ANALISIS REAKSI PASAR TERHADAP PENGUMUMAN PENERBITAN OBLIGASI: Studi Kasus Perusahaan Di Bursa Efek Indonesia Periode Tahun 2000-2007

Sitorus, Irawati, Dr. Mamduh Hanafi, M.B.A

2009 | Skripsi | S1 Extention - Management

Penelitian ini bertujuan untuk menganalisis pengaruh pengumuman penerbitan obligasi terhadap Cumulative Abnormal Return dan bertujuan menguji pengaruh karakteristik obligasi pada variabel nominal value, rating dan kupon serta menguji pengaruh indikator keuangan pada variabel Return On Equity (ROE), Earning Per Share (EPS), Return On Asset (ROA), total aset, dan likuiditas terhadap Cumulative Abnormal Return disekitar tanggal pengumuman penerbitan obligasi. Sampel dari penelitian ini ditentukan dengan metode purposive sampling, yaitu perusahaan yang menerbitkan obligasi periode tahun 2000-2007. Penelitian ini menggunakan data return saham harian disekitar pengumuman penerbitan obligasi dari perusahaan yang dijadikan sampel selama periode estimasi, serta menggunakan ISHG harian sebagai proxy return pasar. Penghitungan abnormal return menggunakan market adjusted model dengan 21 hari periode peristiwa. Sehingga didapatkanlah variabel dependen CAR dengan menjumlahkan AR selama event period tersebut. Selanjutnya variabel CAR dan ketiga variabel independen dalam penelitian ini diregresikan dengan metode OLS. Hasil penelitian ini menunjukkan bahwa pengumuman penerbitan obligasi berpengaruh signifikan terhadap Cumulative Abnormal Return, untuk variabel kupon, Return On Equity, Earning Per Share, dan Return On Asset berpengaruh terhadap Cumulative Abnormal Return disekitar tanggal pengumuman penerbitan obligasi, sedangkan variabel nominal value, rating, total aset, dan likuiditas tidak signifikan dalam mempengaruhi Cumulative Abnormal Return disekitar tanggal pengumuman penerbitan obligasi. Kata kunci: Cumulative Abnormal Return, nominal value, rating, kupon, Return On Equity, Earning Per Share, Return On Asset, total aset, dan likuiditas, market adjusted model

This research is aimed to analyze the effects of bond publicity toward Cumulative Abnormal Return, to test the effects of bond characteristics toward nominal value variable, rating and coupon, and also to test the effects of financial indicators toward Return on Equity (ROE), Earning Per Share (EPS), Return on Asset (ROA), total asset, and liquidity toward Cumulative Abnormal Return around the announcement date of bond publicity. Samples were drawn with the purposive sampling method, ic. the company publishing bond during the period of 2000 to 2007. This research used the data of daily stock return around the announcement of bond publicity from the companies which were used as samples during the estimating period. Daily IHSG was also used as a market return proxy. The calculation of abnormal return used market adjusted model with 21 days of event period. As a result, CAR dependent variable was gained and all three independent variables in this research were regressed with the OLS method. The result of this research show that the announcement of bond publicity gives significant effect toward Cumulative Abnormal Return. Coupon variable, ROE, EPS, and ROA give effect toward CAR around the announcement date of bond publicity. However, nominal value variable, rating, total asset, and liquidity are not significant on affecting CAR around the announcement date bond publicity. Keyword : CAR, nominal value, rating, coupon, ROE, EPS, ROA, total asset and liquidity, market adjusted model

Kata Kunci : Cumulative Abnormal Return, nominal value, rating, kupon, Return On Equity, Earning Per Share, Return On Asset, total aset, dan likuiditas, market adjusted model