KINERJA JANGKA PANJANG DAN DETERMINAN IPO DI BURSA EFEK INDONESIA PADA ERA SUKU BUNGA RENDAH PASCAPANDEMI DENGAN METODE BUY-AND-HOLD ABNORMAL RETURN PADA PERIODE 2021-2022

Frans Nicolas Marbun; Meinanda Kurniawan

doi:10.15575/jb.v5i2.59098

Authors

Frans Nicolas Marbun Universitas Padjadjaran, Bandung, Indonesia
Meinanda Kurniawan Universitas Padjadjaran, Bandung, Indonesia

DOI:

https://doi.org/10.15575/jb.v5i2.59098

Abstract

Penelitian ini menguji keberadaan underperformance jangka panjang sekaligus mengidentifikasi determinannya, meliputi initial return, reputasi underwriter, umur perusahaan, offer size, dan hot market. Kinerja jangka panjang diukur dengan buy-and-hold abnormal return selama 36 bulan (BHAR36) terhadap IHSG. Keberadaan underperformance diuji melalui one-sample t-test, sedangkan pengaruh determinan diestimasi menggunakan regresi cross-section OLS dengan galat baku White dan diperiksa ketahanannya melalui quantile regression. Sampel merupakan sensus atas seluruh 113 perusahaan yang melaksanakan IPO pada periode tersebut. Hasil penelitian menunjukkan bahwa IPO periode 2021-2022 tidak mengalami underperformance jangka panjang yang signifikan. Initial return berpengaruh negatif signifikan dan konsisten dengan overreaction/fads theory, sementara umur perusahaan berpengaruh positif signifikan sejalan dengan divergence of opinion theory. Reputasi underwriter berpengaruh negatif signifikan berlawanan dengan prediksi, offer size tidak signifikan, dan hot market berpengaruh positif marginal yang juga berlawanan dengan prediksi. Hanya initial return yang bertahan dalam pengujian quantile regression, sehingga menjadi determinan paling robust. Temuan ini memperlihatkan bahwa determinan kinerja jangka panjang IPO di Indonesia bekerja secara kontekstual, sehingga penjelasannya menuntut kombinasi beberapa teori alih-alih satu teori dominan.

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