pengaruh iaba eksis pada 2 hari sebclum publikasi laporan keuangan yang resmi diannouncedke public, yaitu mulai pada t-5 sampai dengan t -4 di hampir semuakelompokfinn size. Hal ini mungkin disebabkan karena adanya inforrnas:i lain sepcrtiproyeksi analis, analisa dan sentiment dari internal pemsahaan. Sehinggabagi mereka kenaikan/penurunan laba bisa diartikan informasi negatif oleh pasarkarena adanya infonnasi-infonnasi ini. Hal ini bisa dimun.gkinkan tetjadi karenaperiode pengamatan yang reiatif pendek sehingga pasar tidak memiliki cukup wnktuuntuk mengolah informasi fundamental perusahaan, sedangkan semua komponen aruskas tidaksignifikan pada level kepercayaan 0,05.

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ABSTRACT
The purpose of this research is fO examine the cash flow and accounting~ earningrelationship on stock return and 10 seek how those financial components is affects thecumulative abnormal returns. To testing the relationship among variable--CAAR,earning and cash flow from operating, investing and financing activities-I'm usingthe Pearson Correlation. Using average returns I found that only accounting earninghas statistically significant relations on stuck return although it was weak. The rest(cash flow components) are statistically insignificant. The earning's coefficient isdifferent from what I've expected. These occur because the market claims the earninginformation as a negative signal. For the cash flow components, I failed to reject thenull hypotheses whereas this variable doesn't have statistically relations on stockreturns. 1 do confirm the Manurung {1998) research but contrast to ZaroH-'in (1990).To seek whether there's any difference of abnormal returns between TWO periods (5days before and 5 days after the financial statement announcement), I found theevidence that abnormal return are statistically difference. which is signed by prob <0,05 using the paired sample t test.The result from multiple regressions is slightly the same from lhe pearson. Onlyaccounting earning has an effect to cumulative abnormal returns before the financialstatement has publicly announced. It occurs because there's another information thatinfluence the market before the financial statement is released, such as the analyst'sperspective, rumors' or sentiment from infernal firm. All cash flow components arestatistically insignificant at a=0.05 except the cash flow from operating activitieswhich has an e.fkct on stock returns at the day of announcement (to). The earning andcash flow from operations has negative signal for investor as shown in lhecoefficient's value. So we may say that those variable are less-informttliveness.Please also note that firm size has no effect on stock returns as I found there's nodifferent since I classifYing the small to large-size firm class. In other words, investordoesn't rely on firm size perspective while they make an investment decisions.