This study aims to examine whether there are differences in stock returns before and after the announcement of bond ratings and measure the relationship between bond ratings on bond prices in companies that are rated by PT Pefindo and listed on the Indonesia Stock Exchange during the period of 2014.
The Samples were used that all companies listed on the Stock Exchange and ranked by PT Pefindo during 2014 , which was chosen by 46 companies through purposive sampling . The independent variables in this study are bond rating. While the dependent variable in this study is the stock return and used abnormal return and bond prices . Hypothesis testing is done by using One-way Analysis of Variance (Anova) test .
Based on the results obtained by testing the hypothesis that there is no relationship between bond ratings to return stock and bond prices . That is because investors do not consider the announcement of bond ratings as things that can be used as a benchmark in investing in stocks and bonds
