摘要：Keywords: Stock Return, Bond RatingABSTRACTCapital market is defined as a vehicle that brings those in need of funds to parties whoprovide funding in accordance with rules established by the institutions related to securities.Efficient capital market is defined as the market price of securities; securities already reflectall relevant information. The sooner the new information reflected in securities prices, themore efficient the capital market. One form of information that can affect the prices ofsecurities are debt-related announcements. Information relating to the debt one of which isthe rating of debt (bond rating). The investors in their actions using the information in theform of the publication of the announcement of bond rating bond rating announcements willmake an impact in the form of differences in stock returns. The aim of research to find outwhether there are differences of stock returns before and after the announcement of bondrating and to find out why there are differences in the stock return. This study usessecondary data obtained from the companies listed in Indonesia Stock Exchange from 2007to 2009 period. Sampling in this study using purposive sampling method.The results of this study concluded that stock prices react to the announcement of bondrating that indicated by the difference in stock price, while based on the results of pairedsample t test t test showed that there were no difference stock returns before and after theannouncement. The cause was the announcement of bond rating is not the only factoraffecting stock returns. Differences in stock returns can be affected when viewed fromseveral factors, the dividend announcement, the stock split, stock trading volume and theliquidation of the company.
