摘要：Keywords: Stock Return, Bond Rating ABSTRACT Capital market is defined as a vehicle that brings those in need of funds to parties who provide 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 reflect all relevant information. The sooner the new information reflected in securities prices, the more efficient the capital market. One form of information that can affect the prices of securities are debt-related announcements. Information relating to the debt one of which is the rating of debt (bond rating). The investors in their actions using the information in the form of the publication of the announcement of bond rating bond rating announcements will make an impact in the form of differences in stock returns. The aim of research to find out whether there are differences of stock returns before and after the announcement of bond rating and to find out why there are differences in the stock return. This study uses secondary data obtained from the companies listed in Indonesia Stock Exchange from 2007 to 2009 period. Sampling in this study using purposive sampling method. The results of this study concluded that stock prices react to the announcement of bond rating that indicated by the difference in stock price, while based on the results of paired sample t test t test showed that there were no difference stock returns before and after the announcement. The cause was the announcement of bond rating is not the only factor affecting stock returns. Differences in stock returns can be affected when viewed from several factors, the dividend announcement, the stock split, stock trading volume and the liquidation of the company.
