Pengaruh Karakteristik Perusahaan Terhadap Abnormal Returns Saham Perdana di Bursa Efek Jakarta

Cristophorus Heni Kurniawan (Adv: Dr. Supriyadi, M.Sc), Dr. Supriyadi, M.Sc

2001 | Tesis | S2 Accounting

Penelitian ini menguji pengaruh karakteristik perusahaan terhadap abnormal returns saham perdana di Bursa Efek Jakarta. Tujuan penelitian adalah untuk mengetahui apakah terdapat abnormal returns segera sesudah saham perdana diperdagangkan di pasar sekunder, dan apakah karakteristik perusahaan dapat digunakan investor untuk memperoleh abnormal returns tersebut.

Temuan penelitian ini diharapkan memberikan manfaat bagi para investor atau calon investor, terutama tentang informasi karakteristik perusahaan yang dapat digunakan sebagai bahan pertimbangan keputusan investasi saham perdana. Selain itu, penelitian ini juga diharapkan dapat memberikan tambahan informasi tentang bukti-bukti adakah anomali pasar pada saat penawaran saham perdana (Initial Public Offering/IPO).

Dihipotesiskan bahwa karakteristik perusahaan yang diukur dengan proyeksi Price to Earning Ratio (PER), market capitalization (Firm Size), dan Market to Book Value (MB V) mempunyai pengaruh terhadap abnormal returns saham perdana. Abnormal returns saham perdana diukur menggunakan model Aggarwal et al. (1993), sedangkan data karakteristik perusahaan diperoleh dari prospektus maupun BAPEPAM. Sampel penelitian terdiri dan 45 perusahaan yang melakukan penawaran perdana di BEJ periode 22 Mei 1995 - Juli 1997. Analisa regresi berganda digunakan untuk menguji hipotesis penelitian ini.

Penelitian ini menemukan bukti bahwa karakteristik perusahaan secara positif dan signifikan berpengaruh terhadap abnormal returns saham perdana. Temuan ini sebagian mendukung namun sebagian juga bertentangan dengan hasil penelitian terdahulu.

This study examine the effects of public companies' characteristics on the abnormal return of IPO's stock at the Jakarta Stock Exchange. The aim of the study is to investigate whether the abnormal return occursed immediately on the initial trading day and whether the characteristics of public companies could be used by investors to gain an abnormal return.

The findings are expected to be of value to both investors and potential investors, especially the types of characteristics of public companies information that could be used to make an IPO's investment decision. In addition, this study is expected to be of value to contribute to the evidences of market anomaly at the IPO.

It is hypothesized that the abnormal return of IPO's stock is effected by public companies' characteristics in terms of price to earning ratio (PER), market capitalization (firm size), and market to book value (MBV). The model of Aggarwal et al. (1993) was used to define abnormal return, and public companies' characteristics data were gathered from prospectus and BAPEPAM. A sample of abnormal return of IPO's stock for 45 firms at the BEJ on May 22th, 1995 - July 1997 was obtained and examined for the purpose of the study. Multiple regression analysis was employed to test the research hypothesis.

The finding of this research shows that the characteristics of the public companies have a significant positive impact on the abnormal return of IPO's stock. While this result supports some previous research results, it also contradicts the other.

Kata Kunci : Price to Earning Ratio, Market Capitalization, Market to Book Value, Abnormal Returns, Initial Public Offering, dan Anomali Pasar