Kemampuan pasar modal dalam mengatasi kinerja operasional perusahaan di masa datang :: Dalam konteks Equity Right Issue

INDRIANI, Etty, Dr. Erni Ekawati, MSA.,MBA

2004 | Tesis | S2 Manajemen

Penelitian ini bertujuan untuk: (1)menyelidiki reaksi pasar modal terhadap pengumuman right issue; (2) memberikan bukti empiris keterkaitan reaksi pasar tersebut dengan kinerja operasional perusahaan di masa datang; dan (3)menguji variabel spesifik right issue yang dapat menjelaskan reaksi pasar modal pada saat pengumuman dan kinerja operasional perusahaan di masa datang. Data yang dipergunakan dalam penelitian ini adalah semua data perusahaan yang melakukan right issue di Bursa Efek Jakarta tahun 1997 dan sebelumnya dengan teknik purposive sampling. Metode yang digunakan dalam penelitian ini, pertama adalah menggunakan event study untuk meneliti kandungan informasi dari pengumuman right issue dengan menguji signifikansi abnormal return pada hari-hari di sekitar pengumuman. Kedua, meneliti arah perubahan kinerja operasional perusahaan pada periode setelah right issue dengan menggunakan tahun terjadinya event sebagai dasar tahun fiskal melalui wilcoxon signed rank statistic. Ketiga, menguji pengaruh variabel-variabel spesifik right issue antara lain adalah issue-size, issue-price dan market-to-book rasio terhadap kumulatif abnormal return pada saat pengumuman dan kinerja operasional perusahaan di masa datang dengan regresi cross-sectional. Hasil analisis membuktikan bahwa pasar modal di Indonesia memberikan reaksi negatif pada tiga dan empat hari sesudah pengumuman right issue. Selanjutnya perusahaan yang melakukan right issue mempunyai kinerja operasional lebih tinggi di atas rata-rata kinerja operasional perusahan yang tidak melakukan right issue pada industri yang sama pada tahun kedua dan ketiga setelah right issue. Perubahan kinerja operasional perusahaan di masa datang ke arah positif. Issue-price merupakan variabel spesifik right issue berpengaruh positif pada abnormal return. Issue-price berpengaruh negatif pada kinerja operasional perusahaan di masa datang. Dalam kasus right issue, pasar modal dapat mengantisipasi perubahan kinerja operasional perusahaan di masa datang melalui variabel spesifik issue-price dengan arah yang berlawanan.

The study addressed to: (1) investigated the market reaction toward right issue announcement;(2) gave an empirical evidence of association of stock market reaction with firm’s operational performance in the future; (3) examined specific variables of right issues that might explain the reaction of the stock market at the announcement and the operational performance of firms in the future. The data used in this studies was all data of firms that did right issue at Jakarta Stock Exchange in 1997 and the previous time. The methods used in this study are, the first was using event study to examine significance degree of abnormal return on days of announcement in order to investigate information content of the right issue. The second was investigating firm’s operating performance in the period after the right issue by using the event year as the fiscal year through wilcoxon signed-rank statistic. The third was examining influence of the specific variables of right issue as issue-size, issue -price and market-to-book ratio toward the cumulative abnormal return on the time of announcement and the future firm operational performance through cross-sectional regression. The analysis proved the Indonesian stock market gave negative reaction on the third and fourth day after the right issue announcement. So the stock market had late to caught the information. Further, the firms did the right issues gained higher operating performance level in the second and third year than average level in the terms of firm operating performance in the same industry that did not do the right issue. The changes of firm’s operating performance in the future tend to the positive change. The issue -price was the specific variable of the right issue that influenced positively on the abnormal return. Meanwhile, the issue-price negatively affected on the future firm’s operating performance. In the empirical evidence equity right issues, the stock market reaction might to anticipate the change of the future firm’s operating performance through the specific variable issue-price with opposite direction.

Kata Kunci : Pasar Modal,Right Issue,Kinerja Operasional, the ability of stocks market; firm’s operational performance; right issue