Pengaruh Peringkat Utang dan Berbagai Faktor yang Turut Mempengaruhi Harga Obligasi Sebagai Variabel Kontrol Terhadap Yield Premium Obligasi
Lusi Kesumawati (Adv. Prof. Zaki Baridwan, MSc), Prof. Zaki Baridwan, MSc
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This research aims to evidence the effect of information of PEFINDO credit rating agency on bond yield premium. Other relevant factors determining bond pricing also controled as control variable to asses the 'net effect' of credit rating on bond yield premium.
There are II hipothesis sugest in this research. Hipothesis I and 2 asses the effect of bond issuer internal factor from financial statement analysis with Multiple Discriminant Analysis method and thus the effect on bond yield premium. Hipothesis 3 dan 4 asses the effect of credit rating information on bond yield premium. Hipothesis 5 to verify the existence of super premium -a jump of yield premium- on speculative grade bond rating. Hipothesis 6 until II asses the other variables as control variables which determining bond pricing such as: rate of SBI, par value of bond issue, total asset of the firm, other spesific factors on the indenture.
The research samples are all outstanding manufacture bond issues. Sample consist of 60 new issues of corporate bond which selected with criteria as follows: manufacture or industrial corporate bond issued between 1995-2002, still have active or outstanding bond in the market, listed on Jakarta Stock Exchange or Surabaya Stock Exchange, have financial report over last tree years (1999-200 I), these bond rated by PT Pefindo (Indonesian credit rating agency) at issue. Statistic methods used are multiple discriminant analysis and multiple regresion.
The result show that bond rating information had influence on bond yield premium significantly as show on rate of significance of RATING at 0,006 (a 5%). Financial report analysis as a proxi of default risk (DEF) from Multiple Discriminant Analysis also effected on bond yield premium altough this effect is not stronger than bond rating effect which just have rate of significance at 0,015 (a 5%). The examination of the existence of super premium had proved by SPSS graphic output as show on the nigh jump of yield premium on speculative grade bond, exactly between BBB and BB rating's grade. Meanwhile, the assesment of other control variables effect on bond yield premium in fact is not proven as show on rate of SBI, par value of bond issue, total asset of the firm, other spesific factors on the indenture are not influence on bond yield premium. Finaly this research conclude that bond rating information is a very significant influence factor determine on bond yield premium beside information of financial report it self.
Kata Kunci : yield premium, super premium, speculative grade bond, indenture, multiple discriminant analysis, credit rating agency
