Analisis valuasi nilai saham dengan metode free cash flow to equity dan relative valuation :: Studi kasus PT Bank Bukopin Tbk

WAHYUDIANSYAH, Anis Baridwan, Drs., MBA

2008 | Tesis | S2 Magister Manajemen

Penelitian ini bertujuan untuk mengetahui nilai wajar saharn Bukopin posisi tanggal 3 I Oesember 2007 berdasarkan Free Cash Flow to Equity (FCFE) dan Relative Valuation serta untuk mengetahui apakah terjadi kondisi undervalued atau overvalued. Pendekatan top-down analysis digunakan untuk mengetahui kondisi makro ekonomi, lingkungan industri dan perusahaan. Selanj utnya nilai wajar saham diestimasi dengan menggunakan Two-stage FCFE, Price to Earning Ratio (PER) dan Price to Book Value (P B V). Pada pendekatan Two-stage FCFE, proyeksi keuangan 5 (lima) tahun kedepan dibuat berdasarkan kondisi keuangan Bukopin tahun 2003 - 2007. Biaya ekuitas diestimasi melalui Capital Asset Pricing Model (CAPM) dimana Risk Free Rate dihitung menggunakan rata-rata tingkat bunga SBl l (satu) bulan dan nilai f3 saharn Bukopin diperoleh dengan melakukan regresi atas return saham Bukopin dengan return pasar (IHSG). Premi risiko diperoleh dari selisih antara return pasar dengan Risk Free Rate. Pada pendekatan Relative Valuation, PER dan PBV industri perbankan yang sahamnya diperdagangkan di bursa per Januari 2008 digunakan sebagai pembanding. Hasil penelitian menunjukkan nilai wajar saham Bukopin dengan pendekatan Twostage FCFE, PER dan PBV berturut-turut adalah Rp. 1.098,61 , Rp. 1.222,00 dan Rp. 778,00,- Apabila dibandingkan dengan harga saham Bukopin di pasar pada tanggal 28 Oesember 2007 yang mencapai Rp. 560, maka estimasi nilai wajar saharn Bukopin lebih tinggi daripada harga saham di pasar. Oengan demikian saham Bukopin dalam keadaan undervalued atau dengan kata lain saham Bukopin diperdagangkan pada harga dibawah nilai wajamya.

This research aimed to estimate the intrinsic va lue of Bukopin as of December 31, 2007 th rough Free Cash Flow to Equity (FCFE) and Relative Valuation Approaches and to examine whether it was under alued or overvalued. Firstly, Top-Down analysis was used to find out the condition of macro economic, industry sector and the company it se lf. Then, Two-Stage FCFE, Price to Earning Ratio (PER) and Price to Book Value (PBV) approaches were implemented to estimate the intrinsic value ofBukopin. Through Two-Stage FCFE Approach, a 5 (five) year financial forecasting would be made based on Bukopin's 2003 - 2007 financial statements. Cost of equity was estimated us ing Capital Asset Pricing Model (CAPM), while Ri sk Free Rate was calculated by averaging I (one) month SBI rate and the p value was estimated by making regression of Bukopin stock return and market return (IH G). Risk premium was calculated by averaging the subtraction of Risk Free Rate from market return. Under Relative Valuation approach, PER and PBV of banking industries sector that listed on stock exchange as of January 2008 were used as a benchmark. The result from the research showed the intrinsic value of Bukopin through Two- Stage FCFE, PER and PBV approaches are Rp. 1.098,61 , Rp. 1.222,00 dan Rp. 778,00.- consecutively. These prices are higher than Bukopin stock price of Rp. 560,00 at the market as of December 27, 2007. So, Bukopin stock price is undervalued. It means that Bukopin stock traded at the price of below than its intrinsic value.

Kata Kunci : Free cash flow to equity (FCFE),Two,stage FCFE,Relative valuation,Price earning ratio (PER)