ANALISIS PENGARUH VARIABEL KEUANGAN, NON KEUANGAN DAN EKONOMI MAKRO TERHADAP UNDERPRICING PENAWARAN SAHAM PERDANA DI BURSA EFEK INDONESIA PERIODE 2005-2010

Lili Indarli, Dr. Ertambang Nahartyo, M.Sc.,

2012 | Tesis | S2 Ilmu Akuntansi/Akuntansi Terapan

Dalam Initial Public Offering (IPO) sering terjadi underpricing, yang ditunjukkan dengan tingginya harga saham perdana saat pertama kali diperdagangkan di bursa dibandingkan dengan harga penawarannya. Terdapat banyak faktor yang dapat mempengaruhi underpricing, diantaranya adalah asimetri informasi di antara para pelaku pasar dan kondisi ekonomi makro. Dalam penelitian ini, investor diasumsikan sebagai investor yang rasional. Investor rasional mengambil keputusan berdasarkan teori keputusan, yaitu mempertimbangkan risiko disamping return berdasarkan informasi yang tersedia. Penelitian ini bertujuan untuk menganalisis faktor-faktor yang mempengaruhi underpricing saham perdana di Bursa Efek Indonesia periode 2005-2010. Faktor-faktor tersebut adalah CR, DER, TATO, ROA, umur perusahaan, ukuran perusahaan, inflasi, dan tingkat suku bunga. Analisis dalam penelitian ini dilakukan dengan menggunakan regresi berganda model semi-log, dengan jumlah sampel sebanyak 56 perusahaan. Pemilihan sampel dilakukan dengan metode purposive sampling. Hasil analisis regresi secara parsial menunjukkan bahwa hanya variabel ROA yang terbukti berpengaruh terhadap underpricing. Untuk variabel CR, DER, TATO, ukuran perusahaan, umur perusahaan, inflasi, dan tingkat suku bunga BI tidak ditemukan bukti adanya pengaruh. Untuk hasil analisis secara simultan, tidak dapat ditemukan bukti adanya pengaruh variabel CR, DER, TATO, ROA, umur perusahaan, ukuran perusahaan, inflasi, dan tingkat suku bunga terhadap underpricing. Dalam model penelitian ini, variabel CR, DER, TATO, ROA, umur perusahaan, ukuran perusahaan, inflasi, dan tingkat suku bunga, hanya bisa menjelaskan variasi underpricing saham perdana sebesar 8%, sedangkan 92% variasi dipengaruhi variabel lain di luar model.

In Initial Public Offering (IPO) there are many occasions when underpricing occurred, this is indicated by the price of the stock when it is traded in the beginning which is much higher than the price of the offering. There are many factors that can influence the underpricing, such as asymmetric information between market participants and the macroeconomic condition. In this research, investor is assumed as a rational investor. Rational investor takes the decision based on the decision theory, which considers the risk besides the return based on the available information. This research is aimed to analyze factors that affect the underpricing of the initial public offering at Indonesia Stock Exchange in 2005-2010. Those factors are CR, DER, TATO, ROA, company age, company size, inflation, and BI interest rate. Analysis inside this research was done with double regression of semi-log model, with the sample quantity of 56 companies. The samples were chosen with purpose sampling method. From the partial regression analysis’ result it was shown that only ROA variable that has affected the underpricing. For other variables of CR, DER, TATO, company age, company size, inflation, and BI interest rate, the effect could not be found and proved. For the simultaneously analysis’ result, the prove could not be found that there are any influence from CR, DER, TATO, ROA, company age, company size, inflation, and interest rate variables in underpricing. In this paper, these variables can only explain 8% of the variation underpricing of the initial stock, while the other 92% variation was influenced by other variables outside the model.

Kata Kunci : underpricing, IPO, asimetri informasi, rasional, ekonomi makro, CR, DER, TATO, ROA, ukuran perusahaan, umur perusahaan, inflasi, tingkat suku bunga BI.