Pengukuran return awal dan jangka panjang dari penawaran saham perdana (ipo) dengan benchmark ihsg dan teori capm: studi kasus di bursa efek Indonesia (idx)

Saputra, Bagus Dwi Arki C. (2011) Pengukuran return awal dan jangka panjang dari penawaran saham perdana (ipo) dengan benchmark ihsg dan teori capm: studi kasus di bursa efek Indonesia (idx). Bachelor thesis, Universtitas Pelita Harapan.

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Abstract

Issuing stock is one of a company gets capital. For selling stock to investors, a company has to do Initial Public Offering (IPO) at the beginning. At least there are two anomalies related to IPO. First, the first day return of IPO stock is higher than market return caused by selling IPO stock lower than it should be (IPO underpricing). Second, long term return of the IPO stock is lower than return given by market (long-run underperformance). Many researches about these anomalies have been done overseas but is still rare in Indonesia. This research studied whether two anomalies related to Initial Public Offering: IPO underpricing and long term underperformance also happened in Indonesian market. Performance measurement is done with benchmark, IHSG return and required rate of return (RRR) from CAPM theory. Samples for this study consist of 50 companies that performed initial offering in Indonesia stock market between 2000 and 2004 for IHSG benchmark, and 13 companies for RRR benchmark. Kolmogov-Smirnov is used to test the distribution of the samples whereas testing of the hypothesis using t-test. Hypothesis test showed that in Indonesia Stock Exchange there is IPO underpricing for both IHSG benchmark and RRR benchmark. Long-run underperformance was also found in both IHSG and RRR benchmark. Keywords: IPO underpricing, long-run underperformance, abnormal return, Capital Asset Pricing Model (CAPM) / Menerbitkan saham merupakan salah satu cara bagi perusahaan untuk memperoleh modal. Untuk dapat menjual saham kepada investor, perusahaan harus melakukan penawaran saham perdana. Setidaknya terdapat dua anomali yang berkaitan dengan saham perdana. Pertama, saham memberikan return hari pertama yang jauh lebih tinggi dibandingkan dengan return pasar yang diakibatkan dari penjualan saham dengan harga yang lebih rendah (IPO underpricing). Kedua, dalam jangka panjang (tiga tahun) saham memberikan return yang lebih rendah dari return pasar (long-run underperformance). Penelitian mengenai kedua anomali tersebut telah banyak dlakukan diberbagai negara, tapi di Indonesia masih jarang dilakukan. Penelitian ini bertujuan untuk mengetahui apakah dua anomali berkaitan dengan penawaran saham perdana: IPO underpricing dan long-run underperformance; juga terjadi di pasar modal Indonesia. Pengukuran performa dilakukan dengan menggunakan dua benchmark yaitu return IHSG dan required rate of return (RRR) dari teori CAPM. Dengan menggunakan data IPO pada Bursa Efek Indonesia tahun 2000-2004 diperoleh sampel 50 perusahaan ketika digunakan benchmark return IHSG dan 13 perusahaan ketika benchmark RRR digunakan. Uji Kolmogov-Smirnov digunakan untuk uji normalitas data. Sedangkan pengujian hipotesis digunakan t-test. Hasil uji hipotesis menunjukan bahwa di Bursa Efek Indonesia terdapat IPO underpricing dan long-run underperformance baik ketika digunakan benchmark return IHSG maupun RRR.

Item Type: Thesis (Bachelor)
Creators:
CreatorsNIMEmail
Saputra, Bagus Dwi Arki C.NIM01120080071UNSPECIFIED
Contributors:
ContributionContributorsNIDN/NIDKEmail
Thesis advisorWijayanto, HeruUNSPECIFIEDUNSPECIFIED
Thesis advisorDananjaya, YanuarUNSPECIFIEDUNSPECIFIED
Uncontrolled Keywords: ipo underpricing; long-run underperformance; abnormal return; capital asset pricing model (capm)
Subjects: H Social Sciences > HD Industries. Land use. Labor > HD28 Management. Industrial Management
Divisions: University Subject > Current > Faculty/School - UPH Surabaya > Business School > Management
Current > Faculty/School - UPH Surabaya > Business School > Management
Depositing User: Rafael Rudy
Date Deposited: 26 Oct 2022 07:35
Last Modified: 26 Oct 2022 07:35
URI: http://repository.uph.edu/id/eprint/50880

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