Faktor-faktor yang mempengaruhi underpricing pada penawaran saham perdana BUMN dan non BUMN di Pasar Modal Indonesia

ARIADI, Dwi, Prof. Dr. Eduardus Tandelilin, MBA

2009 | Tesis | S2 Magister Ekonomika Pembangunan

Hampir sebagian besar penelitian terhadap penawaran saham perdana menemukan bukti empiris terjadinya underpricing. Penelitian ini dikembangkan dengan tujuan untuk meneliti perbedaan tingkat underpricing yang terjadi pada penawaran saham BUMN dan non BUMN. Penelitian ini juga menguji pengaruh faktor fundamental perusahaan-perusahaan tersebut terhadap underpricing. Dengan menggunakan sampel sebanyak 35 perusahaan yang terdiri dari 6 perusahaan BUMN dan 29 perusahaan non BUMN, underpricing di ukur dengan abnormal return satu hari setelah penawaran perdana. Model regresi berganda dikembangkan untuk menguji pengaruh faktor fundamental yaitu earning per share, price earning ratio, debt equity ratio, persentase jumlah saham yang ditawarkan kepada publik dan umur perusahaan terhadap underpricing. Selama periode penelitian hasil yang ditunjukkan mengindikasikan bahwa tingkat underpricing IPO perusahaan BUMN ternyata lebih rendah daripada perusahaan non BUMN. Adapun faktor fundamental perusahaan yang memiliki pengaruh signifikan terhadap underpricing adalah earning per share dan persentase jumlah saham yang ditawarkan kepada publik.

Almost the majority of the studies of the first IPOs of state owned and non state owned firms find underpricing empirical evidence. The study aims at examining the difference in the underpricing level of the IPOs of the state owned and non state owned firms. It also examines the impact of the fundamental factors of the firms on the underpricing. There are 35 firms consisting of 6 state owned firms and 29 non state owned firms drawn as the samples and the underpricing is measured using abnormal return a day after the IPOs. A multiple regression is developed to examine the impact of the fundamental factors, which are earning per share, price-earning ratio, debt equity ratio, the percentage of the number of the shares offered publicly and the age of the firms, on the under underpricing. During the period of the study the results of the examination indicate that the underpricing level of the IPOs of the state owned firms is lower than that of the non state owned firms. Additionally, the fundamental factors of the firms that have a significant impact on the underpricing are the earning per share and the percentage of the number of the share offered publicly.

Kata Kunci : Underpricing,IPO BUMNdan non BUMN,Faktor fundamental, underpricing, state owned IPOs and non state owned IPOs, and fundamental factors.