UJI EFEK PENGUMUMAN RIGHTS OFFERINGS/RIGHTS ISSUEPADA PASAR SAHAM INDONESIAPERIODE 2012-2016
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Keywords:
rights offerings, event study, abnormal return, cumulative abnormal return
Abstract
The purpose of this study is to examine how the market will react to rights offerings/rights issue announcement day (at extraordinary general meeting). This study used the company data listed on Indonesian Stock Exchange (BEI) from period 2012-2016 who has held rights offerings/rights issue. This study uses event study methodology to observe the abnormal return and cumulative abnormal return that occurred around the rights offerings/rights issue announcement day (at extraordinary general meeting). This study found that abnormal return would occur sorrounding the announcement date (t-1 for discounted rights offerings and t+3 for premium rights offerings). Both types of offerings show that investors will give a positive reaction about the rights offerings. This study also found that cumulative abnormal return would occur arround the announcement date (t-3 to t+3) and investors will be benefited if they buy that stock at three days before and sell it at three days after rights offerings announcement.
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References
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Ariff, M. dan Finn, F.J., 1989, “Announcement effects and market efficiency in a thin market: an empirical application to the Singapore equity market, Asia Pacific Journal of Management, 6(2), pp. 243-265
Balachandran, B., Faff, R., dan Theobald, M., 2008, “Rights offerings, takeup, renounceability, and underwriting status”, Journal of Financial Economics, 89, pp. 328-46
Berk, J., DeMarzo, P., Harford, J., 2012, Fundamentals of Corporate Finance, second ed. Prentice Hall, Boston, MA.
Bodie, Z., Detemple, J., Rindisbacher, M., 2009, “Life-Cycle Finance and the Design of Pension Plans”, Annual Review of Financial Economics, Vol. 1, pp. 249-86
Brealey, R., Myers, S., Allen, F., 2014, Principals of Corporate Finance, eleventh ed, McGraw-Hill, New York, NY
Burton, E. dan Shah, S., 2013, Behavioral Finance: Understanding the Social, Cognitive, and Economic Debates, John Wiley & Sons, New Jersey
Cooney, J., Kalay, A., 1993, “Positive information from equity issue announcements”, Journal of Financial Economics, 33 (2), pp. 149-72
D’Mello, R., Tawatnuntachai, O., dan Yaman, D., 2003, “Does the sequence of seasoned equity offerings matter?”, Journal of Financial Management, 32, pp. 59-86
Fama, E.F., (1970), “Efficient Capital Markets: A Review of Theory and Empirical Work”, The Journal of Finance, Vol 25, No. 2, pp. 363-417
Fama, E.F. dan K.R. French, 2006, “The Value Premium and the CAPM”, The Journal of Finance, Vol. 61, No. 5, pp. 2163-85
Holderness, C.G., dan Pontiff, J., 2016, “Shareholder nonparticipation in valuable rights offerings: New findings for an old puzzle”, Journal of Financial Economics, 120 (2016, pp.252-68
Iqbal, A., 2008, “The importance of the sequence in UK rights issues”, Journal of Business Finance Account, 35, pp. 150-76
Jensen, M.C., dan W.H. Meckling, 1976, “Theory of the Firm: Managerial Behavior, Agency Costs and Ownershup Structure”, Journal of Financial Economics, Vol. 3, No. 2, pp. 305-60
Jenter, D., K. Lewellen, dan J.B. Warner, 2011, “Security Issue Timing: What Do Managers Know, and When Do They Know It?”, The Journal of Finance, Vol. 66, No. 2, pp. 413-43
J
ung, K., Kim, Y.C., Stulz, R.M., 1996, “Timing, investment opportunities, managerial discretion, and the security issue decision”, Journal of Financial Economics, 42, pp. 159-86
Kang, J., dan Rene M. Stulz, 1996, “How Different is Japanese Corporate Finance? An Investigation of the Information Content of New Security Issues”, The Review of Financial Studies, Vol. 9 No. 1, pp. 109-39.
Kendirli, S., Elmali, M.E., 2016, “The Effect of Right Offering Announcements on Returns of Shares of Deposit Banks Traded in Istanbul Stock-Exchange”, Journal of Eeconomic Development, Environment, and People, 5 (1), pp. 74- 82
Kilic, A. dan Murat, K., 2008, “The Effect of VAT Rate Change in Leasing Sector on Stock Exchange”, MUFAD, Vol. 40, pp. 165-74
Kim, E.H., Lee, Y.K., 1990, “Issuing stocks in Korea”, Pacific-Basin Capital Markets Research. Elsevier, North Holland, Amsterdam
Lee, C., Poon, W., Sinnakkannu, J., 2013, “Why are right offers in Hong Kong so different?”. Pacific-Basin Finance Journal, 26 (2014), pp. 176-97
Lewellen, J., Kothari, S.P., Warner, J.B., 2005, “Stock Returns, Aggregate Earnings Surprises, and Behavioral Finance”, Working Paper, MIT, Massachusetts
Liu, J., Akbar, S., Shah, S.Z.A., Zhang, D., Pang, D., 2016, “Market Reaction to Seasoned Offerings in China”, Journal of Business Finance & Accounting, 43 (5) & (6), pp. 597-653
MacKinlay, C., 1997, “Event Studies in Economics and Finance”, Journal of Economic Literature, C. 35, pp. 13-39
Mitchell, M.L. dan Netter, J.M., 1994, “The Role of Financial Economics in Securities Fraud Cases: Applications at the Securities and Exchange Commission”, Journal of Business Lawyer, Vol. 49, No. 2, pp. 545-90
McConnell, J.J., dan Muscarella, C.J., 1985, “Corporate capital expenditure decision and the market value of the firm”, Journal of Financial Economics, 14 (3), pp. 399-422
McLaughlin, R., Safieddine, A., 2008, “Regulation and information asymmetry evidence fro the performance of industrial and utility firms issuing seasoned equity in the USA”, Journal of Financial Regulation and Compliance, 16 iss 1, pp. 59-76
Mitnick, B.M., 2006, “Origin of the Theory of Agency: An Account by One of the Theory’s Originators”, Published Paper, University of Pittsburgh, Pittsburgh
Mutan, O., dan Topcu, A., 2009, “The Response of the Turkish Stock Market to
Unexpected Events Between 1990 and 2009””, SPK Research Report, Turkey
Myers, S.C., dan Majluf, N.S., 1984, “Corporate financing and investment decisions when firms have information that investors do not have”, Journal of Financial Economics, 13, pp. 187-221
Pilotte, E., 1992, “Growth opportunities and the stock price response to new financing”, Journal of Business, Vol. 65, No. 3, pp. 371-94
Prakash, S., 2013, “Event Study Test of incorporating Earning Announcement on Share Price”, Journal of Economic and Finance, Vol. 2, pp. 9-18
Raja, M. dan J. Clement Sudhahar, 2010, “An Empirical Test of Indian Stock Market Efficiency in Respect of Bonus Announcement”, Asia Pacific Journal of Finance and Banking Research, Vol. 4, No. 4, pp. 1-14
Ross, S., Westerfield, R., dan Jafe, J., 2010, Corporate Finance, ninth edition McGraw- Hill/Irwin, New York, NY
Salamudin, N., Mohamed A., dan Annuar M.N., 1999, “Economic influence on rights issue announcement behavior in Malaysia”, Pacific-Basin Finance Journal, 7, pp. 405-27
Slovin, M., M. Sushka, dan K. Lai, 2000, “Alternative Flotation Methods: Adverse Selection, and Ownershup Structure: Evidence from Seasoned Equity Issuance in the UK”, Journal of Financial Economics, Vol. 57, No. 2, pp. 157-90
Smith, C.W., 1977, “Alternative methods for raising capital: Rights versus underwritten offerings”, Journal of Financial Economics, 5, pp. 273-307
Spence, M., (1973), "Job Market Signaling", Quarterly Jorunal of Economics, 87 (3), pp. 355–74.
Srinivasan, B.S. dan See, Y.K., 1990, “Rights issues and market efficiency in the Singapore Stock Exchange”, In: Saw, S.H., Lim, C.P. (Eds.), Investment Analysis and Management , Longman Publishers, Singapore
Tan, R., P. L. Chang, dan Y. H. Tong, (2002), “Private Placements and Rights Issues in Singapore”, Pacific-Basin Finance ournal, Vol.10, No. 1, pp. 29-54.
Tsangarakis, N. V., (1996), “Equity rights issues: Signalling vs Issue price irrelevance hypothesis”, European Journal of Financial Management, Vol. 2 No. 3, pp. 257-373.
Wruck, K.H., 1989, “Equity ownership concentration and firm value: evidence from private equity financing”, Journal of Financial Economics, Vol. 23, pp. 3-28
Wu, X., Wang, Z., dan Yao, J., 2005a, “Understanding the positive announcement effects of private equity placements: new insights from Hong Kong data”, Rev. Finance 9, pp. 385-414
Wu, X., Wang, Z., dan Yao, J., 2005b, “Seasoned equity issues and ownershup concentration in a closely held market: An alignment effect test free from the unobserved firm heterogeneity problem, Unpublished working paper, City University of Hong Kong, Hong Kong
Xinping, X., Faiq M., dan Muhammad U., 2010, “Announcement Effects of Seasoned Equity Offerings in China”, International Journal of Economics and Finance, Vol. 2 No. 3, pp. 163-69
Ariff, M. dan Finn, F.J., 1989, “Announcement effects and market efficiency in a thin market: an empirical application to the Singapore equity market, Asia Pacific Journal of Management, 6(2), pp. 243-265
Balachandran, B., Faff, R., dan Theobald, M., 2008, “Rights offerings, takeup, renounceability, and underwriting status”, Journal of Financial Economics, 89, pp. 328-46
Berk, J., DeMarzo, P., Harford, J., 2012, Fundamentals of Corporate Finance, second ed. Prentice Hall, Boston, MA.
Bodie, Z., Detemple, J., Rindisbacher, M., 2009, “Life-Cycle Finance and the Design of Pension Plans”, Annual Review of Financial Economics, Vol. 1, pp. 249-86
Brealey, R., Myers, S., Allen, F., 2014, Principals of Corporate Finance, eleventh ed, McGraw-Hill, New York, NY
Burton, E. dan Shah, S., 2013, Behavioral Finance: Understanding the Social, Cognitive, and Economic Debates, John Wiley & Sons, New Jersey
Cooney, J., Kalay, A., 1993, “Positive information from equity issue announcements”, Journal of Financial Economics, 33 (2), pp. 149-72
D’Mello, R., Tawatnuntachai, O., dan Yaman, D., 2003, “Does the sequence of seasoned equity offerings matter?”, Journal of Financial Management, 32, pp. 59-86
Fama, E.F., (1970), “Efficient Capital Markets: A Review of Theory and Empirical Work”, The Journal of Finance, Vol 25, No. 2, pp. 363-417
Fama, E.F. dan K.R. French, 2006, “The Value Premium and the CAPM”, The Journal of Finance, Vol. 61, No. 5, pp. 2163-85
Holderness, C.G., dan Pontiff, J., 2016, “Shareholder nonparticipation in valuable rights offerings: New findings for an old puzzle”, Journal of Financial Economics, 120 (2016, pp.252-68
Iqbal, A., 2008, “The importance of the sequence in UK rights issues”, Journal of Business Finance Account, 35, pp. 150-76
Jensen, M.C., dan W.H. Meckling, 1976, “Theory of the Firm: Managerial Behavior, Agency Costs and Ownershup Structure”, Journal of Financial Economics, Vol. 3, No. 2, pp. 305-60
Jenter, D., K. Lewellen, dan J.B. Warner, 2011, “Security Issue Timing: What Do Managers Know, and When Do They Know It?”, The Journal of Finance, Vol. 66, No. 2, pp. 413-43
J
ung, K., Kim, Y.C., Stulz, R.M., 1996, “Timing, investment opportunities, managerial discretion, and the security issue decision”, Journal of Financial Economics, 42, pp. 159-86
Kang, J., dan Rene M. Stulz, 1996, “How Different is Japanese Corporate Finance? An Investigation of the Information Content of New Security Issues”, The Review of Financial Studies, Vol. 9 No. 1, pp. 109-39.
Kendirli, S., Elmali, M.E., 2016, “The Effect of Right Offering Announcements on Returns of Shares of Deposit Banks Traded in Istanbul Stock-Exchange”, Journal of Eeconomic Development, Environment, and People, 5 (1), pp. 74- 82
Kilic, A. dan Murat, K., 2008, “The Effect of VAT Rate Change in Leasing Sector on Stock Exchange”, MUFAD, Vol. 40, pp. 165-74
Kim, E.H., Lee, Y.K., 1990, “Issuing stocks in Korea”, Pacific-Basin Capital Markets Research. Elsevier, North Holland, Amsterdam
Lee, C., Poon, W., Sinnakkannu, J., 2013, “Why are right offers in Hong Kong so different?”. Pacific-Basin Finance Journal, 26 (2014), pp. 176-97
Lewellen, J., Kothari, S.P., Warner, J.B., 2005, “Stock Returns, Aggregate Earnings Surprises, and Behavioral Finance”, Working Paper, MIT, Massachusetts
Liu, J., Akbar, S., Shah, S.Z.A., Zhang, D., Pang, D., 2016, “Market Reaction to Seasoned Offerings in China”, Journal of Business Finance & Accounting, 43 (5) & (6), pp. 597-653
MacKinlay, C., 1997, “Event Studies in Economics and Finance”, Journal of Economic Literature, C. 35, pp. 13-39
Mitchell, M.L. dan Netter, J.M., 1994, “The Role of Financial Economics in Securities Fraud Cases: Applications at the Securities and Exchange Commission”, Journal of Business Lawyer, Vol. 49, No. 2, pp. 545-90
McConnell, J.J., dan Muscarella, C.J., 1985, “Corporate capital expenditure decision and the market value of the firm”, Journal of Financial Economics, 14 (3), pp. 399-422
McLaughlin, R., Safieddine, A., 2008, “Regulation and information asymmetry evidence fro the performance of industrial and utility firms issuing seasoned equity in the USA”, Journal of Financial Regulation and Compliance, 16 iss 1, pp. 59-76
Mitnick, B.M., 2006, “Origin of the Theory of Agency: An Account by One of the Theory’s Originators”, Published Paper, University of Pittsburgh, Pittsburgh
Mutan, O., dan Topcu, A., 2009, “The Response of the Turkish Stock Market to
Unexpected Events Between 1990 and 2009””, SPK Research Report, Turkey
Myers, S.C., dan Majluf, N.S., 1984, “Corporate financing and investment decisions when firms have information that investors do not have”, Journal of Financial Economics, 13, pp. 187-221
Pilotte, E., 1992, “Growth opportunities and the stock price response to new financing”, Journal of Business, Vol. 65, No. 3, pp. 371-94
Prakash, S., 2013, “Event Study Test of incorporating Earning Announcement on Share Price”, Journal of Economic and Finance, Vol. 2, pp. 9-18
Raja, M. dan J. Clement Sudhahar, 2010, “An Empirical Test of Indian Stock Market Efficiency in Respect of Bonus Announcement”, Asia Pacific Journal of Finance and Banking Research, Vol. 4, No. 4, pp. 1-14
Ross, S., Westerfield, R., dan Jafe, J., 2010, Corporate Finance, ninth edition McGraw- Hill/Irwin, New York, NY
Salamudin, N., Mohamed A., dan Annuar M.N., 1999, “Economic influence on rights issue announcement behavior in Malaysia”, Pacific-Basin Finance Journal, 7, pp. 405-27
Slovin, M., M. Sushka, dan K. Lai, 2000, “Alternative Flotation Methods: Adverse Selection, and Ownershup Structure: Evidence from Seasoned Equity Issuance in the UK”, Journal of Financial Economics, Vol. 57, No. 2, pp. 157-90
Smith, C.W., 1977, “Alternative methods for raising capital: Rights versus underwritten offerings”, Journal of Financial Economics, 5, pp. 273-307
Spence, M., (1973), "Job Market Signaling", Quarterly Jorunal of Economics, 87 (3), pp. 355–74.
Srinivasan, B.S. dan See, Y.K., 1990, “Rights issues and market efficiency in the Singapore Stock Exchange”, In: Saw, S.H., Lim, C.P. (Eds.), Investment Analysis and Management , Longman Publishers, Singapore
Tan, R., P. L. Chang, dan Y. H. Tong, (2002), “Private Placements and Rights Issues in Singapore”, Pacific-Basin Finance ournal, Vol.10, No. 1, pp. 29-54.
Tsangarakis, N. V., (1996), “Equity rights issues: Signalling vs Issue price irrelevance hypothesis”, European Journal of Financial Management, Vol. 2 No. 3, pp. 257-373.
Wruck, K.H., 1989, “Equity ownership concentration and firm value: evidence from private equity financing”, Journal of Financial Economics, Vol. 23, pp. 3-28
Wu, X., Wang, Z., dan Yao, J., 2005a, “Understanding the positive announcement effects of private equity placements: new insights from Hong Kong data”, Rev. Finance 9, pp. 385-414
Wu, X., Wang, Z., dan Yao, J., 2005b, “Seasoned equity issues and ownershup concentration in a closely held market: An alignment effect test free from the unobserved firm heterogeneity problem, Unpublished working paper, City University of Hong Kong, Hong Kong
Xinping, X., Faiq M., dan Muhammad U., 2010, “Announcement Effects of Seasoned Equity Offerings in China”, International Journal of Economics and Finance, Vol. 2 No. 3, pp. 163-69
Published
2018-03-01
Section
Bidang Manajemen (M)
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