Perbandingan underpricing penerbitan saham perdana perusahaan keuangan dan non keuangan di pasar modal Indonesia :: Pengujian hipotesis asimetri informasi

YUSRI, Ahmad, Kusdhianto Setiawan, SE., Siv.Ok

2009 | Tesis | S2 Magister Manajemen

hipotesis asimetri informasi. Teori ini menjelaskan bahwa semakin besar asimetri informasi akan menyebabkan semakin besarnya underpricing. Perusahaan keuangan mendapatkan pengawasan dan supervisi yang lebih ketat daripada perusahaan non keuangan. Dengan demikian di harapkan tingkat ex-ante uncertainty dan tingkat underpricing perusahaan keuangan lebih rendah dari pada perusahaan non keuangan. Sampel yang digunakan dalam penelitian berjumlah 108 perusahaan yang melakukan penawaran perdana selama periode amatan. Sampel terdiri dari due kelompok keuangan (27 perusahaan) dan non keuangan (81 perusahaan). Pengujian awal mengenai initial return dan abnormal retun terhadap nilai 0 dilakukan terlebih dahulu untuk kemudian membedakan tingkat ex-ante uncertainty dan tingkat underpricing, independent t test digunakan untuk menguji tingkat ex-ante dan tingkat underpricing, dan analisis regresi berganda untuk mengetahui variabel-variabel yang mempengaruhi perbedaan tingkat underpricing antara perusahaan keuangan dan non keuangan. Hasil dari analisis menggunakan independent sample t-test memberikan hasil adanya perbedaan tingkat ex-ante uncertainty dan tingkat underpricing antara perusahaan keuangan dan non keuangan. Berdasarkan hasil analisis regersi berganda adalah variabel umur perusahaan, reputasi underwriter, ukuran perusahaan, jumlah prosentase saham yang ditawarkan dan rasio return on asset tidak memberikan pengaruh terhadap perbedaan tingkat underpricing antara perusahaan keuangan dan non keuangan.

Underpricing in Initial public offerings can be explained by asymmetric information hypothesis. This theory explains that the higher the asymmetric information the bigger the underpricing will be. Financial firms usually are monitored and supervised more closely than the non-financial firms. Therefore it is expected that the ex-ante uncertainty and the underpricing of financial firms are lower than non-financial firms. The samples are from 108 companies that do initial public offering in observation period. It consists of two groups: financial (27 companies) and non financial firms (81 companies). Pre test of initial return and abnormal return that different with 0 to be conducted with distinguish the ex-ante uncertainty and the underpricing, independent t test is used to examine distinction of the ex-ante and the underpricing, and multiple regression analysis to find out the variables that influence the distinction underpricing between financial and non-financial firms. Using independent sample t test, this research find distinction of ex-ante uncertainty and underpricing between financial firms and non-financial firms. Base on multiple regression analysis, age of company, underwriter reputation, size of company, percentage of stocks, and return of asset ratio have no impact to distinction of underpricing between financial and non financial firms.

Kata Kunci : Asimetri informasi,Ex,ante uncertainty,Underpricing,Umur perusahaan,Reputasi underwriter,Ukuran perusahaan,Prosentase saham,Rasio return on asset, asymmetric information, ex-ante uncertainty, underpricing, age of firm, underwriter reputation, size of comp