ANALISIS REAKSI INVESTOR TERHADAP RIGHT ISSUE SERTA KARAKTERISTIK PERUSAHAAN YANG MEMPENGARUHINYA (Studi Kasus di Bursa Efek Jakarta Periode Tahun 2002 - 2007)

Yulianti, Anastasia , Prof. Dr., Eduardus Tandelilin, M.B.A.

2008 | Tesis | S2 Magister Management

Right issue merupakan salah satu bentuk pencarian dana yang dilakukan emiten kepada pemegang saham lamanya. Beberapa hipotesis terkait dengan right issue antara lain menyatakan bahwa pada pasar modal yang berkembang dan memiliki konsentrasi kepemilikan yang besar (emerging capital market), harga saham bereaksi positif terhadap pengumuman right issue. Faktor-faktor yang menyebabkan reaksi positif tersebut antara lain karena pengumuman right issue dianggap sebagai informasi yang menyenangkan bagi investor (good news), sinyal cash flow positif perusahaan di masa mendatang, adanya kenaikan indeks pasar modal (market condition effect), dan nilai pasar hutang perusahaan (financial leverage effect). Penelitian ini bertujuan untuk menguji dan menganalisis reaksi investor terhadap pengumuman right issue serta karakteristik perusahaan yang mempengaruhi reaksi investor tersebut. Karakteristik perusahaan yang digunakan adalah invest, firm size, offer price, leverage, market to book value, dan indeks pasar. Penelitian ini menggunakan data perusahaan yang melakukan right issue selama periode 2002-2007. Sampel dipilih secara purposive dan terpilih sebanyak 35 perusahaan yang memenuhi syarat sebagai sampel dalam penelitian ini. Metode penelitian dilakukan mengunakan market adjusted model dan regresi berganda. Hasil yang diperoleh dari penelitian ini adalah: pengumuman right issue ternyata ditanggapi positif oleh pasar, adanya reaksi pasar yang berbeda signifikan sebelum pengumuman dan setelah pengumuman right issue, reaksi pasar di sekitar hari-hari pengumuman right issue tersebut dipengaruhi positif dan signifikan oleh besarnya penambahan modal, dan harga penawaran saham baru. Kata kunci: right issue, abnormal return, karakteristik perusahaan

Right issue is one way that can be exercised by a cash-strapped company to raise money from the existing shareholders. There are several hypotheses associated with right issue; for example, in the emerging capital market, the stock price will response positively to a right issue announcement. There are several factors that contribute to the positive reaction to a right issue announcement, such as the perception that the right issue announcement delivers good news for the investors. The right issue announcement is perceived as a signal of positive cash flow in the near future (signalling effect), an imminent increase in the stock market index (market condition effect), and an increase in the financial leverage of the firm (financial leverage effect). The purpose of this study is to test and analyse the investor's responses on the announcement of right issue and to analyse the characteristics of the firm that influence the investor's reactions. The following characteristics were analysed: assets, firm size, offer price, leverage, market-to-book value, and market index. This study utilized data on companies that have exercised right issues during the 2002-2007 period. The data were sampled purposively and 35 companies that met the criteria were selected for this study. Tte data was analysed with market adjusted model and multiple regression. This study shows that right issues received positive responses from the stock market. The market reactions were significantly different before and after the right issue announcement. The market reactions (positive and significant) to the right issue announcement were influenced by the potential amount of money raised from the right issue (invest) and the price of the new shares (offer price). Keywords: right issue, abnormal return, firm characteristics

Kata Kunci : right issue, abnormal return, karakteristik perusahaan