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Apakah Kinerja Jangka Panjang Penawaran Umum Perdana di Indonesia underperformed?

Jurnal Akuntansi (SNA – 13)

Suherman
Dosen Fakultas Ekonomi Universitas Negeri Jakarta
Email: suherman@feunj.ac.id

Abstract

Previous research found that long-run share price performance of Indonesian initial public offerings (IPOs) underperformed. My research gives new evidence that the long run performance depends on the methods used. Insignificant underperformance is found for equally-weighted cumulative abnormal returns (EWCARs) and value-weighted cumulative abnormal returns (VWCARs).

Significant underperformance is found for equally-weighted buy-and-hold abnormal returns (EWBHARs). Significant outperformance is found for value-weighted buy-and-hold abnormal returns (VWBHARs). The underperformance disappears, however, when calendar-time approach is utilized. The intercepts in Fama-French three-factor regressions are insignificantly different from zero, suggesting no abnormal performance.

Keywords: Long-run performance, Initial Public Offerings, Fama-French Three Factor Model.

Previous research found that long-run share price performance of Indonesian initial public offerings (IPOs) under performed. My research gives new evidence that the long run performance depends on the methods used. Insignificant underperformance is found for equally-weighted cumulative abnormal returns (EWCARs) and value-weighted cumulative abnormal returns (VWCARs).

Significant underperformance is found for equally-weighted buy-and-hold abnormal returns (EWBHARs). Significant out performance is found for value-weighted buy-and-hold abnormal returns (VWBHARs). The underperformance disappears. However, when calendar-time approach is utilized. The intercepts in Fama-French three-factor regressions are insignificantly different from zero, suggesting no abnormal performance.

Keywords: Long-run performance, Initial Public Offerings, Fama-French Three Factor Model.

Controversies regarding long-term performance public offering (Initial Public Offerings – IPOs) continues. Many studies reveal the occurrence of underperformance after an IPO. This phenomenon occurs in many countries, both in the capital markets that have been developed and developing world, including in Indonesia.

Table 1 gives a good performance after IPOs underperformance and over performance in some countries. It is known that the underperformance was highest in Brazil by 47%, followed by Australia at 46.5%. Underperformance lowest occurred in Singapore at 2.7%. While on the JSE, all experienced underperformance and ranged from 9.8% to 47.2%. Out performance was highest in Malaysia for almost 42%. Interestingly, all studies in Malaysia indicate out performance. A capital market in Sweden had the lowest out performance of 1.2%.

Ritter (1991) suggested that long-term performance of IPOs, which under performed due to investors are very optimistic and this causes the stock price rises. In the long term, the share price will correct the mistake so the return will be lower.

However, the current literature reveals that the IPOs longlong- performance depends on the method of measurement used. Barber and Lyon (1997), Brav and Gompers (1997), Kothari and Warner (1997), Fama (1998), Lyon, Barber and Tsai (1999), Brav, Geczy, and Gompers (2000), Loughran and Ritter ( 2000), Eckbo, Masulis and Norli (2000), Mitchell and Stafford (2000), Gompers and Lerner (2003), Ahmad-Zaluki, Campbell, and Goodacre (2007) revealed that longlong- performance of IPOs depending on the method of measurement used and size of the abnormal return, and the reliability of statistical inference is different from one method with another method. They expressed that the decline in performance is not a definite effect occurs after the initial offer of shares, and most long-term return anomalies tend to be lost when the research techniques used to vary.

In Indonesia, all studies of longlong- performance of IPOs show that the longlong- performance of IPOs runs underperformance (including the Manurung and Soepriyono, 2006; Suroso, 2005; Martani, 2004; Hartanto and Ediningsih, 2004; and Pujiharjanto, 2003). All research on long-term performance of IPOs in Indonesia using only event-time approach, the cumulative abnormal returns (CARs) and buy-and-hold abnormal returns (BHARs). Returns that are used are equally-weighted. BHARs significance test is performed only by conventional t-statistics. Using only one benchmark, namely JCI (market benchmark).. …

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