PRICE REACTION TO RIGHTS ISSUES ANNOUNCEMENT: NEW EVIDENCE FROM INDONESIA

Henry Suthiono, Lukas Setia Atmaja

Abstract


Research on rights issues has been carried out in Indonesia with mixed results and in a short period, between 3-8 years. The results of research on rights issues in Indonesia are mostly insignificant. The number of sleep stocks can cause that. Therefore, a longer period of research is needed to examine the reaction of stock prices to the announcement of rights issues. This study uses data that has been available from 1991 to 2016 and uses an event study methodology that considers thin trading. This study found significant negative abnormal returns between -1.66% and -2.80% at different periods. Therefore, this study does not support that the Indonesia Stock Exchange is in a semi-strong efficiency. The characteristic of companies in Indonesia is the family company, but this is not considered in this study, which can be considered for further research.


Keywords


rights issues; market efficiency; signaling theory; price reaction; Indonesia Stock Exchange

Full Text:

PDF

References


Adaoglu, C. 2006. Market Reaction to Unsweetened and Sweetened Rights Offering in an Emerging Stock Market. Journal of Multinational Financial Management 16 (3) : 249-268.

Amalia, H.S. 2012. Analisis Pengaruh Pengumuman Rights Issue terhadap Reaksi Pasar - Suatu Event Study di BEI pada Periode 2009-2011. Jurnal Ilmiah Bisnis dan Keuangan 2 (2) : 149-162.

Ariani, A. D., Topowijono, and Sulasmiyati, S. 2016. Analisis Perbedaan Abnormal Return dan Likuiditas Saham Sebelum dan Sesudah Right Issue (Studi pada Perusahaan-perusahaan yang terdaftar di Bursa Efek Indonesia Tahun 20122015). Jurnal Administrasi Bisnis 33 (2): 49-58.

Berglund, T., Liljeblom, E., and Wahlroos, B. 1987. Stock Price Reactions to Announcements of Stock Dividends and Rights Issues: a Test of Liquidity and Signaling Hypotheses on the Helsinki Stock Exchange. Finance 8(2) : 109-132.

Bhana, N. 1999. Share Price Reactions to Announcements of Equity Financing by Companies Listed on the Johannesburg Stock Exchange. Investment Analysts Journal 48 : 33-42

Bigelli, M. 1998. The Quasi-Split Effect, Active Insiders and the Italian Market Reaction to Equity Rights Issues. European Financial Management 4(2): 185-206.

Bobenhausen, N., Breuer, W., and Salzmann, A. 2019. Determinants of Discounts in Equity Rights Issues: An International Comparison. Review of Financial Economics 37 (4).

Bohren, O., Eckbo, B. E., and Michalsen, D. 1997. Why Underwrite Rights Offerings? Some new evidence. Journal of Financial Economics 46(2) : 223-261.

Brown, S. J., and Warner, J. B. 1980. Measuring Security Price Performance. Journal of Financial Economics 8 (3) : 205-258.

Budiarto, A. and Baridwan, Z. 1999. Pengaruh Pengumuman Right Issue terhadap Tingkat Keuntungan dan Likuiditas Saham di Bursa Efek Jakarta periode 1994 – 1996. Jurnal Riset Akuntansi Indonesia 2 (1).

Campbell, J., W.L. Andrew, and A.C. MacKinlay. 1997. The Econometrics of Financial Markets. NJ: Princeton University Press.

DeAngelo, H. and Masulis, R.W. 1980. Optimal Capital Structure Under Corporate and Personal Taxation. Journal of Financial Economics 8 : 3-29.

Dewi, N. P. S. and Putra, I. N. W. A. 2013. Pengaruh Pengumuman Right Issue pada Abnormal Return dan Volume Perdagangan Saham. E-Jurnal Akuntansi Universitas Udayana 3 (3): 163-178.

Eckbo, E. and R. Masulis. 1992. Adverse selection and the rights offer paradox. Journal of Financial Economics 32 (3) : 293-332.

Fama, E., 1970. Efficient capital markets: a review of theory and empirical work. Journal of Finance 25, 383—417.

Fama, E. F. and French, K. R. 2005. Financing Decisions : Who Issues Stock? Journal of Financial Economics no 76, 549-582.

Firstolino, M. 2016. Pengaruh Right Issue terhadap Abnormal Return dan Volume Perdagangan Saham Perusahaan yang Terdaftar di Bursa Efek Indonesia (BEI) Tahun 2013. Jurnal Akuntansi Unesa 4 (2).

Gajewski, J.-F. and Ginglinger, E. 2002. Seasoned Equity Issues in a Closely Held Market : Evidence from France. European Finance Review 6(3) : 291-319.

Hansen, R. S. 1988. The Demise of the Rights Issues. The Review of Financial Studies 1 (3) : 289-309.

Haryetti and Efni, Y. 2010. Analisa Dampak Pengumuman Right Issue terhadap Abnormal Return, Likuiditas Saham dan Reaksi Pasar pada Perusahaan yang Issuer di Bursa Efek Indonesia periode 2007-2008. Jurnal Pendidikan Ekonomi dan Bisnis 2 (3): 372381.

Hastuti, R.T. and Nurhana, F. 2006. Pengumuman Right Issue, Ukuran Perusahaan dan Harga Saham di Bursa Efek Jakarta. Jurnal Akuntansi 3 (10).

Ibella, S. F. 2017. Analisis Reaksi Pasar Modal terhadap Pengumuman Right Issue pada Perusahaan yang Terdaftar di Bursa Efek Indonesia (BEI). Jurnal Manajemen Update 6 (2).

Johan, R. S. 2009. Pengaruh Right Issue terhadap Risiko dan Return Saham (Studi pada Bursa Efek Indonesia). Jurnal Pendidikan Ekonomi dan Bisnis 1 (2): 66-78.

Jannah, Y.W., Amin, M., and Junaidi. 2018. Pengaruh Right Issue Terhadap Tingkat Keuntungan dan Likuiditas Saham Emiten Perusahaan yang Terdaftar di BEI Periode 2015-2016. Jurnal Riset Akuntansi 7 (8) : 78-85.

Jung, K., Kim, Y.C., and Stulz, R.M. 1996. Timing, Investment Opportunities, Managerial Discretion, and the Security Issue Decision. Journal of Financial Economics 42(2) : 159-185.

Kang, J. K. and Stulz, R. M. 1996. How Different is Japanese Corporate Finance? An Investigation of the Information Content of New Security Issues. The Review of Financial Studies 9 (1) : 109-139.

Kabir, R. and Roonsenboom, P. 2003. Can the Stock Market Anticipate Future Operating Performance? Evidence from Equity Rights Issues. Journal of Corporate Finance 9 : 93-113.

Kamalsah, M. G. J. and Panjaitan, Y. 2015. Analisis Pengaruh Pengumuman Right Issue terhadap Abnormal Return dan Volume Perdagangan Saham di Bursa Efek Indonesia Periode Tahun 2009 – Kuartal 3 Tahun 2012. Jurnal Akuntansi 8 (2) : 116148.

Kendirli, S. and Elmali, M. E. 2016. The Effects of Right Offering Announcements on Returns of Shares of Deposit Banks Traded in Istanbul Stock-Exchange. Journal of Economic Development, Environment, and People 5 (1) : 74- 82.

Kim, E. and Purnanandam, A. 2006. Why do investors react negatively to seasoned equity offerings? Working paper. University of Michigan, US.

Kim, E.H. and Lee, Y. K. 1990. Issuing Stocks in Korea. Pacific-Basin Capital Markets Research I, S.G. Rhee and R.P. Chang, eds. : 243-253.

Komaling, A. M. 2013. Reaksi Pasar atas Secondary Right Issue pada Perusahaan yang Go Publik di Indonesia. Jurnal Riset Ekonomi, Manajemen, Bisnis dan Akuntansi 1 (3) : 118-128.

Kurniawan, I. S. and Yasha, E. 2017. Reaksi Pasar dan Kinerja Keuangan Perusahaan Sebelum dan Sesudah Pengumuman Right Issue pada Perusahaan yang Melakukan Right Issue di Bursa Efek Indonesia. Jurnal Manajemen 8 (2) : 181-200.

Kusuma, P. S. A. J. and Suryanawa, I. K. 2015. Analisis Komparatif Kinerja Saham Sebelum dan Sesudah Pengumuman Right Issue. E-Jurnal Akuntansi 12 (3) : 566-581.

Levis, M. 1995. Seasoned Equity Offerings and the Short- and Long-run Performance of Initial Public Offerings in the UK. European Financial Management 1 (2) : 125-146.

Malkiel, B. G. 1973. A Random Walk Down Wall Street. New York : W. W. Norton & Company.

Mariko, B. J. and Theuri, J. M. 2016. Effect of New Information from Rights Issue Announcement on Share Prices of Firm’s Listed on the Nairobi Security Exchange. American Journal of Finance 1 (3) : 55-70.

Marisetty, V.B., Marsden, A., and Veeraraghavan, M. 2008. Price Reactions to Rights Issues in Indian Capital Market. Pacific-Basin Finance Journal 16 : 316-340.

Marsh, P. 1979. Equity Rights Issues and the Efficiency of the UK Stock Market. The Journal of Finance 34 (4) : 839-862.

Masulis, R.W. and Korwar, A.N. 1986. Seasoned Equity Offerings: An Empirical Investigation. Journal of Financial Economics 15 : 91-118.

Mikkelson, W.H. and Partch, M.M. 1986. Valuation Effects of Security Offerings and the Issuance Process. Journal of Financial Economics 15(1) : 31-60.

Murtiasih, S. and Ferdian, F. 2011. Technical Analysis in Predicting Stock Prices Movement and Testing Efficient Market Hypothesis in Indonesian Stock Exchange. Jurnal Ilmiah Ekonomi Bisnis 16 (3).

Myers, S. and Majluf, N. 1984. Corporate Financing and Investment Decisions when Firms Have Information that Investors Do Not Have. Journal of Financial Economics 13 : 187-221.

Nikita, M. P., and Soekarno, S. 2012. Testing on Weak Form Market Efficiency: The Evidence from Indonesia Stock Market, Year 2008-2011. Proceedings from 2nd International Conference on Business, Economics, Management and Behavioral Sciences. Bali, Indonesia. Pages 56-60.

Nurmala and Salmah, N. N. A. 2015. Reaksi Pasar terhadap Pengumuman Right Issue di Bursa Efek Indonesia. Jurnal Manajemen & Bisnis Sriwijaya 13 (3).

Ogada, A and Kalunda, E. 2017. Impact of Rights Issue on Share Returns of Firms Listed on The Nairobi Securities Exchange, Kenya. IOSR Journal of Business and Management 19 (8) : 54-62.

Pratama, I. G. S. 2014. Analisis Perbandingan Abnormal Return Saham Sebelum dan Sesudah Pengumuman Right Issue. E-Jurnal Manajemen Universitas Udayana 3 (1) : 243-257.

Ridho, A., Isynuwardhana, D., and Aminah, W. 2017. Analisis Reaksi Investor terhadap Pengumuman Right Issue di Bursa Efek Indonesia 2013 – 2015. e-Proceeding of Management 4 (3) : 2562-2569.

Rizkianto, G. D. and Surya, B. A. 2014. Testing the Efficient Market Hypothesis on Weak and Semistrong Form in the Indonesian Stock Market. Journal of Business and Management 3(2):179-190.

Rohit, B., Pinto, P., and Bolar, S. 2016. Impact of Stock Splits and Rights Issue Announcements on Market Price: Evidence from India. Drishtikon : A Management Journal 7 (2) : 1-16.

Rusdi, D. and Avianto, A. 2009. Pengaruh Right Issue Terhadap Tingkat Keuntungan dan Likuiditas Saham Emiten di Bursa Efek Jakarta. Majalah Ilmiah Sultan Agung 44 (118) : 79-94.

Salamudin, N., Ariff, M., and Nassir, A. 1999. Economic Influence on Rights Issues Announcement Behaviour in Malaysia. Pacific-Basin Finance Journal 7 : 405-427.

Scholes, M. and Williams, J. 1977. Estimating betas from non-synchronous data. Journal of Financial Economics 5 (3) : 309-328.

Shahid, H., Xia, X., Mahmood, F., and Usman, M. 2010. Announcement Effects of Seasoned Equity Offerings in China. International Journal of Economics and Finance 2(3) : 163-169.

Slovin, M., Sushka, M., and Lai, K. 2000. Alternative Flotation Methods, Adverse Selection and Ownership Structure: Evidence from Seasoned Equity Issuance in the U.K. Journal of Financial Economics 57 (2) : 157-190.

Smith, C.W. 1977. Alternative Methods for Raising Capital: Rights Vs. Underwritten Offerings. Journal of Financial Economics 5(3) : 273-307.

Sunariyah. 2000. Pengantar Pengetahuan Pasar Modal (2nd ed.). Yogyakarta: UPP AMP YKPN.

Tan, R., Chng, P., and Tong, Y. 2002. Private Placements and Rights Issues in Singapore. Pacific-Basin Finance Journal 10: 29-54.

Wang, J, Wei, K.C.J., and Pruitt, S.W. 2006. An Analysis of Share price and Accounting Performance of Rights Offerings in China. Pacific-Basin Finance Journal 14(1) : 49-72.

White, R.W. and Lusztig, P.A. 1980. The Price Effects of Rights Offerings. Journal of Financial and Quantitative Analysis 15 (1) : 25-40.

Widagdo, D. 2015. Analisis Faktor-faktor yang Mempengaruhi Reaksi Investor di Sekitar Pengumuman Right Issue – Studi Empiris di Bursa Efek Jakarta. Jurnal Manajemen Dirgantara 8 : 1-17.




DOI: http://dx.doi.org/10.21776/ub.jam.2019.017.04.04

Refbacks

  • There are currently no refbacks.