Abnormal return pada pengumuman right issue disertai waran dan right issue tanpa disertai waran :: Studi kasus di Bursa Efek Indonesia

SULISTIYONO, Suad Husnan, Dr., MBA

2009 | Tesis | S2 Magister Manajemen

Penelitian ini dimaksudkan untuk mengetahui reaksi harga saham pada pengumuman rights issue disertai waran dan tanpa disertai waran. Penelitian juga untuk mengetahui apakah terdapat perbedaan respon (diukur dengan abnormal return) atas dua tipe rights issue tersebut. Penelitian juga melakukan analisis faktor-faktor spesifik perusahaan yang mempengaruhi cumulative abnormal return. Faktor-faktor spesifik perusahaan tersebut terdiri dari issue size, warrant, firm size, variance of daily stock return, debt-to-assets ratio, and cumulative market index return. Data yang digunakan antara lain harga saham harian, IHSG, dan data keuangan emiten yang listing di Bursa Efek Indonesia dan mengumumkan pendanaan melalui rights issue selama periode 2005 sampai dengan 2007. Berdasarkan hasil event studies, ditemukan bukti bahwa pengumuman rights issue plus waran direspon positif dan signifikan pada hari t+2 dan t+5 selama event period, tetapi tidak pada pengumuman rights issue tanpa disertai waran. Berdasarkan uji independent sample t-test, rata-rata abnormal return pada t+2 rights issue plus waran secara statistik lebih besar dibanding rata-rata abnormal return pendanaan rights issue tanpa waran. Temuan ini mendukung pemikiran bahwa rights issue plus waran (dapat disebut sebagai two stage financing) memberikan sinyal positif tentang keyakinan emiten atas kinerja perusahaan dimasa yang akan datang. Berdasarkan hasil multiple regression, faktor-faktor spesifik perusahaan memiliki pengaruh terhadap cumulative abnormal return baik secara individual maupun simultan. Variabel-variabel bebas mampu menjelaskan 24,2% variasi cumulative abnormal return. Warrant memiliki pengaruh positif dan signifikan pada cumulative abnormal return, demikian juga variabel issue size, firm size, and cumulative market index return namun secara statistik tidak signifikan. Variance of daily stock return berpengaruh negatif dan signifikan pada cumulative abnormal return, sementara variabel debt-to-assets berpengaruh negatif namun tidak signifikan.

This research is intended to investigate common stocks price reaction and whether or not its difference responds on announcements of two types of rights offering. Further, this research also attempts to analyze the firm’s specific factors that presumed influence the cumulative abnormal return. Firm’s specific factors consist of issue size, warrant, firm size, variance of daily stock return, debt-to-assets ratio, and cumulative market index return. This research employs various data related to 34 announcements events of rights issue at Indonesian Stock Exchange during period 2005 to 2007. Data are derived from daily stock price, daily composite index, and financial statements of issuers. Using event studies, the research finds evidence that announcements of rights offering plus warrants is responded positively and statistically significant for day t+2 and t+5 in its event period, but not for rights offering without warrants. Using independent sample t-test, this research reveals that mean of abnormal return at day t+2 for rights offering plus warrants is greater than abnormal return for rights issues without warrants. These research findings confirm to the information effect hypothesis stated that rights issue plus warrants convey positive signal of issuers’ future performance. Using multiple regression analysis, the research findings reveal that firm’s specific factors have impact on cumulative abnormal returns simultaneously and partially. Simultaneously, independent variables are able to explain 24,2% the variation of cumulative abnormal return. Warrant has positive and significant influence on cumulative abnormal return, while issue size, firm size, and cumulative market index return statistically insignificant. Variance of daily stock return has negative and significant influence on cumulative abnormal return, while debt-toassets statistically insignificant.

Kata Kunci : rights issue, abnormal return, issue size, warrant, firm size, variance of daily stock return, debt-to-assets ratio, cumulative market index return