e r u s a h a a n , d i h i t u n g b e d a a n t a r a r e tu r n
p e r u s a h a a n d a n r e tu r n p a s a r (IH S G ). P a n e l A T a b e l 2 m e n u n ju k k a n ra ta -ra ta e x c e s s
r e tu r n s s e tia p h a ri d a la m p e rio d e -2 0 d a n + 2 0 (F irth 1 9 7 8 ) (h a ri 0 a d a la h ta n g g a l
p e n g u m u m a n a u d it) . H i p o t e s a n o l d ito la k . K e l o m p o k o p in i u n q u a l i f i e d d e n g a n
p a r a g r a f p e n j e l a s a n m e n u n j u k k a n e x c e s s r e t u r n s y a n g p o s i t i f s e b e s a r 1 ,1 2 % p a d a
l i a r i 0 , s e m e n t a r a k e l o m p o k o p in i u n q u a l i f i e d m e n u n j u k k a n e x c e s s r e t u r n s y a n g
n e g a t i f s e b e s a r 0 ,2 6 % , t e r d a p a t b e d a s e b e s a r 1 ,3 9 % y a n g s i g n i f i k a n p a d a le v e l 1 % .
E x c e s s r e t u r n s n e g a t i f a ta s o p in i u n q u a l i f i e d m u n g k i n d i s e b a b k a n a n t i s i p a s i p a s a r
t e r h a d a p o p in i a u d i t s e b e l u m o p in i a u d i t d i u m u m k a n , y a n g d i t u n j u k k a n d e n g a n
e x c e s s r e t u r n s p o s i t i f s e ja k
h a r i -5 s a m p a i d e n g a n h a r i -2 . P e n g u j i a n b e d a k e d u a
k e l o m p o k m e n u n j u k k a n r e a k s i p a s a r y a n g b e r b e d a s i g n i f i k a n d a l a m 12 h a r i d a r i 41
l i a r i p e r d a g a n g a n , t e r d ir i a ta s 7 h a r i e x c e s s r e t u r n s k e l o m p o k u n q u a l i f i e d d e n g a n
p a r a g r a f p e n j e l a s a n le b ih p o s i t i f d i b a n d i n g k a n e x c e s s r e t u r n s k e l o m p o k u n q u a l i f i e d
b e n t u k b a k u d a n 5 h a r i s e b a lik n y a .
L e o , I n c r e m e n ta l I n fo r m a tio n C o n te n t d a la m O p in i A u d it U n q u a lifie d .
161
T abel 2
Excess Returns s e p u t a r
U n q u a lifie d d c n g a n
p a r a g r a f p e n je l a s a n *
M ean
S .D .
T a n g g a l P e n g u m u m a n O p in i A u d it
U n q u a lifie d *
M ean
S .D.
B eda
M ean
S .D .
t - v a lu e
p -v a tu e
P a n e l A : r e tu r n s h a r ia n
-2 0
- 0 .0 0 2 8
0 .0 3 1 3
- 0 .0 0 3 8
0 .0 2 4 7
-19
- 0 .0 0 5 6
0 .0 3 9 6
- 0 .0 0 4 6
0 .0 2 1 8
-
0 .0 0 1 0
0 .0 3 8 5
0 .3 2 6 7
0.0011
0 .0 4 7 8
- 0 .2 7 7 4
0 .7 4 4 3
0 .7 8 1 9
-1 8
0.0001
0 .0 3 6 3
- 0 .0 0 3 3
0 .0 2 0 3
0 .0 0 3 3
0 .0 4 2 7
0 .9 7 0 1
0 .3 3 3 5
-1 7
0 .0 0 8 1
0 .0 4 7 3
- 0 .0 0 4 2
0 .0 3 1 8
0 .0 1 2 3
0 .0 6 0 7
2 .5 3 7 6
0 .0 1 2 1
-1 6
0 .0 0 1 7
0 .0 4 4 9
- 0 .0 0 0 5
0 .0 2 7 3
0 .0 0 2 2
0 .0 4 9 9
0 .5 4 9 8
0 .5 8 3 2
-1 5
0 .0 0 4 0
0 .0 4 1 9
0.0000
0 .0 2 9 1
0 .0 0 4 0
0 .0 5 1 4
0 .9 8 0 5
0 .3 2 8 4
-1 4
- 0 .0 0 4 6
0 .0 2 6 6
0 .0 0 0 8
0 .0 1 8 6
- 0 .0 0 5 4
0 .0 3 1 8
- 2 .1 1 8 2
0 .0 3 5 7
-1 3
- 0 .0 0 6 4
- 0 .0 0 0 6
0 .0 4 4 4
- 0 .0 0 5 8
0 .0 6 2 0
-1 .1 7 0 6
0 .2 4 3 5
2 .0 3 6 5
-0 .2 2 4 8
0 .8 2 2 4
-1 2
0 .0 0 8 2
0 .0 3 9 1
0 .0 4 9 1
- 0 .0 0 1 5
0 .0 3 2 0
0 .0 0 9 7
0 .0 5 9 6
-11
-0 .0 0 2 1
0 .0 3 2 7
- 0 .0 0 1 3
0 .0 2 5 4
- 0 .0 0 0 7
0 .0 4 1 4
-1 0
- 0 .0 0 1 8
0 .0 2 6 4
-0 .0 0 0 9
0 .0 1 5 3
- 0 .0 0 0 9
0 .0 2 9 6
- 0 .3 8 7 6
0 .6 9 8 8
-9
- 0 .0 0 7 3
0 .0 3 7 0
0 .0 0 1 3
0 .0 3 3 5
- 0 .0 0 8 6
0 .0 4 3 9
- 2 .4 6 0 6
0 .0 1 5 0
0 .0 4 3 4
-8
-0 .0 1 1 7
0 .0 3 2 7
- 0 .0 0 7 0
0 .0 3 2 4
- 0 .0 0 4 7
0 .0 4 4 1
- 1 .3 3 6 0
0 .1 8 3 5
-7
- 0 .0 0 8 8
0 .0 2 4 7
- 0 .0 1 5 6
0 .0 2 6 5
0 .0 0 6 8
0 .0 3 3 8
-6
0 .0 0 1 3
0 .0 4 7 2
- 0 .0 0 2 5
0 .0 2 1 9
0 .0 0 3 8
0 .0 5 0 9
2 .5 2 6 3
0 .9 3 6 4
0 .3 5 0 5
0 .0 1 2 5
**
**
**
**
-5
0 .0 0 6 0
0 .0 4 0 3
0 .0 0 8 5
0 .0 2 6 5
- 0 .0 0 2 5
0 .0 4 6 5
-0 .6 7 3 2
0 .5 0 1 8
-4
_3
0 .0 0 1 2
0 .0 4 2 3
0 .0 4 0 1
- 0 .0 0 1 0
0 .0 5 3 4
-0 .2 2 9 9
0 .8 1 8 5
- 0 .0 0 2 9
0 .0 2 5 0
0 .0 0 2 2
0 .0 0 0 0
0 .0 1 9 9
- 0 .0 0 3 0
0 .0 3 1 2
-1 .1 9 9 3
0 .2 3 2 2
0.0001
0 .0 3 5 2
0 .0 0 8 6
0 .0 3 5 7
- 0 .0 0 8 7
0 .0 5 2 5
-2 .0 8 5 7
0 .0 3 8 6
**
-1
0 .0 0 2 0
0 .0 4 0 6
- 0 .0 0 6 7
0 .0 3 7 3
0 .0 0 8 7
0 .0 5 4 0
2 .0 2 5 2
0 .0 4 4 6
**
0
0 .0 1 1 2
0 .0 4 9 1
- 0 .0 0 2 6
0 .0 1 3 9
0 .0 6 0 0
2 .8 9 4 0
0 .0 0 4 3
***
1
-0 .0 0 6 1
0 .0 3 6 6
0 .0 0 3 2
0 .0 3 9 0
0 .0 4 1 0
- 0 .0 0 9 4
0 .0 5 4 6
- 2 .1 4 7 8
0 .0 3 3 3
0 .4 7 1 2
-2
-
2
0.0000
0 .0 4 6 7
- 0 .0 0 2 9
0 .0 2 4 0
0 .0 0 2 9
0 .0 5 0 8
0 .7 2 2 3
3
0 .0 0 4 5
0 .0 4 7 0
-0 .0 0 9 1
0 .0 2 3 0
0 .0 1 3 6
0 .0 5 1 8
3 .2 9 9 1
0 .0 0 1 2
4
0 .0 0 4 6
0 .0 5 1 3
0 .0 0 2 2
0 .0 2 4 4
0 .0 0 2 4
0 .0 5 5 3
0 .5 3 7 1
0 .5 9 2 0
5
6
0.0001
0 .0 4 0 0
-0 .0 0 0 6
0 .0 2 4 4
0 .0 0 0 5
0 .0 4 5 7
0 .1 3 5 0
0 .8 9 2 8
- 0 .0 0 3 5
0 .0 4 4 1
- 0 .0 0 2 0
0 .0 1 8 6
- 0 .0 0 1 6
0 .0 4 2 8
- 0 .4 6 0 0
0 .6 4 6 2
7
- 0 .0 0 3 2
0 .0 3 8 4
0 .0 0 2 8
0 .0 3 9 4
-0 .0 0 6 1
0 .0 5 1 3
- 1 .4 8 1 2
0 .1 4 0 6
8
-0 .0 0 0 3
0 .0 2 7 6
-0 .0 0 3 1
0 .0 4 7 0
0 .0 0 2 8
0 .0 5 3 /
0 .6 6 6 3
0 .5 0 6 2
0 .7 9 9 2
-
9
- 0 .0 0 0 7
0 .0 3 1 1
- 0 .0 0 1 0
0 .0 4 9 2
-0 .2 5 4 8
- 0 .0 0 4 3
0 .0 3 9 3
0 .0 4 3 7
0 .0 0 0 3
10
-0 .0 0 3 6
0 .0 5 3 4
- 0 .0 0 0 7
0 .0 6 8 0
-0 .1 3 4 5
0 .8 9 3 2
U
- 0 .0 0 4 7
0 .0 4 7 5
- 0 .0 1 0 1
0 .0 3 1 2
0 .0 0 5 3
0 .0 5 7 2
1 .1 6 2 0
0 .2 4 7 0
12
-0 .0 0 8 1
0 .0 5 0 7
0 .0 1 1 6
0 .0 5 4 5
- 0 .0 1 9 7
0 .0 8 6 1
- 2 .8 6 3 7
0 .0 0 4 8
13
0 .0 1 6 5
0 .0 6 2 2
0 .0 0 7 9
0 .0 6 8 6
0 .0 0 8 5
0 .0 9 2 1
1 .1 5 9 8
0 .2 4 7 9
14
0 .0 1 0 1
0 .0 5 4 0
0 .0 0 5 0
0 .0 6 2 5
0 .0 0 5 2
0 .0 8 4 7
0 .7 6 2 8
0 .4 4 6 7
0 .1 8 9 1
15
0 .0 0 3 1
0 .0 5 3 4
-0 .0 0 3 4
0 .0 3 6 7
0 .0 0 6 5
0 .0 6 2 2
1 .3 1 9 0
16
-0 .0 0 5 1
0 .0 4 5 8
0 .0 2 6 1
0 .0 0 0 5
0 .9 1 1 9
0 .0 0 0 3
0 .0 3 9 0
0 .0 4 7 1
- 0 .0 0 3 7
0 .0 5 3 1
0 .0 5 6 8
0 .1 1 0 8
17
-0 .0 0 5 5
0 .0 0 4 1
- 0 .8 1 8 5
0 .4 1 4 3
18
0 .0 0 5 5
0 .0 4 2 4
-0 .0 0 1 8
0 .0 3 5 2
0 .0 0 7 3
0 .0 5 1 8
1 .7 6 8 5
0 .0 7 8 9
19
- 0 .0 0 5 5
0 .0 6 0 4
- 0 .0 0 0 2
0 .0 3 3 7
- 0 .0 0 5 3
0 .0 7 0 6
-0 .9 4 6 1
0 .3 4 5 6
20
0 .0 0 2 7
0 .0 4 6 2
-0 .0 0 0 2
0 .0 2 2 8
0 .0 0 2 9
0 .0 5 3 7
0 .6 7 8 6
0 .4 9 8 4
***
*
P an el H w in d o w re tu r n s
0 .0 0 0 6
0 .0 9 3 4
-0 .0 1 9 0
0 .0 7 1 9
0 .0 1 9 6
0 .1 1 7 1
2 .0 9 1 1
0 .0 3 8 1
**
-0 .0 2 4 1
0 .0 8 6 1
-0 .0 0 5 2
0 .0 7 8 6
- 0 .0 1 8 8
0 .1 1 6 1
- 2 .0 3 1 7
0 .0 4 3 9
**
[ -1 .+ 1 ]
0 .0 0 7 1
0 .0 6 2 6
-0 .0 0 6 2
0 .0 5 6 9
0 .0 1 3 3
0 .0 8 2 9
2 .0 0 3 3
0 .0 4 6 9
**
[ + 2 ,+ 1 0 ]
-0 .0 0 3 1
0 .0 9 5 7
-0 .0 1 6 0
0 J0 3 7
0 .0 1 2 9
0 .1 3 4 8
1 .1 9 8 5
0 .2 3 2 5
0 .0 1 4 8
0 .1 3 0 9
0 .0 2 0 3
0 .1 7 3 5
0 .0 0 7 5
0 .1 9 4 6
0 .4 8 3 0
0 .6 2 9 8
[ - 2 0 ,- 1 1 ]
[ -1 0 ,- 2 ]
[ + 1 1 .+ 2 0 ]
“ J u m l a h s a m p e l d a la m p o r t o f o l i o a d a l a h s e b e s a r 1 5 7 f i r m - y e a r
b T e rd ir i a t a s p o r t o f o l i o y a n g d ib e n t u k b e r d a s a r k a n p a i r i n g d e n g a n p e r u s a h a a n y a n g m e n e r im a o p in i u n q u a l i f i e d
d e n g a n p a r a g r a f p e n j e l a s a n d a l a m in d u s tr i y a n g s a m a s e r ta s i z e d a n u n e x p e c te d e a r n i n g s y a n g r e l a t i f s a m a
* * * s i g n i f i k a n p a d a le v e l 0 .0 1 p a d a 2 - l a i l e d t e s t
**
s i g n i f i k a n p a d a le v e l 0 .0 5 p a d a 2 - t a i l e d t e s t
*
s i g n if ik a n p a d a le v e l 0 1 0 p a d a 2 - l a i l e d t e s t
J u r n a l A k u n t a n s i d a n K e u a n g a n I n d o n e s i a , D e s e m b e r 2 0 0 7 , V o l.4, N o .2 , h a l . 1 5 5 - 1 6 8
162
P a n e l B T a b e l 2 m e n g i k h t i s a r k a n r a t a - r a t a d a n s t a n d a r d e v ia s i m a s i n g m a s i n g k e l o m p o k o p in i a u d it, b e d a a n ta r a k e d u a n y a , t - v a l u e d a n p r o b a b i l i t a s u n t u k
l i m a w i n d o w r e tu r n s . W in d o w r e t u r n s d i h i t u n g s e b a g a i k u m u la s i e x c e s s r e t u r n s
h a r i a n d a la m w i n d o w ( W C E R ) . T i g a d a r i lim a w i n d o w m e n u n j u k k a n r e a k s i p a s a r
y a n g b e r b e d a s e c a r a s ig n if ik a n d i a n t a r a d u a k e l o m p o k o p in i a u d i t , t e r d ir i a t a s d u a
w i n d o w d e n g a n W C E R k e l o m p o k u n q u a l i f i e d d e n g a n p a r a g r a f p e n j e l a s a n le b i h
p o s iiif d ib a n d in g k a n d e n g a n W C E R k e lo m p o k u n q u a lifie d b e n tu k b a k u d a n
1
w i n d o w s e b a lik n y a .
U n tu k m e n d a p a tk a n g a m b a ra n y a n g le b ih je la s , e x c e s s r e tu r n s m a s in g -m a s in g
k e l o m p o k d i j u m l a h k a n s e ti a p h a r i s e ja k h a ri - 2 0 s a m p a i d e n g a n h a r i + 2 0 ( c u m u l a t i v e
e x c e s s r e tu r n s /C E R ). P e rg e ra k a n C E R s e la m a 41 h a ri p e rd a g a n g a n s e p u ta r ta n g g a l
p e n g u m u m a n a u d it d a p a t d i l i h a t d a l a m G a m b a r 1. S e c a r a k e s e l u r u h a n , C E R o p in i
a u d i t u n q u a l i f i e d d e n g a n p a r a g r a f p e n j e l a s a n le b ih p o s i t i f d i b a n d i n g k a n d e n g a n
C E R o p in i a u d i t u n q u a l i f i e d b e n t u k b a k u .
G am bar 1
Cumulative Excess Returns s e j a k
2 0 h a r i s e b e lm u s a m p a i d e n g a n
2 0 h a r i se te la h P e n g u m u m a n A u d it
u.oi
I
-0 .0 1
| -0.02
s> -0 .0 3
d
•S
g -0 .0 4
3
-0 .0 5
-0 .0 6
T r a d in g d a y s r e la tiv e to a u d i t a n n o u n c e m e n t
U n q u a l i f i e d w ith e x p l a n a t o r y p a r a g r a p h - - - - U n q u a l i f i e d ( s ta n d a r d )
L eo , In c r e m e n ta l In fo r m a tio n C o n te n t d a la m O p in i A u d it U n q u a lifie d .
163
P e n g u j i a n u n i v a r i a t e in i m e n d a p a t k a n b u k t i b a h w a o p in i a u d i t u n q u a l i f i e d
d e n g a n p a r a g r a f p e n j e l a s a n m e n d a p a t k a n r e a k s i y a n g le b ih p o s i t i f s e p u t a r t a n g g a l
p e n g u m u m a n o p in i a u d i t d i b a n d i n g k a n o p in i a u d i t u n q u a l i f i e d b e n t u k b a k u .
P e n g u jia n M u ltiv a r ia t
P e n g u jia n m u ltiv a ria te
m enggunakan
re g re s i b e rg a n d a d ila k u k a n
u n tu k
m e m a s u k k a n v a ria b e l la in y a n g d a p a t m e n je la s k a n p e rg e ra k a n W C E R . O p in i a u d it
d i m a s u k k a n s e b a g a i v a r i a b e l in d e p e n d e n , n ila i 1 d i b e r i k a n j i k a o p i n i a u d i t u n q u a l i f i e d
d e n g a n p a r a g r a f p e n je la s a n d a n n ila i 0 jik a o p in i a u d it u n q u a lifie d b e n tu k b a k u .
S e s u a i d e n g a n h ip o t e s i s , k o e f i s i e n o p i n i a u d i t d i e k s p e k t a s i s a m a d e n g a n n o l. B i l a
k o e f i s i e n o p in i a u d i t p o s i t i f , d a p a t d i i n t e r p r e t a s i k a n b a h w a o p in i a u d i t u n q u a l i f i e d
d e n g a n p a r a g r a f p e n j e l a s a n m e m i l i k i i n c r e m e n t a l e x p l a n a t o r y p o w e r . B i l a k o e f is ie n
o p in i a u d i t n e g a t i f , o p i n i a u d i t u n q u a l i f i e d b e n t u k b a k u m e m i l i k i i n c r e m e n t a l
e x p la n a to r y p o w e r .
P e n g u j i a n r e g r e s i in i m e n g g u n a k a n d u a m o d e l . M o d e l p e r t a m a m e n g a n a l i s i s
v a r ia b e l u t a m a y a n g m e n j e l a s k a n p e r g e r a k a n W C E R y a i t u U E d a n v a r i a b e l y a n g
d iu ji y a i t u j e n i s o p in i a u d it. M o d e l k e d u a m e n a m b a h k a n v a r i a b e l k o n tr o l .
M o d e l 1 d id a s a rk a n p a d a te m u a n B a ll d a n B ro w n (1 9 6 8 ) d a n fo rm u la s i
B e a v e r e t a l. ( 1 9 9 7 ) s e b a g a i b e r ik u t:
W C E R i = a n0 + a ,I U E i + a 27 D O P ! + e.i
( 1 )7
v
D engan,
W CER =
UE.
w in d o w c u m u la tiv e e x c e s s r e tu r n fir m -y e a r
= b e d a l a b a s e b e l u m p o s l u a r b i a s a ta h u n o b s e r v a s i d e n g a n
ta h u n
s e b e l u m n y a d i s k a l a k a n d e n g a n l a b a s e b e lu m p o s l u a r b i a s a ta h u n
s e b e l u m n y a ( e k s p e k t a s i k o e f i s i e n p o s i t i f s e s u a i B a ll d a n B r o w n ,
1968)
DOP.
= 1 j i k a o p in i a u d i t u n q u a l i f i e d d e n g a n p a r a g r a f p e n j e l a s a n d a n
0 jik a
o p in i a u d i t u n q u a l i f i e d ( e k s p e k t a s i k o e f i s i e n s a m a d e n g a n n o l)
K o e f is ie n a t a d a l a h e a r n i n g s r e s p o n s e c o e f f i c i e n t ( E R C ) .
F a ro a d a n F r e n c h ( 1 9 9 2 ) m e n d a p a t k a n t e m u a n b a h w a r i s i k o s a h a m a d a l a h
m u l t i d i m e n s i o n a l . S a tu d i m e n s i r i s i k o d i p r o k s i d e n g a n s i z e , d i u k u r d e n g a n m a r k e t
c a p i t a l i z a t i o n , d a n d i m e n s i r is ik o la in d i p r o k s i d e n g a n r a s i o n ila i b u k u e k u i t a s
t e r h a d a p n ila i p a s a r ( B M ) . R i s i k o y a n g d i u k u r d e n g a n B M m e n u n j u k k a n f a k t o r
r e l a t i v e d is tr e s s . P e r u s a h a a n y a n g d in ila i m e m i l i k i p r o s p e k le m a h d \ - s i g n a l - k a n
d e n g a n h a r g a s a h a m r e n d a h d a n B M tin g g i.
V a r ia b e l k o n t r o l y a n g d i m a s u k k a n d a la m p e n g u j i a n a d a l a h v a r i a b e l B M ,
s iz e , d a n j e n i s in d u s tr i s e b a g a i m a n a d i t u n j u k k a n o l e h p e r s a m a a n (2 ).
164
J u r n a l A k u n t a n s i d a n K e u a n g a n I n d o n e s i a , D e s e m b e r 2 0 0 7 , V o l.4, N o .2 , h a l. 1 5 5 - 1 6 8
W C E R . = a 0 + a l U E . + a 2 D O P . + a 3 B M . + a 4 In S I Z E . + a 5 D I N D . + e.
(2 )
D engan,
BM .
=
r a s i o n ila i b u k u e k u ita s te r h a d a p n ila i p a s a r e k u i t a s p a d a ta h u n
o b s e r v a s i ( e k s p e k ta s i k o e f is ie n n e g a ti f )
In S IZ E . =
n ila i lo g a r itm a m a r k e t c a p i t a l i z a t i o n p a d a ta h u n o b s e r v a s i ( e k s p e k t a s i
k o e f is ie n p o s i t i f )
D IN D . =
1 j i k a p e r u s a h a a n b e r a d a d a la m in d u s tr i y a n g s a n g a t t e r e g u l a s i d a n
0 u n t u k in d u s tr i l a i n n y a ( e k s p e k ta s i k o e f i s i e n b e r b e d a d a r i n o l)
P a n e l A T a b e l 3 m e n d e s k rip s ik a n
m a s i n g - m a s i n g v a r i a b e l in d e p e n d e n
d a l a m s tu d i in i. R a t a - r a t a p e r s e n t a s e p e r u b a h a n la b a s e b e lu m p o s l u a r b i a s a ( U E )
a d a l a h s e b e s a r 7 ,6 % d e n g a n p e n y e b a r a n y a n g r e l a t i f lu a s ( s t a n d a r d e v i a s i s e b e s a r
3 ,9 1 3 ) . R a t a - r a t a D O P s e b e s a r 0 ,5 4 0 d e n g a n p e n y e b a r a n s e b e s a r 0 ,4 9 9 , y a n g
m e n g i n d i k a s i k a n j e n i s o p in i y a n g c u k u p b e r im b a n g .
T abel 3
S t a t is t ik D e s k r i p t if u n tu k V a r ia b e l I n d e p e n d e n *
UE
DOP
BM
In S IZ E
D IN D
P a n e l A : m e a n d a n sta n d a r d e v ia s i
M ean
0 .0 7 6
0 .5 4
1 .0 4 6
1 9 .5 0 7
0 .2 4 4
S ta n d a r d e v ia s i
3 .9 1 3
0 .4 9 9
3 .3 1
2 .4 4 4
0 .4 3
0 .0 0 2
0 .0 5 5
- 0 .2 8
0 .1 0 4
- 0 .9 7 1
- 0 .3 5
- 0 .6 3 5
( 0 .0 7 6 ) :
- 0 .0 0 4
- 0 .1 3 5
0 .1 2 4
- 0 .9 4 2
P a n e l B : k o r e la s i
UE
D O P
0 .0 0 3
( 0 .0 2 2 ) * *
( 0 .0 3 5 ) ’
B M
- 0 .1 0 8
0 .0 7 3
- 0 .0 5 1
0 .0 5 8
( 0 .0 6 5 ) *
-0 .2 1 5
-0 .3 8 7
0 .1 6 3
-0 .1 4 5
- 0 .4 9 8
(0 .0 0 5 ) * * *
( 0 .0 1 4 ) * *
( 0 .0 0 0 ) * * *
0 .0 8 7
0 .1 2 4
0 .0 4 4
0 .0 6 6
-0 .1 3 9
( 0 .0 3 5 ) * *
- 0 .4 5 8
-0 .2 6 3
- 0 .9 5 8
In S IZ E
D IN D
-0 .3 2 6
0 .0 8 3
- 0 .1 6
a D e f in is i v a r ia b e l:
UE
= b e d a l a b a s e b e l u m p o s lu a r b i a s a t a h u n o b s e r v a s i d e n g a n t a h u n s e b e l u m n y a
d is k a la k a n d e n g a n la b a s e b e l u m p o s lu a r b ia s a t a h u n s e b e lu m n y a
D O P = 1 j i k a o p i n i a u d it u n q u a l i f i e d d e n g a n p a r a g r a f p e n j e la s a n d a n 0 j i k a o p in i a u d it u n q u a l i f i e d
BM
= r a s io n ila i b u k u e k u it a s te r h a d a p n ila i p a s a r e k u it a s p a d a ta h u n o b s e r v a s i
I n S I Z E = n ila i lo g a r itm a m a r k e t c a p ita liz a tio n p a d a ta h u n o b s e r v a s i
D I N D = 1 j i k a p e r u s a h a a n b e r a d a d a la m in d u s t r i y a n g s a n g a t t e r e g u l a s i d a n 0 in d u s tr i la in n y a
b K o r e la s i d i s e b e la h a ta s d ia g o n a l m e r u p a k a n
k o r e la s i P e a r so n ,
K o r e la s i d i s e b e la h b a w a h d ia g o n a l m e r u p a k a n k o r e la s i S p e a r m a n .
A n g K a d a la m k u r u n g a d a la h p - v a lu e d e n g a n 2 - t a ile d te s i d e n g a n * * * s ig n if ik a n p a d a le v e l 0 .0 1 ,
* * s i g n if ik a n p a d a l e v e l 0 .0 5 d a n * s ig n i f ik a n p a d a le v e l 0 .1 0 .
L e o , In c r e m e n ta l In fo r m a tio n C o n te n t d a la m O p in i A u d it U n q u a lifie d .
165
P a n e l B T a b e l 3 m e m p e r l i h a t k a n b a h w a v a r i a b e l k o n t r o l s i z e d a n j e n i s in d u s tr i
m a s i n g - m a s i n g s e c a r a k o n s i s t e n b e r k o r e l a s i d e n g a n v a r i a b e l D O P , b a i k k o e f is ie n
k o re la s i P e a rs o n m a u p u n
S p e a rm a n . P e n g u jia n
s e la n ju tn y a tid a k
m e n y e r ta k a n
v a r i a b e l k o n tr o l s i z e d a n j e n i s in d u s tr i. K o e f is ie n k o r e l a s i S p e a r m a n a n t a r a B M d a n
U E m e n u n j u k k a n a d a n y a k o r e l a s i y a n g s i g n i f i k a n , t e t a p i k o r e l a s i k e d u a v a r ia b e l
ti d a k s i g n i f i k a n d a l a m k o e f i s i e n k o r e l a s i P e a r s o n .
T abel 4
H a s il R e g r e si
M o d e l 1: W C E R , = a „ + a , U E , + a ; D O P .
M o d e l2: H'C E R , = o ,
e,
UE, + a < D O P , + a , B M , ± e ,
M odel 1
oo
P a n e l A : w in d o w
M o del 2
°:
« i
a,
o :
"j
u n tu k W C E R s a tu h a r i s e b e l u m d a n s a tu h a r i s e te la h p e n g u m u m a n a u d it
K o e f is ie n
-0 .0 0 4 9
0 .0 0 1 0
0 .0 1 1 8
-0 .0 0 6 1
0 .0 0 0 9
0 .0 1 1 9
t-v a iu e
-0 .9 7 5 0
1 .1 5 2 0
1.7480
- 1 .3 0 2 0
1 .06 4 0
1 .7 6 0 0
1 .6 2 80
p - v a lu e °
0 .3 3 0 0
0 .2 5 0 0
0 .0 8 2 0 *
0 .1 9 4 0
0 .2 8 8 0
0 .0 8 0 0 *
0 .1 0 5 0 *
a d j.R 2
0 .0 0 8 0
(F = 2 .1 9 5 )
0 .0 1 4 0 ( F = 2 .3 5 5 * )
P a n e ] B : w in d o w u n tu k W C E R lig a h a r i s e b e lu m d a n tig a h a r i s e te la h p e n g u m u m a n a u d it
0 .0 1 9 7
-0 .0 1 2 7
0 .0 0 4 2
-0 .0 1 1 4
0 .0 0 4 2
0 .0 1 9 7
0 .0 0 1 2
3 .5 3 0 0
2 .1 2 1 0
0 .8 8 3 0
0 .0 0 0 0 * * •
0 .0 3 5 0 **
0 .3 7 8 0
0 .0 0 3 0
K o e f is i e n
-1 .6 7 7 0
t-v a lu e
3 .5 8 5 0
2 .1 1 8 0
0 .0 0 0 0 ***
0 .0 3 5 0 **
p -v a lu e a
0 .0 9 5 0 *
a d j.R 1
0 .0 5 0 0 (F = 8 .6 8 7 * * * )
0 .0 0 1 7
- 1 .8 2 6 0
0 .0 6 9 0 *
0 .0 5 0 0 (F = 6 0 4 7 * * * )
P a n e l C : w in d o w u n tu k W C E R lim a h a r i s e b e l u m d a n lim a h a r i s e te la h p e n g u m u m a n a u d it
K o e f is ie n
-0 .0 0 7 3
0 .0 0 51
0 .0 2 7 2
-0 .0 1 0 4
0 .0 0 5 0
0 .0 2 7 3
t-v a lu e
- 0 .7 9 3 0
3 .1 9 5 0
2 .1 7 1 0
-1 .1 1 2 0
3 .1 1 2 0
2 .1 8 3 0
1 .57 4 0
0 .0 0 2 0 * * *
0 .0 3 1 0 * *
0 .0 0 2 0 ***
0 .0 3 0 0 * *
0 .1 1 7 0 *
0 .0 0 3 3
p -v a lu e a
0 .4 2 8 0
adj R ‘
0 .0 4 3 0 (F = 7 .4 7 6 * * * )
0 .2 6 7 0
0 .0 4 8 0 (F = 5 .8 3 5 * * * )
P a n e l O : w in d o w u n t u k W C E R s e p u lu h h a ri s e b e l u m d a n s e p u lu h h a r i s e te l a h p e n g u m u m a n a u d it
K o e f is ie n
-0 .0 3 8 0
0 .0 0 4 4
0 .0 1 7 6
-0 .0 4 1 6
0 .0 0 4 2
0 .0 1 7 6
t-v a lu e
-3 .4 3 0 0
2 .2 7 2 0
1 .1 6 20
-3 .6 7 0 0
2 .1 9 3 0
1 .1710
1 .4 6 8 0
0 .0 2 4 0 * *
0 .2 4 6 0
0 .0 2 9 0 * *
0 .2 4 3 0
0 .1 4 3 0 *
p -v a lu e a
0 .0 0 1 0 * * *
ad j. R 2
0 .0 1 5 0 (F = 3 .2 6 2 * * )
0 .0 0 0 0 * * *
0 .0 1 9 0 (F = 2 .9 0 2 * * )
P a n e l E : w in d o w u n tu k W C E R 2 0 h a r i s e b e l u m d a n 2 0 h a r i s e te la h p e n g u m u m a n a u d it
K o e fis ie n
-0 .0 4 7 9
0 .0 0 5 0
0 .0 4 2 7
- 0 .0 4 1 6
0 .0 0 5 2
0 .0 4 2 5
-0 .0 0 6 0
t- v a lu e
-2 .6 9 8 0
1 .6 0 8 0
1 .7 6 60
-2 .2 9 3 0
1 .70 1 0
1 .7 6 40
-1 .6 5 1 0
0 .1 0 9 0 *
0 .0 7 8 0 *
0 .0 9 0 0 * *
0 .0 7 9 0 *
p -v a lu e a
0 .0 0 7 0 * * *
a d j. R 1
0 .0 1 3 0 (F = 2 .8 5 8 * )
0 .0 2 3 0 * *
0 .1 0 0 0 **
0 .0 1 9 0 (F = 2 .8 2 5 * * )
D e f in is i v a riab el:
UE
- b e d a la b a s e b e lu m p o s lu a r b ia s a ta h u n o b s e rv a s i d e n g a n ta h u n s e b e lu m n y a d is k a la k n n d e n g a n la b a s e b e lu m
p o s lu a r b ia s a ta h u n se b e lu m n y a , p e n g u jia n s ig n i fik a n s i p a d a 1 -t a ile d te s i
O O P = 1 j i k a o p i n i a u d it u n q u a lifie d d e n g a n p a r a g r a f p e n j e la s a n d a n 0 j i k a o p in i a u d it u n q u a l i f i e d ,
p e n g u j ia n s ig n ifik a n s i p a d a 2 -t a ile d te s t
BM
= ra s io n ila i b u k u e k u i ta s te r h a d a p n ilai p a s a r e k u ita s p a d a ta h u n o b s e rv a s i, p e n g u jia n s ig n if ik a n s i p a d a 1 - ta ile d te s t
° N ila i p - v a lu e d ih itu n g p a d a 2 - ta ile d te s t
*** s ig n if ik a n p a d a le v e l 0 .01 p a d a m a s in g -m a s in g p e n g u jia n
**
s ig n if ik a n p a d a le v el 0.0 5 p a d a m a s in g -m a s in g p e n g u jia n
*
s ig n i fik a n p a d a le v e l 0 .1 0 p a d a m a s in g -m a s in g p e n g u jia n
166
J u r n a l A k u n t a n s i d a n K e u a n g a n I n d o n e s i a , D e s e m b e r 2 0 0 7 , Vol. 4, N o .2 , h a l. 1 5 5 - 1 6 8
H a s i l r e g r e s i M o d e l 1 d a n M o d e l 2 d i s a j i k a n d a l a m T a b e l 4 d e n g a n lim a
w i n d o w d a l a m P a n e l A - E . H i p o t e s a n o l d ito la k . K o e f is ie n v a r i a b e l D O P s i g n i f i k a n
p o s i t i f d a l a m M o d e l 1 d a n 2 u n t u k s e m u a w i n d o w , k e c u a l i w i n d o w [ - 1 0 ,+ 1 0 ] d a l a m
P a n e l D . H a s il in i m e n g i n d i k a s i k a n b a h w a o p in i a u d i t u n q u a l i f i e d d e n g a n p a r a g r a f
p e n je la s a n m e m ilik i in c r e m e n ta l e x p la n a to r y p o w e r . K o n s is te n d e n g a n B a ll d a n
B r o w n ( 1 9 6 8 ) s e r ta T e o h d a n W o n g ( 1 9 9 3 ) , k o e f is ie n v a r i a b e l U E s ig n i f i k a n p o s i t i f
p a d a M o d e l 1 d a n 2 d a la m s e m u a w i n d o w , k e c u a li w i n d o w [-1 ,+ 1 ]. H a l in i m u n g k i n
d is e b a b k a n b e d a w a k tu a n ta ra re a k s i p a s a r d e n g a n ta n g g a l p e n g u m u m a n
keuangan.
D a la m
p e rio d e
le b ih
p a n ja n g ,
sam pai
dengan
la p o ra n
[ - 2 0 ,+ 2 0 ] , p a s a r
b e r e a k s i s e s u a i e k s p e k ta s i. K o e f is ie n v a r ia b e l B M s ig n if ik a n n e g a t i f h a n y a p a d a
w i n d o w [ - 2 0 ,+ 2 0 ] , P a d a w i n d o w la i n n y a y a n g le b ih s in g k a t , k o e f i s i e n v a r i a b e l B M
s i g n i f i k a n p o s itif .
D a l a m p e n g u j i a n m e n g g u n a k a n ln B M ( h a s il t i d a k d i s a j i k a n ) ,
d id a p a t h a s il y a n g r e la tif sam a.
N i l a i a d j. R 2 s e b e s a r 0 ,8 % - 5 ,0 % b e r a d a d a l a m j a n g k a u a n y a n g d i l a p o r k a n
o l e h L e v ( 1 9 8 9 ) d a n P f e i f f e r e t a l. ( 1 9 9 8 ) y a n g b i a s a n y a k u r a n g d a r i 1 0 % d a n
u m u m n y a b e r a d a a n ta r a 1 % d a n 5 % d a l a m s e b a g ia n b e s a r s tu d i.
T e m u a n d a l a m p e n g u j i a n r e g r e s i m e m b e r i k a n b u k ti b a h w a p e r u s a h a a n y a n g
m e n d a p a t k a n o p in i a u d i t u n q u a l i f i e d d e n g a n p a r a g r a f p e n j e l a s a n s e c a r a p o s i t i f
s i g n i f i k a n m e m p e n g a r u h i v a r i a b i l i t a s W C E R s e p u t a r ta n g g a ) p e n g u m u m a n o p in i
a u d it. T e r d a p a t i n c r e m e n t a l i n f o r m a t i o n c o n t e n t d a l a m o p i n i u n q u a l i f i e d d e n g a n
p a r a g r a f p e n j e l a s a n . H a l in i s u g g e s t s p a s a r m e n g a p r e s i a s i a d a n y a p a r a g r a f p e n j e l a s a n
d a l a m o p in i a u d i t u n q u a l i f i e d d e n g a n e x c e s s r e t u r n s y a n g l e b i h t i n g g i d i b a n d i n g k a n
d e n g a n e x c e s s r e t u r n s p e r u s a h a a n d e n g a n o p in i a u d i t u n q u a l i f i e d b e n t u k b a k u .
K E S IM P U L A N
B u k t i e m p i r i s d a l a m s tu d i in i, m e la lu i p e n g u j i a n u n i v a r i a t e d a n r e g r e s i ,
m e n u n j u k k a n b a h w a p a s a r m e n g a p r e s i a s i p a r a g r a f p e n j e l a s a n d a l a m o p in i a u d i t
u n q u a l i f i e d d a n k a r e n a n y a t e r d a p a t i n c r e m e n t a l i n f o r m a t i o n c o n t e n t d a l a m o p in i
a u d i t u n q u a l i f i e d d e n g a n p a r a g r a f p e n je l a s a n . I n v e s t o r m e m b e r i k a n r e a k s i y a n g
b e r b e d a d e n g a n o p in i a u d i t y a n g w a l a u p u n s a m a - s a m a u n q u a l i f i e d n a m u n u n q u a l i f i e d
d e n g a n p a r a g r a f p e n j e l a s a n m e m b e r i k a n p e n g u n g k a p a n le b ih k e p a d a in v e s t o r , d a n
in v e s t o r m e n g a p r e s i a s i p e n g u n g k a p a n te r s e b u t.
T em uan
s tu d i
in i
k o n s is te n
dengan
p e n e litia n
s e b e lu m n y a
d a la m
hal
p e n g u n g k a p a n . B r y a n ( 1 9 9 7 ) d a l a m s t u d i n y a a ta s i n c r e m e n t a l i n f o r m a t i o n c o n t e n t
d a la m
pengungkapan
D is k u s i
dan
A n a lis i s
M a n a je m e n
m enem ukan
bahw a
p e n g u n g k a p a n in i b e r a s o s i a s i d e n g a n u k u r a n k i n e r j a d a n k e p u t u s a n in v e s t a s i m a s a
d e p a n (d a la m ja n g k a p e n d e k ).
L e o , In c r e m e n ta l In fo r m a tio n C o n te n t d a la m O p in i A u d it U n q u a lifie d .
167
S tu d i in i j u g a m e n e m u k a n b u k ti e m p i r i s b a h w a r e a k s i h a r g a t e r h a d a p o p in i
a u d i t t e i j a d i s e g e r a s e t e l a h o p in i a u d i t d i u m u m k a n . T e m u a n in i k o n s i s t e n d e n g a n
t e m u a n F ir th ( 1 9 7 8 ) .
Im p lik a s i
te m u a n
in i
bagi
p ra k tis i
a u d it
a d a la h
u n tu k
m e m b e rik a n
p e r t i m b a n g a n y a n g le b ih d a l a m m e n g u n g k a p k a n p a r a g r a f p e n j e l a s a n . K e t a k u t a n
bahw a
adanya
p a r a g r a f p e n je la s a n
akan
re a k s i n e g a tif p a s a r tid a k te rb u k ti d a la m
m e n u ru n k a n
h a rg a
saham
seb ag ai
p e n e l i t i a n in i. S e b a l i k n y a , p e n e l i t i a n
in i m e n d a p a t k a n b u k ti e m p i r i s b a h w a p a s a r m e m b e r i k a n r e s p o n p o s i t i f t e r h a d a p
p a r a g r a f p e n j e l a s a n d a l a m o p in i u n q u a l i f i e d .
S tu d i in i m e m b a n d i n g k a n r e a k s i p a s a r t e r h a d a p o p in i u n q u a l i f i e d d e n g a n
p a r a g r a f p e n j e l a s a n d e n g a n u n q u a l i f i e d b e n t u k b a k u t a n p a m e n g a n a l i s i s le b i h
l a n j u t k e p a d a is i p a r a g r a f p e n j e l a s a n t e r s e b u t . K e l e m a h a n l a i n p e n g u j i a n in i a d a l a h
v a r i a b e l c o n t r o l y a n g d iu ji h a n y a b e b e r a p a , s e m e n t a r a m a s i h b a n y a k v a r i a b e l c o n t r o l
l a i n n y a y a n g ti d a k d i i k u t s e r t a k a n d a l a m p e n g u j i a n ( m i s a l n y a v a r i a b e l k i n e r j a a t a u
p r o f ita b i lita s ) . H a l - h a l in i d a p a t m e n j a d i m a s u k a n u n t u k p e n e l i t i a n y a n g a k a n
d a ta n g .
D A FTA R PU STA K A
B a ll, R a y d a n P h i l i p B r o w n . “ A n E m p i r i c a l E v a l u a t i o n o f A c c o u n t i n g I n c o m e
N u m b e r s .” J o u r n a l o f A c c o u n t i n g R e s e a r c h ( A u t u m n ) ( 1 9 6 8 ) : 1 5 9 - 1 7 7 .
B e a v e r , W illia m
H ., M a r y
L e a M c A n a lly , d a n
C h r i s t o p h e r H . S ti
155
J u m a l A k u n ta n s i d a n K e u a n g a n I n d o n e s ia
D e s e m b e r 2 0 0 7 , V o l.4 , N o . 2 , h a l. 1 5 5 -1 6 8
DALAM
INCREMENTAL INFORMATION CONTENT
O P I N I A U D I T UNQUALIFIED D E N G A N P A R A G R A F
PE N JE L A SA N
L ia n n y L e o
M a h a s is w a P r o g r a m D o k to r P a s c a s a r ja n a Ilm u A k u n ta n s i U n iv e r s ita s I n d o n e s ia
l l e o @ i n d o s a t .n e t .i d
A b str a c t
T h is s t u d y i n v e s t i g a t e s w h e t h e r t h e r e is a n y d i f f e r e n t m a r k e t r e a c t i o n t o u n q u a l i f i e d
a n d u n q u a lifie d w ith e x p la n a to r y p a r a g r a p h a u d it o p in io n . T h e r e s u lt o f e m p ir ic a l
u n iv a r ia te a n d r e g r e s s io n te s t o n 2 9 1 fir m -y e a r s , w ith b a la n c e d p r o p o r tio n b e tw e e n
th e t w o o p in io n s , s h o w s t h a t t h e r e is a s i g n i f i c a n t d i f f e r e n c e o f s t o c k r e t u r n s
b e t w e e n th e t w o a u d i t o p i n i o n s a r o u n d o p i n i o n a n n o u n c e m e n t . M a r k e t a p p r e c i a t e s
th e e x i s t e n c e o f e x p l a n a t o r y p a r a g r a p h i n t h e u n q u a l i f i e d a u d i t o p i n i o n w i t h h i g h e r
e x c e s s r e t u r n s c o m p a r e d to s t a n d a r d u n q u a l i f i e d a u d i t o p in io n . O v e r a l l t h i s s t u d y
s h o w s i n c r e m e n t a l i n f o r m a t i o n c o n t e n t in u n q u a l i f i e d w i t h e x p l a n a t o r y p a r a g r a p h
a u d i t o p in io n .
Keywords:
unqualified audit opinion, unqualified with explanatory paragraph
audit opinion, excess returns, incremental information content
J u r n a l A k u n t a n s i d a n K e u a n g a n I n d o n e s i a , D e s e m b e r 2 0 0 7 , V o l.4, N o .2 , h a l. 1 5 5 - 1 6 8
156
PENDAH ULUAN
K r i s i s e k o n o m i I n d o n e s i a p a d a ta h u n 1 9 9 7 - 1 9 9 8 m e n g a k i b a t k a n tu r u n n y a
k e p e r c a y a a n p u b l i k t e r h a d a p k r e d i b i l i t a s a k u n t a n p u b lik . L a p o r a n a u d i t m e m b e r i k a n
o p in i u n q u a l i f i e d te r h a d a p b a n k - b a n k b e s a r d a n k e c i l te ta p i d e n g a n p e n u r u n a n n i l a i
t u k a r R u p i a h te r h a d a p D o l a r A m e r i k a S e r i k a t y a n g s a n g a t s i g n i f i k a n s e h i n g g a
s e ju m la h
b esar
b a n k -b a n k
te r s e b u t
h a ru s
d i ’r u m a h s a k i t ’k a n ,
d ib e k u k a n
a ta u
d ilik u id a s i. P a d a p e rio d e y a n g s a m a In d e k s H a rg a S a h a m G a b u n g a n (IH S G ) ju g a
m e l u n c u r d a r i 7 4 0 ( p a d a t a n g g a l 8 J u li 1 9 9 7 ) m e n ja d i s e p e r t i g a n y a , 2 5 8 ( p a d a
t a n g g a l 6 O k t o b e r 1 9 9 8 ) ( s itu s w e b B u r s a E f e k J a k a r ta /B E J : w w w .j s x .c o .i d ).
I n s t i t u t A k u n t a n P u b l i k I n d o n e s i a ( I A P I , d a h u lu I k a t a n A k u n t a n I n d o n e s i a /
I A I ) m e n a n g g a p i h a l d i a ta s a n t a r a la i n d e n g a n m e n g e l u a r k a n h i m b a u a n k e p a d a p a r a
a k u n t a n p u b l i k u n t u k m e n y e b u t k a n a d a n y a k r i s i s e k o n o m i y a n g s e d a n g t e r ja d i, a p a
d a m p a k n y a te rh a d a p p e r u s a h a a n , s e r ta a p a tin d a k a n y a n g d ia m b il u n tu k m e n ja g a
k e l a n g s u n g a n u s a h a p e r u s a h a a n , b i l a a d a . A u d i t o r p e r l u m e m b e r i p e n e k a n a n a ta s
s u a tu h a l y a n g b e rk a ita n d e n g a n la p o ra n k e u a n g a n (S P A P 2 0 0 6 ).
S tu d i s e b e lu m n y a (C h e n d a n C h u rc h
in fo rm a s i
d a la m
o p in i g o i n g
co ncern,
1 9 9 6 ) m e n u n ju k k a n a d a n y a n ila i
bahw a
o p in i g o i n g
concern
b e rg u n a
u n tu k m e n je la s k a n re a k s i p a s a r te rh a d a p k e b a n g k r u ta n p e ru s a h a a n . F ir th (1 9 7 8 )
m e n e m u k a n b a h w a b e b e r a p a j e n i s k u a lif ik a s i a u d it m e m i l i k i d a m p a k s i g n i f i k a n
t e r h a d a p k e p u t u s a n in v e s t a s i.
M e n g i k u t i p e n g u j i a n a s o s i a s i o p in i a u d i t te r h a d a p r e a k s i p a s a r , C h e n d a n
C h u r c h (1 9 9 6 ) d a n F ir th (1 9 7 8 ) m e n g u ji a p a k a h r e tu r n s a h a m p e ru s a h a a n y a n g
m e n d a p a t k a n o p in i a u d i t u n q u a l i f i e d d e n g a n p e n e k a n a n a ta s s u a t u h a l ( d e n g a n
p a r a g r a f p e n je la s a n ) s a m a d e n g a n r e tu r n s a h a m p e ru s a h a a n y a n g m e n d a p a tk a n
o p in i a u d it u n q u a lifie d b e n tu k b a k u .
H a s i l s tu d i m e n g i n d i k a s i k a n a d a n y a i n c r e m e n t a l i n f o r m a t i o n c o n t e n t d a l a m
o p in i a u d it u n q u a lifie d d e n g a n p a r a g r a f p e n je la s a n . D e n g a n u ji b e d a m e a n r e tu r n
s a h a m { u n i v a r i a t e ) d a n u ji r e g r e s i , t e r d a p a t b e d a r e t u r n s a h a m y a n g s i g n i f i k a n
a n t a r a o p i n i a u d i t u n q u a l i f i e d d e n g a n p a r a g r a f p e n j e l a s a n d a n o p in i a u d i t u n q u a l i f i e d
cii s e p u t a r t a n g g a l p e n g u m u m a n o p in i. P a s a r le b ih m e n g a p r e s i a s i a d a n y a p a r a g r a f
p e n j e l a s a n d a l a m o p in i a u d i t u n q u a l i f i e d d i b a n d i n g k a n d e n g a n o p in i u n q u a l i f i e d
b e n tu k b ak u .
P em bahasan
d a la m
paper
in i d i l a n j u t k a n
dengan
pem bahasan
la p o ra n
a u d i t o r s e b a g a i m a n a d i a t u r d a l a m S P A P , p e n e l i t i a n s e b e l u m n y a , p e m i l i h a n s a m p e l,
p e n g u j i a n u n i v a r i a t e , p e n g u j i a n r e g r e s i , d a n k e s im p u la n .
P e r n y a t a a n a u d i t o r d id a s a r k a n a ta s a u d it y a n g d i l a k s a n a k a n b e r d a s a r k a n
s t a n d a r a u d i t i n g d a n a ta s t e m u a n - t e m u a n n y a . L a p o r a n a u d i t o r b e n t u k b a k u m e m u a t
s u a t u p e r n y a t a a n b a h w a l a p o r a n k e u a n g a n m e n y a j i k a n s e c a r a w a ja r , d a l a m s e m u a
157
L e o , In c r e m e n ta l I n fo r m a tio n C o n te n t d a la m O p in i A u d it U n q u a lifie d .
h a l y a n g m a te r ia l, p o s is i k e u a n g a n s u a tu p e r u s a h a a n , h a s il u s a h a , d a n a r u s k a s s e s u a i
d e n g a n p r i n s i p a k u n ta n s i y a n g b e r l a k u u m u m d i I n d o n e s ia . L a p o r a n a u d i t o r b e n tu k
b a k u h a r u s m e n y e b u t k a n l a p o r a n k e u a n g a n a u d i t a n d a la m
p a r a g r a f p e n g a n ta r ,
m e n g g a m b a r k a n s if a t a u d i t d a l a m p a r a g r a f lin g k u p a u d it, d a n m e n y a t a k a n p e n d a p a t
a u d i t o r d a la m p a r a g r a f p e n d a p a t.
K eadaan
te rte n tu
s e rin g k a li
m en g h aru sk an
a u d ito r
m enam bahkan
p a r a g r a f p e n j e l a s a n d a l a m la p o r a n a u d i t o r b e n tu k b a k u . K e a d a a n t e r s e b u t d a p a t
d i k e l o m p o k k a n s e b a g a i b e r ik u t:
1. P e n d a p a t a u d i t o r s e b a g i a n d i d a s a r k a n a ta s la p o r a n a u d i t o r in d e p e n d e n la in .
K e n y a t a a n in i h a r u s d i j e l a s k a n d a la m p a r a g r a f p e n g a n t a r d a n p a r a g r a f p e n d a p a t .
P e n g a c u a n in i m e r u p a k a n p e t u n j u k a d a n y a p e m i s a h a n t a n g g u n g j a w a b d a l a m
p e la k s a n a a n a u d it (P e rn y a ta a n S ta n d a r A u d itin g /P S A N o . 3 8 )
2 . P e n y i m p a n g a n d a r i p r i n s i p a k u n ta n s i y a n g d i t e t a p k a n s e c a r a f o r m a l o le h b a d a n
y a n g b e r w e n a n g . B i l a p e n y i m p a n g a n b e r d a m p a k m a te r ia l t e r h a d a p
la p o ra n
k e u a n g a n s e c a r a k e s e l u r u h a n , a k u n t a n p u b l i k ti d a k d a p a t m e m b e r i k a n p e n d a p a t
w a j a r t a n p a p e n g e c u a l i a n ( u n q u a l i f i e d ). O p in i u n q u a l i f i e d d a p a t d i b e r i k a n h a n y a
b i l a p e n y i m p a n g a n te r s e b u t t i d a k b e r d a m p a k m a t e r i a l d a n p e n y i m p a n g a n d a n
e s tim a s i d a m p a k n y a
( b il a
p ra k tis
u n tu k
d ila k s a n a k a n )
d iu n g k a p k a n
d a la m
p a r a g r a f te r p is a h .
3. K e tid a k k o n s is te n a n .
B ila
te ija d i
p e ru b a h a n
p rin s ip
a k u n ta n s i
a ta u
m e to d e
p e n e r a p a n n y a y a n g m e m p u n y a i a k i b a t m a te r ia l t e r h a d a p d a y a b a n d i n g l a p o r a n
k e u a n g a n p e ru s a h a a n , a u d ito r h a ru s m e n y a ta k a n p e r u b a h a n
te r s e b u t d a l a m
p a r a g r a f p e n j e l a s a n d i d a l a m la p o r a n n y a .
4 . P e n e k a n a n a ta s s u a tu h a l. D a l a m b e b e r a p a k e a d a a n , a u d i t o r m u n g k i n p e r l u
m e m b e r i p e n e k a n a n a ta s s u a tu h a l y a n g b e r k a i t a n d e n g a n la p o r a n k e u a n g a n .
I n f o r m a s i in i h a r u s d i s a j i k a n d a l a m p a r a g r a f t e r p i s a h d a l a m l a p o r a n a u d ito r .
C o n to h
h a l-h a l
yang
m e n u ru t
p e rtim b a n g a n
a u d ito r
p e rlu
m e n d a p a tk a n
p e n e k a n a n a d a l a h b a h w a p e r u s a h a a n a d a la h k o m p o n e n d a r i p e r u s a h a a n y a n g
le b ih b e sa r, p e ru s a h a a n m e m p u n y a i tra n s a k s i s ig n ifik a n d e n g a n p ih a k y a n g
m e m p u n y a i h u b u n g a n is t i m e w a , p e r i s t i w a k e m u d i a n p e n t i n g y a n g l u a r b i a s a ,
d a n m a s a l a h - m a s a l a h a k u n t a n s i , s e la in y a n g b e r k a i t a n d e n g a n p e r u b a h a n d a l a m
p r i n s i p a k u n t a n s i , y a n g b e r d a m p a k a ta s d a y a b a n d i n g l a p o r a n k e u a n g a n d e n g a n
la p o ra n k e u a n g a n p e rio d e s e b e lu m n y a
S tu d i in i f o k u s p a d a m e m b a n d i n g k a n r e a k s i p a s a r te r h a d a p o p in i u n q u a l i f i e d
d e n g a n p a r a g r a f p e n je la s a n d e n g a n u n q u a lifie d b e n tu k b a k u , y a n g d a p a t d is e b a b k a n
o le h p e n y im p a n g a n d a ri p rin s ip a k u n ta n s i y a n g tid a k m a te ria l, p e m b a h a n p rin s ip
a ta u m e t o d e a k u n t a n s i y a n g b e r a k i b a t m a t e r i a l te r h a d a p d a y a b a n d i n g l a p o r a n
k e u a n g a n , d a n a ta u p e n e k a n a n a ta s s u a tu h a l.
158
J u r n a l A k u n t a n s i d a n K e u a n g a n I n d o n e s i a , D e s e m b e r 2 0 0 7 , V o l.4, N o .2 , h a l. 1 5 5 - 1 6 8
T IN J A U A N L IT E R A T U R
D a la m
s tu d i F i r t h ( 1 9 7 8 ) , k u a lif ik a s i a ta s o p in i a u d i t d i i d e n t i f i k a s i k a n
s e b a g a i k u a l i f i k a s i a ta s t r u e a n d f a i r v i e w ( a s o s i a s i n e g a t i f d e n g a n h a r g a s a h a m ) ,
y a n g k e m u d i a n d ir in c i a ta s g o i n g c o n c e r n ( a s o s i a s i n e g a t i f d e n g a n h a r g a s a h a m )
d a n a s s e t v a l u e s ( a s o s i a s i n e g a t i f d e n g a n h a r g a s a h a m ) , s u b s i d i a r y ’s a u d i t ( a s o s ia s i
n e g a tif d e n g a n h a rg a s a h a m ), s ta te m e n ts o f s ta n d a r d a c c o u n tin g p r a c tic e (a s o s ia s i
n e g a tif d e n g a n h a rg a s a h a m ), s ta te m e n ts o f s ta n d a r d a c c o u n tin g p r a c tic e a n d c o n c u r
( tid a k b e r d a m p a k p a d a h a rg a s a h a m ), d a n c o n tin u in g a u d it q u a lific a tio n s (a s o s ia s i
n e g a t i f d e n g a n h a r g a s a h a m ) . S e p e r t i n y a , o p in i a u d i t d a p a t m e n j a d i b a d n e w s a t a u
g o o d n e w s k e p a d a p a s a r , t e r g a n t u n g k e p a d a j e n i s o p in i y a n g d ik e lu a r k a n .
C h e n d a n C h u r c h ( 1 9 9 6 ) m e n g i n v e s t i g a s i a s o s ia s i a n t a r a o p in i g o i n g c o n c e r n
d a n re a k s i p a s a r te rh a d a p p e n d a f ta r a n k e b a n g k ru ta n . T e m u a n m e re k a k o n s is te n
dengan
p e n e litia n
s u r p r is e
s e b e lu m n y a b a h w a
seh u b u n g an
dengan
o p in i g o i n g c o n c e r n
k e b a n g k r u ta n .
P e ru sa h a a n
d ap at m e n g u ra n g i
yang
m e n e rim a
o p in i
g o in g c o n c e r n m e n g a la m i e x c e s s r e tu r n s y a n g k u ra n g n e g a tif d a la m p e rio d e s e k ita r
ta n g g a l p e l a p o r a n k e b a n g k r u t a n d i b a n d i n g k a n d e n g a n p e r u s a h a a n y a n g m e n e r i m a
o p in i u n q u a l i f i e d . S e c a r a k e s e l u r u h a n , t e m u a n m e r e k a k o n s i s t e n d e n g a n t e m u a n
b a h w a o p i n i g o i n g c o n c e r n m e m i l i k i n i l a i in f o r m a s i.
F i r t h ( 1 9 7 8 ) m e n e m u k a n b a h w a k u a lif ik a s i a t a s o p in i a u d it d i i n t e r p r e t a s i k a n
s e b a g a i b a d n e w s s e h i n g g a p u b l i k a s i o p in i b e r a s o s i a s i n e g a t i f d e n g a n h a r g a s a h a m .
N a m u n d a l a m t e m u a n F i r t h ( 1 9 7 8 ) j u g a , k u a l i f i k a s i a t a s o p in i a u d i t d a p a t t i d a k
b e r d a m p a k p a d a h a r g a s a h a m . P a r a g r a f p e n j e l a s a n d a la m l a p o r a n a u d i t o r b e n t u k
b a k u d im a k s u d k a n o le h S P A P (2 0 0 6 ) u n tu k m e n je la s k a n k e a d a a n te rte n tu y a n g
te ija d i p a d a p e ru s a h a a n , y a itu p e n y im p a n g a n d a ri p rin s ip a k u n ta n s i y a n g tid a k
m a te ria l, p e ru b a h a n p rin s ip a ta u m e to d e a k u n ta n s i y a n g b e ra k ib a t m a te ria l te rh a d a p
d a y a b a n d i n g la p o r a n k e u a n g a n , d a n a t a u p e n e k a n a n a t a s s u a t u h a l. P a r a g r a f
p e n j e l a s a n in i t i d a k d i m a k s u d k a n u n t u k m e n u r u n k a n k u a l i t a s o p in i a u d i t u n q u a l i f i e d
y a n g d i b e r i k a n . O l e h k a r e n a n y a , h i p o t e s a n o l s tu d i in i a d a l a h ti d a k a d a p e r b e d a a n
r e a k s i p a s a r t e r h a d a p o p i n i a u d i t u n q u a l i f i e d d a n o p in i a u d i t u n q u a l i f i e d d e n g a n
p a r a g r a f p e n je la s a n . H ip o te s a a lte r n a tif a d a la h a d a b e d a re a k s i p a sa r. R e a k s i p a s a r
m e r e f l e k s i k a n k e p u t u s a n in v e s t a s i d a l a m p a s a r . B ila t e r d a p a t b e d a r e a k s i k a r e n a b e d a
o p in i a u d i t y a n g d i k e l u a r k a n , d a p a t d i i n t e r p r e t a s i k a n b a h w a t e r d a p a t i n f o r m a t i o n
c o n t e n t d a l a m o p in i a u d i t s e b a g a i ta m b a h a n i n f o r m a t i o n c o n t e n t p a d a h a s il y a n g
d i l a p o r k a n d a l a m la p o r a n k e u a n g a n .
F o r m u l a s i h ip o t e s i s a d a l a h s e b a g a i b e r ik u t:
H 0: E x c e s s r e t u r n s o p in i u n q u a l i f i e d s a m a d e n g a n e x c e s s r e t u r n s o p in i u n q u a l i f i e d
d e n g a n p a r a g r a f p e n je la s a n .
L e o , I n c r e m e n ta l I n fo r m a tio n C o n te n t d a la m O p in i A u d it U n q u a lifie d .
159
H al|: E x c e s s r e t u r n s o p in i u n q u a l i f i e d tid a k s a m a d e n g a n e x c e s s r e t u r n s o p in i
u n q u a l i f i e d d e n g a n p a r a g r a f p e n je l a s a n .
H i p o te s i s y a n g d i b e n t u k
a d a l a h 2 - t a i l e d k a r e n a h a s i l s t u d i F ir th
(1 9 7 8 )
m e n u n j u k k a n b a h w a b e r b a g a i p e n y e b a b k u a lif ik a s i o p i n i a u d i t t e r n y a t a m e m p u n y a i
a s o s ia s i y a n g b e ra g a m d e n g a n h a rg a sa h a m .
M E T O D E P E N E L IT IA N
P e m ilih a n S a m p e l
L a p o r a n a u d i t y a n g d i j a d i k a n s a m p e l a d a l a h l a p o r a n a u d i t a ta s l a p o r a n
k e u a n g a n ta h u n 2 0 0 5 d a n 2 0 0 6 , d a n y a n g m e m e n u h i k r i t e r i a b e r ik u t:
1.
L a p o r a n a u d i t t e r s e d i a d i s itu s w e b B E J d e n g a n o p in i u n q u a l i f i e d b e n t u k
b a k u d a n u n q u a lifie d d e n g a n p a r a g r a f p e n je la s a n
2.
D a ta la p o ra n k e u a n g a n te rs e d ia d a la m d a ta b a s e O S IR IS
3.
H a r g a s a h a m d a n I H S G t e r s e d i a d i s itu s w e b B E J
T a b e l 1 m e n g i k h t i s a r k a n p e m i l i h a n s a m p e l. J u m l a h s a m p e l y a n g m e n j a d i
o b s e r v a s i a d a l a h s e b e s a r 2 9 1 f i r m - y e a r s , y a n g te r d i r i a ta s 1 3 4 f i r m - y e a r s d e n g a n
u n q u a lifie d b e n tu k b a k u d a n 157 fir m -y e a r s d e n g a n u n q u a lifie d d e n g a n p a r a g r a f
p e n je la s a n .
T abel 1
P e m ilih a n S a m p e l d a n O p in i A u d ito r
P e m ilih a n S a m p e l
J u m la h p e ru s a h a a n te rb u k a y a n g te rd a fta r p a d a B u rs a E fe k J a k a rta (B E J ) d a lam
p e rio d e 2 0 0 5 - 2 0 0 6
O p in i a u d ito r tid a k te rs e d ia d a la m s itu s B E J
D a ta la p o ra n k e u a n g a n tid a k te rs e d ia d a lam d a ta b a s e O S IR IS
D a ta r e tu r n s s a h a m tid a k te rs e d ia
O p in i a u d ito r q u a lifie d d a n d is c la im e r
J u m la h fir m - y e a r s
(4 0 )
(3 2 1 )
(9 )
(1 1 )
291
O p in i A u d ito r
U n q u a lifie d
U n q u a lifie d d e n g a n p a r a g r a f p e n je la s a n
134
157
J u m la h fi r m -y e a r s
291
J u r n a l A k u n t a n s i cla n K e u a n g a n I n d o n e s i a , D e s e m b e r 2 0 0 7 , Vol. 4, N o .2 , h a l. 1 5 5 - 1 6 8
160
P e n g u jia n
Univariate
D a l a m p e n g u j i a n u n i v a r i a t e , s tu d i in i m e n g i n v e s t i g a s i e x c e s s r e t u r n s y a n g
t e r j a d i s e p u t a r t a n g g a l p e n g u m u m a n o p in i a u d it. M e n g i k u t i F i r t h ( 1 9 7 8 ) , p e r i o d e
e x c e s s r e tu r n s d ih itu n g d a la m p e rio d e 2 0 h a ri s e b e lu m (-2 0 ) s a m p a i d e n g a n 2 0 h a ri
s e t e l a h ( + 2 0 ) p e n g u m u m a n a u d it. E x c e s s r e t u r n s d i h i t u n g u n t u k m a s i n g - m a s i n g
o p in i a u d it u n q u a lifie d d e n g a n p a r a g r a f p e n je la s a n d a n u n q u a lifie d d a la m c o n tr o l
g r o u p . C o n t r o l g r o u p t e r d ir i a t a s f i r m - y e a r s d e n g a n o p in i u n q u a l i f i e d d a n d i b e n t u k
d e n g a n c a ra m e m a s a n g k a n (p a ir in g ) s e tia p p e ru s a h a a n y a n g m e n e r im a u n q u a lifie d
d e n g a n p a r a g r a f p e n je la s a n m a s in g -m a s in g ta h u n d e n g a n p e ru s a h a a n y a n g m e n e r im a
u n q u a lifie d b e n tu k b a k u d a la m
in d u s tr i y a n g s a m a ( s e h i n g g a p e r u s a h a a n y a n g
d i o b s e r v a s i d a n p e r u s a h a a n c o n t r o l b e r a d a d a l a m i n d u s tr i y a n g s a m a ) , s e r t a d e n g a n
s iz e (d iu k u r s e b a g a i m a r k e t c a p ita liz a tio n ) d a n u n e x p e c te d e a r n in g s (U E ) (d iu k u r
s e b a g a i b e d a la b a s e b e l u m p o s lu a r b i a s a a n t a r ta h u n d i s k a l a k a n d e n g a n l a b a s e b e l u m
p o s lu a r b i a s a t a h u n s e b e l u m n y a ) y a n g k u r a n g le b ih s a m a ( s e h i n g g a b e s a r a n m a r k e t
c a p ita liz a tio n d a n U E a n ta ra p e ru s a h a a n c o n tr o l m e n d e k a ti m a r k e t c a p ita liz a tio n
d a n U E p e r u s a h a a n y a n g d io b s e r v a s i ) . D e n g a n m e n g o n t r o l in d u s tr i, s i z e d a n U E ,
d a p a t d i i n t e r p r e t a s i k a n b a h w a b e d a s i g n i f i k a n d i a n t a r a k e d u a k e l o m p o k o p in i
a u d i t d i s e b a b k a n o l e h i n f o r m a t i o n c o n t e n t d a r i o p in i u n q u a l i f i e d d e n g a n p a r a g r a f
p e n je la s a n .
T a n g g a l p e n g u m u m a n a u d it a d a la h ta n g g a l p e n y a m p a ia n la p o ra n k e u a n g a n
y a n g s u d a h d i a u d i t k e p a d a B E J a t a u t a n g g a l p e m a s a n g a n ik l a n l a p o r a n k e u a n g a n
y a n g s u d a h d i a u d i t d i s u r a t k a b a r , m a n a y a n g le b ih c e p a t. L a p o r a n o p in i a u d i t o r
t e r d a p a t d i d a l a m l a p o r a n k e u a n g a n t e r s e b u t.
E x c e s s r e t u r n s s e ti a p p e r u s a h a a n d i h i t u n g s e b a g a i m a r k e t - a d j u s t e d r e t u r n
(T e o h d a n W o n g
1 9 9 3 ). U n t u k s e t i a p p e r u s a h a a n , d i h i t u n g b e d a a n t a r a r e tu r n
p e r u s a h a a n d a n r e tu r n p a s a r (IH S G ). P a n e l A T a b e l 2 m e n u n ju k k a n ra ta -ra ta e x c e s s
r e tu r n s s e tia p h a ri d a la m p e rio d e -2 0 d a n + 2 0 (F irth 1 9 7 8 ) (h a ri 0 a d a la h ta n g g a l
p e n g u m u m a n a u d it) . H i p o t e s a n o l d ito la k . K e l o m p o k o p in i u n q u a l i f i e d d e n g a n
p a r a g r a f p e n j e l a s a n m e n u n j u k k a n e x c e s s r e t u r n s y a n g p o s i t i f s e b e s a r 1 ,1 2 % p a d a
l i a r i 0 , s e m e n t a r a k e l o m p o k o p in i u n q u a l i f i e d m e n u n j u k k a n e x c e s s r e t u r n s y a n g
n e g a t i f s e b e s a r 0 ,2 6 % , t e r d a p a t b e d a s e b e s a r 1 ,3 9 % y a n g s i g n i f i k a n p a d a le v e l 1 % .
E x c e s s r e t u r n s n e g a t i f a ta s o p in i u n q u a l i f i e d m u n g k i n d i s e b a b k a n a n t i s i p a s i p a s a r
t e r h a d a p o p in i a u d i t s e b e l u m o p in i a u d i t d i u m u m k a n , y a n g d i t u n j u k k a n d e n g a n
e x c e s s r e t u r n s p o s i t i f s e ja k
h a r i -5 s a m p a i d e n g a n h a r i -2 . P e n g u j i a n b e d a k e d u a
k e l o m p o k m e n u n j u k k a n r e a k s i p a s a r y a n g b e r b e d a s i g n i f i k a n d a l a m 12 h a r i d a r i 41
l i a r i p e r d a g a n g a n , t e r d ir i a ta s 7 h a r i e x c e s s r e t u r n s k e l o m p o k u n q u a l i f i e d d e n g a n
p a r a g r a f p e n j e l a s a n le b ih p o s i t i f d i b a n d i n g k a n e x c e s s r e t u r n s k e l o m p o k u n q u a l i f i e d
b e n t u k b a k u d a n 5 h a r i s e b a lik n y a .
L e o , I n c r e m e n ta l I n fo r m a tio n C o n te n t d a la m O p in i A u d it U n q u a lifie d .
161
T abel 2
Excess Returns s e p u t a r
U n q u a lifie d d c n g a n
p a r a g r a f p e n je l a s a n *
M ean
S .D .
T a n g g a l P e n g u m u m a n O p in i A u d it
U n q u a lifie d *
M ean
S .D.
B eda
M ean
S .D .
t - v a lu e
p -v a tu e
P a n e l A : r e tu r n s h a r ia n
-2 0
- 0 .0 0 2 8
0 .0 3 1 3
- 0 .0 0 3 8
0 .0 2 4 7
-19
- 0 .0 0 5 6
0 .0 3 9 6
- 0 .0 0 4 6
0 .0 2 1 8
-
0 .0 0 1 0
0 .0 3 8 5
0 .3 2 6 7
0.0011
0 .0 4 7 8
- 0 .2 7 7 4
0 .7 4 4 3
0 .7 8 1 9
-1 8
0.0001
0 .0 3 6 3
- 0 .0 0 3 3
0 .0 2 0 3
0 .0 0 3 3
0 .0 4 2 7
0 .9 7 0 1
0 .3 3 3 5
-1 7
0 .0 0 8 1
0 .0 4 7 3
- 0 .0 0 4 2
0 .0 3 1 8
0 .0 1 2 3
0 .0 6 0 7
2 .5 3 7 6
0 .0 1 2 1
-1 6
0 .0 0 1 7
0 .0 4 4 9
- 0 .0 0 0 5
0 .0 2 7 3
0 .0 0 2 2
0 .0 4 9 9
0 .5 4 9 8
0 .5 8 3 2
-1 5
0 .0 0 4 0
0 .0 4 1 9
0.0000
0 .0 2 9 1
0 .0 0 4 0
0 .0 5 1 4
0 .9 8 0 5
0 .3 2 8 4
-1 4
- 0 .0 0 4 6
0 .0 2 6 6
0 .0 0 0 8
0 .0 1 8 6
- 0 .0 0 5 4
0 .0 3 1 8
- 2 .1 1 8 2
0 .0 3 5 7
-1 3
- 0 .0 0 6 4
- 0 .0 0 0 6
0 .0 4 4 4
- 0 .0 0 5 8
0 .0 6 2 0
-1 .1 7 0 6
0 .2 4 3 5
2 .0 3 6 5
-0 .2 2 4 8
0 .8 2 2 4
-1 2
0 .0 0 8 2
0 .0 3 9 1
0 .0 4 9 1
- 0 .0 0 1 5
0 .0 3 2 0
0 .0 0 9 7
0 .0 5 9 6
-11
-0 .0 0 2 1
0 .0 3 2 7
- 0 .0 0 1 3
0 .0 2 5 4
- 0 .0 0 0 7
0 .0 4 1 4
-1 0
- 0 .0 0 1 8
0 .0 2 6 4
-0 .0 0 0 9
0 .0 1 5 3
- 0 .0 0 0 9
0 .0 2 9 6
- 0 .3 8 7 6
0 .6 9 8 8
-9
- 0 .0 0 7 3
0 .0 3 7 0
0 .0 0 1 3
0 .0 3 3 5
- 0 .0 0 8 6
0 .0 4 3 9
- 2 .4 6 0 6
0 .0 1 5 0
0 .0 4 3 4
-8
-0 .0 1 1 7
0 .0 3 2 7
- 0 .0 0 7 0
0 .0 3 2 4
- 0 .0 0 4 7
0 .0 4 4 1
- 1 .3 3 6 0
0 .1 8 3 5
-7
- 0 .0 0 8 8
0 .0 2 4 7
- 0 .0 1 5 6
0 .0 2 6 5
0 .0 0 6 8
0 .0 3 3 8
-6
0 .0 0 1 3
0 .0 4 7 2
- 0 .0 0 2 5
0 .0 2 1 9
0 .0 0 3 8
0 .0 5 0 9
2 .5 2 6 3
0 .9 3 6 4
0 .3 5 0 5
0 .0 1 2 5
**
**
**
**
-5
0 .0 0 6 0
0 .0 4 0 3
0 .0 0 8 5
0 .0 2 6 5
- 0 .0 0 2 5
0 .0 4 6 5
-0 .6 7 3 2
0 .5 0 1 8
-4
_3
0 .0 0 1 2
0 .0 4 2 3
0 .0 4 0 1
- 0 .0 0 1 0
0 .0 5 3 4
-0 .2 2 9 9
0 .8 1 8 5
- 0 .0 0 2 9
0 .0 2 5 0
0 .0 0 2 2
0 .0 0 0 0
0 .0 1 9 9
- 0 .0 0 3 0
0 .0 3 1 2
-1 .1 9 9 3
0 .2 3 2 2
0.0001
0 .0 3 5 2
0 .0 0 8 6
0 .0 3 5 7
- 0 .0 0 8 7
0 .0 5 2 5
-2 .0 8 5 7
0 .0 3 8 6
**
-1
0 .0 0 2 0
0 .0 4 0 6
- 0 .0 0 6 7
0 .0 3 7 3
0 .0 0 8 7
0 .0 5 4 0
2 .0 2 5 2
0 .0 4 4 6
**
0
0 .0 1 1 2
0 .0 4 9 1
- 0 .0 0 2 6
0 .0 1 3 9
0 .0 6 0 0
2 .8 9 4 0
0 .0 0 4 3
***
1
-0 .0 0 6 1
0 .0 3 6 6
0 .0 0 3 2
0 .0 3 9 0
0 .0 4 1 0
- 0 .0 0 9 4
0 .0 5 4 6
- 2 .1 4 7 8
0 .0 3 3 3
0 .4 7 1 2
-2
-
2
0.0000
0 .0 4 6 7
- 0 .0 0 2 9
0 .0 2 4 0
0 .0 0 2 9
0 .0 5 0 8
0 .7 2 2 3
3
0 .0 0 4 5
0 .0 4 7 0
-0 .0 0 9 1
0 .0 2 3 0
0 .0 1 3 6
0 .0 5 1 8
3 .2 9 9 1
0 .0 0 1 2
4
0 .0 0 4 6
0 .0 5 1 3
0 .0 0 2 2
0 .0 2 4 4
0 .0 0 2 4
0 .0 5 5 3
0 .5 3 7 1
0 .5 9 2 0
5
6
0.0001
0 .0 4 0 0
-0 .0 0 0 6
0 .0 2 4 4
0 .0 0 0 5
0 .0 4 5 7
0 .1 3 5 0
0 .8 9 2 8
- 0 .0 0 3 5
0 .0 4 4 1
- 0 .0 0 2 0
0 .0 1 8 6
- 0 .0 0 1 6
0 .0 4 2 8
- 0 .4 6 0 0
0 .6 4 6 2
7
- 0 .0 0 3 2
0 .0 3 8 4
0 .0 0 2 8
0 .0 3 9 4
-0 .0 0 6 1
0 .0 5 1 3
- 1 .4 8 1 2
0 .1 4 0 6
8
-0 .0 0 0 3
0 .0 2 7 6
-0 .0 0 3 1
0 .0 4 7 0
0 .0 0 2 8
0 .0 5 3 /
0 .6 6 6 3
0 .5 0 6 2
0 .7 9 9 2
-
9
- 0 .0 0 0 7
0 .0 3 1 1
- 0 .0 0 1 0
0 .0 4 9 2
-0 .2 5 4 8
- 0 .0 0 4 3
0 .0 3 9 3
0 .0 4 3 7
0 .0 0 0 3
10
-0 .0 0 3 6
0 .0 5 3 4
- 0 .0 0 0 7
0 .0 6 8 0
-0 .1 3 4 5
0 .8 9 3 2
U
- 0 .0 0 4 7
0 .0 4 7 5
- 0 .0 1 0 1
0 .0 3 1 2
0 .0 0 5 3
0 .0 5 7 2
1 .1 6 2 0
0 .2 4 7 0
12
-0 .0 0 8 1
0 .0 5 0 7
0 .0 1 1 6
0 .0 5 4 5
- 0 .0 1 9 7
0 .0 8 6 1
- 2 .8 6 3 7
0 .0 0 4 8
13
0 .0 1 6 5
0 .0 6 2 2
0 .0 0 7 9
0 .0 6 8 6
0 .0 0 8 5
0 .0 9 2 1
1 .1 5 9 8
0 .2 4 7 9
14
0 .0 1 0 1
0 .0 5 4 0
0 .0 0 5 0
0 .0 6 2 5
0 .0 0 5 2
0 .0 8 4 7
0 .7 6 2 8
0 .4 4 6 7
0 .1 8 9 1
15
0 .0 0 3 1
0 .0 5 3 4
-0 .0 0 3 4
0 .0 3 6 7
0 .0 0 6 5
0 .0 6 2 2
1 .3 1 9 0
16
-0 .0 0 5 1
0 .0 4 5 8
0 .0 2 6 1
0 .0 0 0 5
0 .9 1 1 9
0 .0 0 0 3
0 .0 3 9 0
0 .0 4 7 1
- 0 .0 0 3 7
0 .0 5 3 1
0 .0 5 6 8
0 .1 1 0 8
17
-0 .0 0 5 5
0 .0 0 4 1
- 0 .8 1 8 5
0 .4 1 4 3
18
0 .0 0 5 5
0 .0 4 2 4
-0 .0 0 1 8
0 .0 3 5 2
0 .0 0 7 3
0 .0 5 1 8
1 .7 6 8 5
0 .0 7 8 9
19
- 0 .0 0 5 5
0 .0 6 0 4
- 0 .0 0 0 2
0 .0 3 3 7
- 0 .0 0 5 3
0 .0 7 0 6
-0 .9 4 6 1
0 .3 4 5 6
20
0 .0 0 2 7
0 .0 4 6 2
-0 .0 0 0 2
0 .0 2 2 8
0 .0 0 2 9
0 .0 5 3 7
0 .6 7 8 6
0 .4 9 8 4
***
*
P an el H w in d o w re tu r n s
0 .0 0 0 6
0 .0 9 3 4
-0 .0 1 9 0
0 .0 7 1 9
0 .0 1 9 6
0 .1 1 7 1
2 .0 9 1 1
0 .0 3 8 1
**
-0 .0 2 4 1
0 .0 8 6 1
-0 .0 0 5 2
0 .0 7 8 6
- 0 .0 1 8 8
0 .1 1 6 1
- 2 .0 3 1 7
0 .0 4 3 9
**
[ -1 .+ 1 ]
0 .0 0 7 1
0 .0 6 2 6
-0 .0 0 6 2
0 .0 5 6 9
0 .0 1 3 3
0 .0 8 2 9
2 .0 0 3 3
0 .0 4 6 9
**
[ + 2 ,+ 1 0 ]
-0 .0 0 3 1
0 .0 9 5 7
-0 .0 1 6 0
0 J0 3 7
0 .0 1 2 9
0 .1 3 4 8
1 .1 9 8 5
0 .2 3 2 5
0 .0 1 4 8
0 .1 3 0 9
0 .0 2 0 3
0 .1 7 3 5
0 .0 0 7 5
0 .1 9 4 6
0 .4 8 3 0
0 .6 2 9 8
[ - 2 0 ,- 1 1 ]
[ -1 0 ,- 2 ]
[ + 1 1 .+ 2 0 ]
“ J u m l a h s a m p e l d a la m p o r t o f o l i o a d a l a h s e b e s a r 1 5 7 f i r m - y e a r
b T e rd ir i a t a s p o r t o f o l i o y a n g d ib e n t u k b e r d a s a r k a n p a i r i n g d e n g a n p e r u s a h a a n y a n g m e n e r im a o p in i u n q u a l i f i e d
d e n g a n p a r a g r a f p e n j e l a s a n d a l a m in d u s tr i y a n g s a m a s e r ta s i z e d a n u n e x p e c te d e a r n i n g s y a n g r e l a t i f s a m a
* * * s i g n i f i k a n p a d a le v e l 0 .0 1 p a d a 2 - l a i l e d t e s t
**
s i g n i f i k a n p a d a le v e l 0 .0 5 p a d a 2 - t a i l e d t e s t
*
s i g n if ik a n p a d a le v e l 0 1 0 p a d a 2 - l a i l e d t e s t
J u r n a l A k u n t a n s i d a n K e u a n g a n I n d o n e s i a , D e s e m b e r 2 0 0 7 , V o l.4, N o .2 , h a l . 1 5 5 - 1 6 8
162
P a n e l B T a b e l 2 m e n g i k h t i s a r k a n r a t a - r a t a d a n s t a n d a r d e v ia s i m a s i n g m a s i n g k e l o m p o k o p in i a u d it, b e d a a n ta r a k e d u a n y a , t - v a l u e d a n p r o b a b i l i t a s u n t u k
l i m a w i n d o w r e tu r n s . W in d o w r e t u r n s d i h i t u n g s e b a g a i k u m u la s i e x c e s s r e t u r n s
h a r i a n d a la m w i n d o w ( W C E R ) . T i g a d a r i lim a w i n d o w m e n u n j u k k a n r e a k s i p a s a r
y a n g b e r b e d a s e c a r a s ig n if ik a n d i a n t a r a d u a k e l o m p o k o p in i a u d i t , t e r d ir i a t a s d u a
w i n d o w d e n g a n W C E R k e l o m p o k u n q u a l i f i e d d e n g a n p a r a g r a f p e n j e l a s a n le b i h
p o s iiif d ib a n d in g k a n d e n g a n W C E R k e lo m p o k u n q u a lifie d b e n tu k b a k u d a n
1
w i n d o w s e b a lik n y a .
U n tu k m e n d a p a tk a n g a m b a ra n y a n g le b ih je la s , e x c e s s r e tu r n s m a s in g -m a s in g
k e l o m p o k d i j u m l a h k a n s e ti a p h a r i s e ja k h a ri - 2 0 s a m p a i d e n g a n h a r i + 2 0 ( c u m u l a t i v e
e x c e s s r e tu r n s /C E R ). P e rg e ra k a n C E R s e la m a 41 h a ri p e rd a g a n g a n s e p u ta r ta n g g a l
p e n g u m u m a n a u d it d a p a t d i l i h a t d a l a m G a m b a r 1. S e c a r a k e s e l u r u h a n , C E R o p in i
a u d i t u n q u a l i f i e d d e n g a n p a r a g r a f p e n j e l a s a n le b ih p o s i t i f d i b a n d i n g k a n d e n g a n
C E R o p in i a u d i t u n q u a l i f i e d b e n t u k b a k u .
G am bar 1
Cumulative Excess Returns s e j a k
2 0 h a r i s e b e lm u s a m p a i d e n g a n
2 0 h a r i se te la h P e n g u m u m a n A u d it
u.oi
I
-0 .0 1
| -0.02
s> -0 .0 3
d
•S
g -0 .0 4
3
-0 .0 5
-0 .0 6
T r a d in g d a y s r e la tiv e to a u d i t a n n o u n c e m e n t
U n q u a l i f i e d w ith e x p l a n a t o r y p a r a g r a p h - - - - U n q u a l i f i e d ( s ta n d a r d )
L eo , In c r e m e n ta l In fo r m a tio n C o n te n t d a la m O p in i A u d it U n q u a lifie d .
163
P e n g u j i a n u n i v a r i a t e in i m e n d a p a t k a n b u k t i b a h w a o p in i a u d i t u n q u a l i f i e d
d e n g a n p a r a g r a f p e n j e l a s a n m e n d a p a t k a n r e a k s i y a n g le b ih p o s i t i f s e p u t a r t a n g g a l
p e n g u m u m a n o p in i a u d i t d i b a n d i n g k a n o p in i a u d i t u n q u a l i f i e d b e n t u k b a k u .
P e n g u jia n M u ltiv a r ia t
P e n g u jia n m u ltiv a ria te
m enggunakan
re g re s i b e rg a n d a d ila k u k a n
u n tu k
m e m a s u k k a n v a ria b e l la in y a n g d a p a t m e n je la s k a n p e rg e ra k a n W C E R . O p in i a u d it
d i m a s u k k a n s e b a g a i v a r i a b e l in d e p e n d e n , n ila i 1 d i b e r i k a n j i k a o p i n i a u d i t u n q u a l i f i e d
d e n g a n p a r a g r a f p e n je la s a n d a n n ila i 0 jik a o p in i a u d it u n q u a lifie d b e n tu k b a k u .
S e s u a i d e n g a n h ip o t e s i s , k o e f i s i e n o p i n i a u d i t d i e k s p e k t a s i s a m a d e n g a n n o l. B i l a
k o e f i s i e n o p in i a u d i t p o s i t i f , d a p a t d i i n t e r p r e t a s i k a n b a h w a o p in i a u d i t u n q u a l i f i e d
d e n g a n p a r a g r a f p e n j e l a s a n m e m i l i k i i n c r e m e n t a l e x p l a n a t o r y p o w e r . B i l a k o e f is ie n
o p in i a u d i t n e g a t i f , o p i n i a u d i t u n q u a l i f i e d b e n t u k b a k u m e m i l i k i i n c r e m e n t a l
e x p la n a to r y p o w e r .
P e n g u j i a n r e g r e s i in i m e n g g u n a k a n d u a m o d e l . M o d e l p e r t a m a m e n g a n a l i s i s
v a r ia b e l u t a m a y a n g m e n j e l a s k a n p e r g e r a k a n W C E R y a i t u U E d a n v a r i a b e l y a n g
d iu ji y a i t u j e n i s o p in i a u d it. M o d e l k e d u a m e n a m b a h k a n v a r i a b e l k o n tr o l .
M o d e l 1 d id a s a rk a n p a d a te m u a n B a ll d a n B ro w n (1 9 6 8 ) d a n fo rm u la s i
B e a v e r e t a l. ( 1 9 9 7 ) s e b a g a i b e r ik u t:
W C E R i = a n0 + a ,I U E i + a 27 D O P ! + e.i
( 1 )7
v
D engan,
W CER =
UE.
w in d o w c u m u la tiv e e x c e s s r e tu r n fir m -y e a r
= b e d a l a b a s e b e l u m p o s l u a r b i a s a ta h u n o b s e r v a s i d e n g a n
ta h u n
s e b e l u m n y a d i s k a l a k a n d e n g a n l a b a s e b e lu m p o s l u a r b i a s a ta h u n
s e b e l u m n y a ( e k s p e k t a s i k o e f i s i e n p o s i t i f s e s u a i B a ll d a n B r o w n ,
1968)
DOP.
= 1 j i k a o p in i a u d i t u n q u a l i f i e d d e n g a n p a r a g r a f p e n j e l a s a n d a n
0 jik a
o p in i a u d i t u n q u a l i f i e d ( e k s p e k t a s i k o e f i s i e n s a m a d e n g a n n o l)
K o e f is ie n a t a d a l a h e a r n i n g s r e s p o n s e c o e f f i c i e n t ( E R C ) .
F a ro a d a n F r e n c h ( 1 9 9 2 ) m e n d a p a t k a n t e m u a n b a h w a r i s i k o s a h a m a d a l a h
m u l t i d i m e n s i o n a l . S a tu d i m e n s i r i s i k o d i p r o k s i d e n g a n s i z e , d i u k u r d e n g a n m a r k e t
c a p i t a l i z a t i o n , d a n d i m e n s i r is ik o la in d i p r o k s i d e n g a n r a s i o n ila i b u k u e k u i t a s
t e r h a d a p n ila i p a s a r ( B M ) . R i s i k o y a n g d i u k u r d e n g a n B M m e n u n j u k k a n f a k t o r
r e l a t i v e d is tr e s s . P e r u s a h a a n y a n g d in ila i m e m i l i k i p r o s p e k le m a h d \ - s i g n a l - k a n
d e n g a n h a r g a s a h a m r e n d a h d a n B M tin g g i.
V a r ia b e l k o n t r o l y a n g d i m a s u k k a n d a la m p e n g u j i a n a d a l a h v a r i a b e l B M ,
s iz e , d a n j e n i s in d u s tr i s e b a g a i m a n a d i t u n j u k k a n o l e h p e r s a m a a n (2 ).
164
J u r n a l A k u n t a n s i d a n K e u a n g a n I n d o n e s i a , D e s e m b e r 2 0 0 7 , V o l.4, N o .2 , h a l. 1 5 5 - 1 6 8
W C E R . = a 0 + a l U E . + a 2 D O P . + a 3 B M . + a 4 In S I Z E . + a 5 D I N D . + e.
(2 )
D engan,
BM .
=
r a s i o n ila i b u k u e k u ita s te r h a d a p n ila i p a s a r e k u i t a s p a d a ta h u n
o b s e r v a s i ( e k s p e k ta s i k o e f is ie n n e g a ti f )
In S IZ E . =
n ila i lo g a r itm a m a r k e t c a p i t a l i z a t i o n p a d a ta h u n o b s e r v a s i ( e k s p e k t a s i
k o e f is ie n p o s i t i f )
D IN D . =
1 j i k a p e r u s a h a a n b e r a d a d a la m in d u s tr i y a n g s a n g a t t e r e g u l a s i d a n
0 u n t u k in d u s tr i l a i n n y a ( e k s p e k ta s i k o e f i s i e n b e r b e d a d a r i n o l)
P a n e l A T a b e l 3 m e n d e s k rip s ik a n
m a s i n g - m a s i n g v a r i a b e l in d e p e n d e n
d a l a m s tu d i in i. R a t a - r a t a p e r s e n t a s e p e r u b a h a n la b a s e b e lu m p o s l u a r b i a s a ( U E )
a d a l a h s e b e s a r 7 ,6 % d e n g a n p e n y e b a r a n y a n g r e l a t i f lu a s ( s t a n d a r d e v i a s i s e b e s a r
3 ,9 1 3 ) . R a t a - r a t a D O P s e b e s a r 0 ,5 4 0 d e n g a n p e n y e b a r a n s e b e s a r 0 ,4 9 9 , y a n g
m e n g i n d i k a s i k a n j e n i s o p in i y a n g c u k u p b e r im b a n g .
T abel 3
S t a t is t ik D e s k r i p t if u n tu k V a r ia b e l I n d e p e n d e n *
UE
DOP
BM
In S IZ E
D IN D
P a n e l A : m e a n d a n sta n d a r d e v ia s i
M ean
0 .0 7 6
0 .5 4
1 .0 4 6
1 9 .5 0 7
0 .2 4 4
S ta n d a r d e v ia s i
3 .9 1 3
0 .4 9 9
3 .3 1
2 .4 4 4
0 .4 3
0 .0 0 2
0 .0 5 5
- 0 .2 8
0 .1 0 4
- 0 .9 7 1
- 0 .3 5
- 0 .6 3 5
( 0 .0 7 6 ) :
- 0 .0 0 4
- 0 .1 3 5
0 .1 2 4
- 0 .9 4 2
P a n e l B : k o r e la s i
UE
D O P
0 .0 0 3
( 0 .0 2 2 ) * *
( 0 .0 3 5 ) ’
B M
- 0 .1 0 8
0 .0 7 3
- 0 .0 5 1
0 .0 5 8
( 0 .0 6 5 ) *
-0 .2 1 5
-0 .3 8 7
0 .1 6 3
-0 .1 4 5
- 0 .4 9 8
(0 .0 0 5 ) * * *
( 0 .0 1 4 ) * *
( 0 .0 0 0 ) * * *
0 .0 8 7
0 .1 2 4
0 .0 4 4
0 .0 6 6
-0 .1 3 9
( 0 .0 3 5 ) * *
- 0 .4 5 8
-0 .2 6 3
- 0 .9 5 8
In S IZ E
D IN D
-0 .3 2 6
0 .0 8 3
- 0 .1 6
a D e f in is i v a r ia b e l:
UE
= b e d a l a b a s e b e l u m p o s lu a r b i a s a t a h u n o b s e r v a s i d e n g a n t a h u n s e b e l u m n y a
d is k a la k a n d e n g a n la b a s e b e l u m p o s lu a r b ia s a t a h u n s e b e lu m n y a
D O P = 1 j i k a o p i n i a u d it u n q u a l i f i e d d e n g a n p a r a g r a f p e n j e la s a n d a n 0 j i k a o p in i a u d it u n q u a l i f i e d
BM
= r a s io n ila i b u k u e k u it a s te r h a d a p n ila i p a s a r e k u it a s p a d a ta h u n o b s e r v a s i
I n S I Z E = n ila i lo g a r itm a m a r k e t c a p ita liz a tio n p a d a ta h u n o b s e r v a s i
D I N D = 1 j i k a p e r u s a h a a n b e r a d a d a la m in d u s t r i y a n g s a n g a t t e r e g u l a s i d a n 0 in d u s tr i la in n y a
b K o r e la s i d i s e b e la h a ta s d ia g o n a l m e r u p a k a n
k o r e la s i P e a r so n ,
K o r e la s i d i s e b e la h b a w a h d ia g o n a l m e r u p a k a n k o r e la s i S p e a r m a n .
A n g K a d a la m k u r u n g a d a la h p - v a lu e d e n g a n 2 - t a ile d te s i d e n g a n * * * s ig n if ik a n p a d a le v e l 0 .0 1 ,
* * s i g n if ik a n p a d a l e v e l 0 .0 5 d a n * s ig n i f ik a n p a d a le v e l 0 .1 0 .
L e o , In c r e m e n ta l In fo r m a tio n C o n te n t d a la m O p in i A u d it U n q u a lifie d .
165
P a n e l B T a b e l 3 m e m p e r l i h a t k a n b a h w a v a r i a b e l k o n t r o l s i z e d a n j e n i s in d u s tr i
m a s i n g - m a s i n g s e c a r a k o n s i s t e n b e r k o r e l a s i d e n g a n v a r i a b e l D O P , b a i k k o e f is ie n
k o re la s i P e a rs o n m a u p u n
S p e a rm a n . P e n g u jia n
s e la n ju tn y a tid a k
m e n y e r ta k a n
v a r i a b e l k o n tr o l s i z e d a n j e n i s in d u s tr i. K o e f is ie n k o r e l a s i S p e a r m a n a n t a r a B M d a n
U E m e n u n j u k k a n a d a n y a k o r e l a s i y a n g s i g n i f i k a n , t e t a p i k o r e l a s i k e d u a v a r ia b e l
ti d a k s i g n i f i k a n d a l a m k o e f i s i e n k o r e l a s i P e a r s o n .
T abel 4
H a s il R e g r e si
M o d e l 1: W C E R , = a „ + a , U E , + a ; D O P .
M o d e l2: H'C E R , = o ,
e,
UE, + a < D O P , + a , B M , ± e ,
M odel 1
oo
P a n e l A : w in d o w
M o del 2
°:
« i
a,
o :
"j
u n tu k W C E R s a tu h a r i s e b e l u m d a n s a tu h a r i s e te la h p e n g u m u m a n a u d it
K o e f is ie n
-0 .0 0 4 9
0 .0 0 1 0
0 .0 1 1 8
-0 .0 0 6 1
0 .0 0 0 9
0 .0 1 1 9
t-v a iu e
-0 .9 7 5 0
1 .1 5 2 0
1.7480
- 1 .3 0 2 0
1 .06 4 0
1 .7 6 0 0
1 .6 2 80
p - v a lu e °
0 .3 3 0 0
0 .2 5 0 0
0 .0 8 2 0 *
0 .1 9 4 0
0 .2 8 8 0
0 .0 8 0 0 *
0 .1 0 5 0 *
a d j.R 2
0 .0 0 8 0
(F = 2 .1 9 5 )
0 .0 1 4 0 ( F = 2 .3 5 5 * )
P a n e ] B : w in d o w u n tu k W C E R lig a h a r i s e b e lu m d a n tig a h a r i s e te la h p e n g u m u m a n a u d it
0 .0 1 9 7
-0 .0 1 2 7
0 .0 0 4 2
-0 .0 1 1 4
0 .0 0 4 2
0 .0 1 9 7
0 .0 0 1 2
3 .5 3 0 0
2 .1 2 1 0
0 .8 8 3 0
0 .0 0 0 0 * * •
0 .0 3 5 0 **
0 .3 7 8 0
0 .0 0 3 0
K o e f is i e n
-1 .6 7 7 0
t-v a lu e
3 .5 8 5 0
2 .1 1 8 0
0 .0 0 0 0 ***
0 .0 3 5 0 **
p -v a lu e a
0 .0 9 5 0 *
a d j.R 1
0 .0 5 0 0 (F = 8 .6 8 7 * * * )
0 .0 0 1 7
- 1 .8 2 6 0
0 .0 6 9 0 *
0 .0 5 0 0 (F = 6 0 4 7 * * * )
P a n e l C : w in d o w u n tu k W C E R lim a h a r i s e b e l u m d a n lim a h a r i s e te la h p e n g u m u m a n a u d it
K o e f is ie n
-0 .0 0 7 3
0 .0 0 51
0 .0 2 7 2
-0 .0 1 0 4
0 .0 0 5 0
0 .0 2 7 3
t-v a lu e
- 0 .7 9 3 0
3 .1 9 5 0
2 .1 7 1 0
-1 .1 1 2 0
3 .1 1 2 0
2 .1 8 3 0
1 .57 4 0
0 .0 0 2 0 * * *
0 .0 3 1 0 * *
0 .0 0 2 0 ***
0 .0 3 0 0 * *
0 .1 1 7 0 *
0 .0 0 3 3
p -v a lu e a
0 .4 2 8 0
adj R ‘
0 .0 4 3 0 (F = 7 .4 7 6 * * * )
0 .2 6 7 0
0 .0 4 8 0 (F = 5 .8 3 5 * * * )
P a n e l O : w in d o w u n t u k W C E R s e p u lu h h a ri s e b e l u m d a n s e p u lu h h a r i s e te l a h p e n g u m u m a n a u d it
K o e f is ie n
-0 .0 3 8 0
0 .0 0 4 4
0 .0 1 7 6
-0 .0 4 1 6
0 .0 0 4 2
0 .0 1 7 6
t-v a lu e
-3 .4 3 0 0
2 .2 7 2 0
1 .1 6 20
-3 .6 7 0 0
2 .1 9 3 0
1 .1710
1 .4 6 8 0
0 .0 2 4 0 * *
0 .2 4 6 0
0 .0 2 9 0 * *
0 .2 4 3 0
0 .1 4 3 0 *
p -v a lu e a
0 .0 0 1 0 * * *
ad j. R 2
0 .0 1 5 0 (F = 3 .2 6 2 * * )
0 .0 0 0 0 * * *
0 .0 1 9 0 (F = 2 .9 0 2 * * )
P a n e l E : w in d o w u n tu k W C E R 2 0 h a r i s e b e l u m d a n 2 0 h a r i s e te la h p e n g u m u m a n a u d it
K o e fis ie n
-0 .0 4 7 9
0 .0 0 5 0
0 .0 4 2 7
- 0 .0 4 1 6
0 .0 0 5 2
0 .0 4 2 5
-0 .0 0 6 0
t- v a lu e
-2 .6 9 8 0
1 .6 0 8 0
1 .7 6 60
-2 .2 9 3 0
1 .70 1 0
1 .7 6 40
-1 .6 5 1 0
0 .1 0 9 0 *
0 .0 7 8 0 *
0 .0 9 0 0 * *
0 .0 7 9 0 *
p -v a lu e a
0 .0 0 7 0 * * *
a d j. R 1
0 .0 1 3 0 (F = 2 .8 5 8 * )
0 .0 2 3 0 * *
0 .1 0 0 0 **
0 .0 1 9 0 (F = 2 .8 2 5 * * )
D e f in is i v a riab el:
UE
- b e d a la b a s e b e lu m p o s lu a r b ia s a ta h u n o b s e rv a s i d e n g a n ta h u n s e b e lu m n y a d is k a la k n n d e n g a n la b a s e b e lu m
p o s lu a r b ia s a ta h u n se b e lu m n y a , p e n g u jia n s ig n i fik a n s i p a d a 1 -t a ile d te s i
O O P = 1 j i k a o p i n i a u d it u n q u a lifie d d e n g a n p a r a g r a f p e n j e la s a n d a n 0 j i k a o p in i a u d it u n q u a l i f i e d ,
p e n g u j ia n s ig n ifik a n s i p a d a 2 -t a ile d te s t
BM
= ra s io n ila i b u k u e k u i ta s te r h a d a p n ilai p a s a r e k u ita s p a d a ta h u n o b s e rv a s i, p e n g u jia n s ig n if ik a n s i p a d a 1 - ta ile d te s t
° N ila i p - v a lu e d ih itu n g p a d a 2 - ta ile d te s t
*** s ig n if ik a n p a d a le v e l 0 .01 p a d a m a s in g -m a s in g p e n g u jia n
**
s ig n if ik a n p a d a le v el 0.0 5 p a d a m a s in g -m a s in g p e n g u jia n
*
s ig n i fik a n p a d a le v e l 0 .1 0 p a d a m a s in g -m a s in g p e n g u jia n
166
J u r n a l A k u n t a n s i d a n K e u a n g a n I n d o n e s i a , D e s e m b e r 2 0 0 7 , Vol. 4, N o .2 , h a l. 1 5 5 - 1 6 8
H a s i l r e g r e s i M o d e l 1 d a n M o d e l 2 d i s a j i k a n d a l a m T a b e l 4 d e n g a n lim a
w i n d o w d a l a m P a n e l A - E . H i p o t e s a n o l d ito la k . K o e f is ie n v a r i a b e l D O P s i g n i f i k a n
p o s i t i f d a l a m M o d e l 1 d a n 2 u n t u k s e m u a w i n d o w , k e c u a l i w i n d o w [ - 1 0 ,+ 1 0 ] d a l a m
P a n e l D . H a s il in i m e n g i n d i k a s i k a n b a h w a o p in i a u d i t u n q u a l i f i e d d e n g a n p a r a g r a f
p e n je la s a n m e m ilik i in c r e m e n ta l e x p la n a to r y p o w e r . K o n s is te n d e n g a n B a ll d a n
B r o w n ( 1 9 6 8 ) s e r ta T e o h d a n W o n g ( 1 9 9 3 ) , k o e f is ie n v a r i a b e l U E s ig n i f i k a n p o s i t i f
p a d a M o d e l 1 d a n 2 d a la m s e m u a w i n d o w , k e c u a li w i n d o w [-1 ,+ 1 ]. H a l in i m u n g k i n
d is e b a b k a n b e d a w a k tu a n ta ra re a k s i p a s a r d e n g a n ta n g g a l p e n g u m u m a n
keuangan.
D a la m
p e rio d e
le b ih
p a n ja n g ,
sam pai
dengan
la p o ra n
[ - 2 0 ,+ 2 0 ] , p a s a r
b e r e a k s i s e s u a i e k s p e k ta s i. K o e f is ie n v a r ia b e l B M s ig n if ik a n n e g a t i f h a n y a p a d a
w i n d o w [ - 2 0 ,+ 2 0 ] , P a d a w i n d o w la i n n y a y a n g le b ih s in g k a t , k o e f i s i e n v a r i a b e l B M
s i g n i f i k a n p o s itif .
D a l a m p e n g u j i a n m e n g g u n a k a n ln B M ( h a s il t i d a k d i s a j i k a n ) ,
d id a p a t h a s il y a n g r e la tif sam a.
N i l a i a d j. R 2 s e b e s a r 0 ,8 % - 5 ,0 % b e r a d a d a l a m j a n g k a u a n y a n g d i l a p o r k a n
o l e h L e v ( 1 9 8 9 ) d a n P f e i f f e r e t a l. ( 1 9 9 8 ) y a n g b i a s a n y a k u r a n g d a r i 1 0 % d a n
u m u m n y a b e r a d a a n ta r a 1 % d a n 5 % d a l a m s e b a g ia n b e s a r s tu d i.
T e m u a n d a l a m p e n g u j i a n r e g r e s i m e m b e r i k a n b u k ti b a h w a p e r u s a h a a n y a n g
m e n d a p a t k a n o p in i a u d i t u n q u a l i f i e d d e n g a n p a r a g r a f p e n j e l a s a n s e c a r a p o s i t i f
s i g n i f i k a n m e m p e n g a r u h i v a r i a b i l i t a s W C E R s e p u t a r ta n g g a ) p e n g u m u m a n o p in i
a u d it. T e r d a p a t i n c r e m e n t a l i n f o r m a t i o n c o n t e n t d a l a m o p i n i u n q u a l i f i e d d e n g a n
p a r a g r a f p e n j e l a s a n . H a l in i s u g g e s t s p a s a r m e n g a p r e s i a s i a d a n y a p a r a g r a f p e n j e l a s a n
d a l a m o p in i a u d i t u n q u a l i f i e d d e n g a n e x c e s s r e t u r n s y a n g l e b i h t i n g g i d i b a n d i n g k a n
d e n g a n e x c e s s r e t u r n s p e r u s a h a a n d e n g a n o p in i a u d i t u n q u a l i f i e d b e n t u k b a k u .
K E S IM P U L A N
B u k t i e m p i r i s d a l a m s tu d i in i, m e la lu i p e n g u j i a n u n i v a r i a t e d a n r e g r e s i ,
m e n u n j u k k a n b a h w a p a s a r m e n g a p r e s i a s i p a r a g r a f p e n j e l a s a n d a l a m o p in i a u d i t
u n q u a l i f i e d d a n k a r e n a n y a t e r d a p a t i n c r e m e n t a l i n f o r m a t i o n c o n t e n t d a l a m o p in i
a u d i t u n q u a l i f i e d d e n g a n p a r a g r a f p e n je l a s a n . I n v e s t o r m e m b e r i k a n r e a k s i y a n g
b e r b e d a d e n g a n o p in i a u d i t y a n g w a l a u p u n s a m a - s a m a u n q u a l i f i e d n a m u n u n q u a l i f i e d
d e n g a n p a r a g r a f p e n j e l a s a n m e m b e r i k a n p e n g u n g k a p a n le b ih k e p a d a in v e s t o r , d a n
in v e s t o r m e n g a p r e s i a s i p e n g u n g k a p a n te r s e b u t.
T em uan
s tu d i
in i
k o n s is te n
dengan
p e n e litia n
s e b e lu m n y a
d a la m
hal
p e n g u n g k a p a n . B r y a n ( 1 9 9 7 ) d a l a m s t u d i n y a a ta s i n c r e m e n t a l i n f o r m a t i o n c o n t e n t
d a la m
pengungkapan
D is k u s i
dan
A n a lis i s
M a n a je m e n
m enem ukan
bahw a
p e n g u n g k a p a n in i b e r a s o s i a s i d e n g a n u k u r a n k i n e r j a d a n k e p u t u s a n in v e s t a s i m a s a
d e p a n (d a la m ja n g k a p e n d e k ).
L e o , In c r e m e n ta l In fo r m a tio n C o n te n t d a la m O p in i A u d it U n q u a lifie d .
167
S tu d i in i j u g a m e n e m u k a n b u k ti e m p i r i s b a h w a r e a k s i h a r g a t e r h a d a p o p in i
a u d i t t e i j a d i s e g e r a s e t e l a h o p in i a u d i t d i u m u m k a n . T e m u a n in i k o n s i s t e n d e n g a n
t e m u a n F ir th ( 1 9 7 8 ) .
Im p lik a s i
te m u a n
in i
bagi
p ra k tis i
a u d it
a d a la h
u n tu k
m e m b e rik a n
p e r t i m b a n g a n y a n g le b ih d a l a m m e n g u n g k a p k a n p a r a g r a f p e n j e l a s a n . K e t a k u t a n
bahw a
adanya
p a r a g r a f p e n je la s a n
akan
re a k s i n e g a tif p a s a r tid a k te rb u k ti d a la m
m e n u ru n k a n
h a rg a
saham
seb ag ai
p e n e l i t i a n in i. S e b a l i k n y a , p e n e l i t i a n
in i m e n d a p a t k a n b u k ti e m p i r i s b a h w a p a s a r m e m b e r i k a n r e s p o n p o s i t i f t e r h a d a p
p a r a g r a f p e n j e l a s a n d a l a m o p in i u n q u a l i f i e d .
S tu d i in i m e m b a n d i n g k a n r e a k s i p a s a r t e r h a d a p o p in i u n q u a l i f i e d d e n g a n
p a r a g r a f p e n j e l a s a n d e n g a n u n q u a l i f i e d b e n t u k b a k u t a n p a m e n g a n a l i s i s le b i h
l a n j u t k e p a d a is i p a r a g r a f p e n j e l a s a n t e r s e b u t . K e l e m a h a n l a i n p e n g u j i a n in i a d a l a h
v a r i a b e l c o n t r o l y a n g d iu ji h a n y a b e b e r a p a , s e m e n t a r a m a s i h b a n y a k v a r i a b e l c o n t r o l
l a i n n y a y a n g ti d a k d i i k u t s e r t a k a n d a l a m p e n g u j i a n ( m i s a l n y a v a r i a b e l k i n e r j a a t a u
p r o f ita b i lita s ) . H a l - h a l in i d a p a t m e n j a d i m a s u k a n u n t u k p e n e l i t i a n y a n g a k a n
d a ta n g .
D A FTA R PU STA K A
B a ll, R a y d a n P h i l i p B r o w n . “ A n E m p i r i c a l E v a l u a t i o n o f A c c o u n t i n g I n c o m e
N u m b e r s .” J o u r n a l o f A c c o u n t i n g R e s e a r c h ( A u t u m n ) ( 1 9 6 8 ) : 1 5 9 - 1 7 7 .
B e a v e r , W illia m
H ., M a r y
L e a M c A n a lly , d a n
C h r i s t o p h e r H . S ti