ANALISIS FAKTOR–FAKTOR YANG MEMPENGARUHI ABNORMAL RETURN SAHAM PADA KINERJA JANGKA PANJANG PENAWARAN UMUM PERDANA (IPO) (Studi Kasus pada Perusahaan Non Finansial yang Go Public di Bursa Efek Indonesia Tahun 2006-2009)
Abstract: The average stocks
return of the initial public offering (IPO) in the U.S. stock market was
-29.13% at the end of the third year after the IPO (Ritter, 1991). Theconclusion
is that the Underperformed phenomenon is influenced by the volume of trade and
only occurs in the non-financial sector (Ritter, 1991). Underperformed is a
stock return of initial public offerings that have lower performance compared
to the marketm return. Bessler and Thies (2007) stated that the year of going
public is the time period of the initial public offering (IPO). There is a time
variation in the pattern of benefits, it raises a question of whether companies
can maximize the value and amount of funds acquired. In investing, investors consider
the return and risk, the expected results of theinvestment will be realized
after a certain period of time and during this period there is arisk of the
investments made. The aim of this study is to analyze the factors that affectAbnormal
Return on long-term stock performance after 36 months of the IPO. Theindependent
variables in this study consist of Benchmark, Money Raised, Market Value, and
Magnitude of Underpricing. The dependent variable is the abnormal return on
longtermstock performance after 36 months of the IPO. The samples used in this
study were the nonfinancial companies on 2006-2009 period as many as 54
non-financial companies using purposive sampling method. Theanalysis technique
used was multiple linear regression analysis and performed classicalassumption
test which include normality test, multicollinearity test, autocorrelation
test, and heteroskesdasticity test. The results showed that partially the
Benchmark affect significantly and negatively toward Abnormal Return; Money
Raised and Market Value does not affect significantly and positively towards
Abnormal Return; Magnitude of Underpricing affect significantly and positively
towards Abnormal Return. The ability of the four independent variables to explain
the variation on the dependent variables amounted to 45.8%, while the rest
equal to 54.2% explained by other factors that are not described in the model.
Penulis: Muhammad Talkhisul
Abid, Harjum Muharam
Kode Jurnal: jpmanajemendd131115
