PENGUJIAN DISTRESS FACTOR HYPOTHESIS DAN MARKET UNDERREACTION HYPOTHESIS DI BURSA EFEK INDONESIA PERIODE 2010-2012

NOFIAN JUNAEDI, Prof. Dr. Indra Wijaya Kusuma, MBA., CMA.

2014 | Tesis | S2 Manajemen

Penelitian ini bertujuan untuk menguji dua teori yang berlawanan (competing theory) terkait hubungan antara risiko kesulitan keuangan (financial distress risk) dan tiga anomali pasar, yaitu size effect, value effect, dan momentum effect. Di satu sisi, distress factor hypothesis memandang risiko kesulitan keuangan sebagai risiko sistematis dan menyimpulkan bahwa size dan B/M merupakan proksi bagi risiko kesulitan keuangan (Chan dan Chen, 1991; Fama dan French, 1992). Di sisi lain, market underreaction hypothesis memandang risiko kesulitan keuangan sebagai risiko tidak sistematis (Dichev, 1998). Penelitian ini juga bertujuan untuk menguji apakah risiko kesulitan keuangan mendorong terjadinya anomali momentum seperti yang dikemukakan oleh Agarwal dan Taffler (2008). Penelitian dilakukan pada perusahaan manufaktur yang terdaftar di Bursa Efek Indonesia periode 2010 sampai 2012. Z-score digunakan sebagai proksi bagi risiko kesulitan keuangan. Analisis dilakukan melalui dua tahapan yaitu pertama, analisis univariat menggunakan paired-sample t-test dan regresi time-series berdasarkan Model Tiga Faktor Fama dan French. Tahap kedua adalah analisis multivariat menggunakan metode regresi cross-section Fama dan MacBeth (1973). Hasil pengujian membuktikan bahwa excess return distress stock lebih rendah daripada non-distress stock sehingga menghasilkan distress anomaly. Ditemukan juga bukti bahwa size dan B/M bukan merupakan proksi bagi risiko kesulitan keuangan. Size effect ditemukan muncul pada distress stock meskipun analisis sudah dilakukan pada basis penyesuaian risiko. Tidak ditemukan bukti bahwa risiko kesulitan keuangan mendorong terjadinya anomali momentum. Secara keseluruhan, hasil penelitian ini tidak konsisten dengan distress factor hypothesis, tetapi konsisten dengan market underreaction hypothesis.

This study aims to examine two competing theories regarding the relationship between financial distress risk and three market anomalies, ie size effect, value effect, and momentum effect. On the one hand, distress factor hypothesis looked at financial distress risk as a systematic risk and concluded that the size and B/M is proxying financial distress (Chan and Chen, 1991; Fama and French, 1992). On the other hand, the market underreaction hypothesis looked at financial distress risk as unsystematic risk (Dichev, 1998). This study also aims to examine whether the financial distress risk drive the momentum anomaly as proposed by Agarwal and Taffler (2008). The study was conducted at the companies listed in Indonesia Stock Exchange from 2010 to 2012. Z-score is used as a proxy for financial distress risk. The analysis was performed in two stages: first, univariate analysis using pairedsample t-test and time-series regression based on Fama and French Three Factor Model. The second stage is multivariate analysis using cross-sectional regression method of Fama and MacBeth (1973). The test results prove that the excess return of distress stock is lower than non-distress stock resulting distress anomaly. There were evidence that the size and B/M is not proxying financial distress. Size effect was found appearing in distress stock although the analysis has been done on the risk adjusted basis. There was no evidence that financial distress risk drive the momentum anomaly. Overall, the results are not consistent with the distress factor hypothesis, but consistent with a market underreaction hypothesis.

Kata Kunci : kesulitan keuangan, size effect, value effect, momentum effect