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). The
conclusion 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 market
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 the
investment will be realized after a certain period of time and during this period there is a
risk of the investments made. The aim of this study is to analyze the factors that affect
Abnormal Return on long-term stock performance after 36 months of the IPO. The
independent variables in this study consist of Benchmark, Money Raised, Market Value,
and Magnitude of Underpricing. The dependent variable is the abnormal return on longterm
stock 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. The
analysis technique used was multiple linear regression analysis and performed classical
assumption 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.