Analisis Faktor Fundamental Terhadap Return Jangka Pendek dan Jangka Panjang Saham Initial Public Offering Di Pasar Sekunder Bursa Efek Indonesia

Abstract

One of financing resources for a company can be obtained through the capital market. In order to get it, a company should offer some of its shares to the public which is called as Initial Public Offerings (IPO). Some investors might wait for this opportunity to earn the optimal return from the capital gain. This research attempts to analyze and to prove some fundamental variables namely total asset, debt to equity ratio, the volume of shares offerings, the age of company and earning per share which can influence the short-term and long-term return of the IPO shares. Subsequently, this research also attempts to find out whether the short-term return will influence the long-term return. The data used in this research is supplied by Indonesia Stock Exchanges and there are 100 companies being analyzed from 1999 to 2006. The model used in this research is called the Structural Equation Model (SEM) and it is analyzed by using AMOS version 4.1. The result shows that the fundamental factors only give a small impact and insignificant to the short-term return of IPO. However, they give a huge impact to the long-term return. The intuition of this finding is that in the long run, under an efficient market, the market will correct the underpricing phenomenon to its real intrinsic value of shares