Underpricing Phenomenon and Stock Return after IPO
Andhi Wijayanto, Ascariena Rafinda
,
and Dian Ariyani
Department of Mangement, Universitas Negeri Semarang, Jl. Kampus Timur, Sekaran, Gunung Pati, Semarang, Indonesia
Keywords: IPO, Initial Return, Underpricing
Abstract: The purpose of this study is to find out the influence of financial and non-financial factors in the company's
prospectus that can affect underpricing and stock return 7 days after the IPO. This research using multiple
linear regression analysis to measure the relationship between the dependent variable (initial return and return
7 days after the IPO) with independent variables (DER, TATO, ROA, PPS, and AGE). The existence of a
high underpricing phenomenon leads to non-optimal funding by IPO companies. The company's goal of
obtaining abundant funds is not achieved. In the market efficient theory, prices should have been agreed upon
by the underwriter and the company to get a response according to company goals, but overly optimistic
investor behavior makes prices go far beyond actual value so that underpricing occurs. This research complies
financial and non-financial variables to find out the most influencing factors the occurrence of the
phenomenon of underpricing of shares when the Indonesian capital market has been rose and broke the record
with the most IPO in year 2013.
1 INTRODUCTION
At the moment, the capital market in the current
economic development has an important role as one
of company’s external funding sources and as an
investment media for the investor (Song et al., 2015).
The growth of capital market is considered as one of
indicators that indicates the economic level of a
country. Company’s funding and attracting new
investors are found to be the biggest problems faced
by most companies. Around 45.1% of companies tend
to use debt as an alternative funding operations than
the other sources (Yulianto et al., 2016). According to
Jogiyanto (2014) there are four options to obtain
funding, they are sale of shares directly to the old
owner of stock, employee stock ownership (ESOP),
dividend reinvestment plan, and go public or initial
public offering (IPO).
When a company decides to go public or IPO,
then they should make a prospectus as specified by
BAPEPAM (Risal, 2014). According to Kusuma
(2001), a prospectus is a source of relevant
information and can be used to assess the company.
Thus, all the information contained in the prospectus
for both financial and non-financial should be
considered by the company. Investors use that
information to assist in making rational decision
regarding the risk and return of the shares on offer
issuers (Ang & Liu, 2007). Therefore, it can be said
that the prospectus is the key of IPO success. The
process of determining the offering price is
determined by agreement of the issuers with
underwriter, while the process of shares in the
secondary market occurs by supply and demand
(Adhipradana & Daljono, 2014).
Investors who want to place their asset in the
capital market should be able to set the goal correctly.
The investors could not just set a goal to get
maximum return, due to a positive correlation
between the expected return and risk (Sartono, 2010).
Therefore, investors should do a deep analysis in
advance to determine specific strategies (Safitri,
2013). These things need to be completed as Pardosi
& Wijayanto (2015) stated that choosing picking out
the best option is not an easy thing especially during
high uncertainty situations.
When companies decide to IPO, there will be
various and many interesting phenomenon to be
examined. According to Nuroh & Suhermin (2013)
there are three possibilities that may occur at the
capital market. First, when prices in the secondary
market is lower than primary market, it is called
overpricing. Second, when prices in the secondary
market is as great as primary market, it is called true
pricing. Third, when prices in the secondary market
is higher than primary market after IPO, it is called
underpricing.
Wijayanto, A., Rafinda, A. and Ariyani, D.
Underpricing Phenomenon and Stock Return after IPO.
DOI: 10.5220/0009201802210229
In Proceedings of the 2nd Economics and Business International Conference (EBIC 2019) - Economics and Business in Industrial Revolution 4.0, pages 221-229
ISBN: 978-989-758-498-5
Copyright
c
 2021 by SCITEPRESS – Science and Technology Publications, Lda. All rights reserved
221

The phenomenon of underpricing should not be
happen, because the price of the primary market
should reflect all available information. However,
this phenomenon may occur due to the investors
overly optimistic that leads to the price over the actual
values (Klova, 2017). The abundance of underpricing
happened indicates that many companies are in not
profitable position, because of fund obtained from
IPO is not a maximum. The risk of the company
affected by financial decisions made by the
company’s internal management is less precise (Sari
& Wijayanto, 2012). Indonesia stock exchange
(2014) in its official report states that throughout
2013 there are thirty-one new issuers listed on
exchanges, where it makes a new record of the
highest number of new shares of issuers in a year for
fifteen last year. That achievement made a lot of new
issuers that record its shares on stock exchange in the
following years in order to get funding. This revival
continues until 2017, there are around thirty-seven
new issuers who have IPO. Its rapidly growing issures
go public on exchange, increases higher fluctuation
phenomenon of underpricing (Hanafi, 2016), where
this should not happen.
Ljungqvist (2007) gives the illustration that the
average initial return at the IPO in eight (8) countries
around Asia – Pacific and America Latin is estimated
more than 1% of the underpricing level could happen.
This calculation aims to see the potential occurrence
of underpricing in different countries.
According to Nuroh (2013), underpricing is a
condition where an average market price of a
company’s stock price is higher than the offering
price on the first day of IPO. This Underpricing
phenomenon tends to occur more frequently in the
stronger market condition, but meanwhile in a weak
market truepricing and overpricing are the most
frequently phenomenon (Klova, 2017). A theory has
been advanced by Ljungqvist (2007), who has
pioneered the research of the existence, where
underpricing stated in 4 models, namely Asymetric
Information, Institutional Theories, Ownership and
Control Theories, and Behavioral Theories. Based on
the existence of information asymmetry with the
fought between investors with issuers, there will be
underpricing on the Indonesia stock exchange.
This research tries to replicate previous research
which suggested that there are 5 factors affect the
initial return and 7 days return after the IPO which are
debt to equity ratio (DER), total asset turn over
(TATO), return on asset (ROA), percentage share
offer (PPS), and age (AGE). In addition, this research
also provides some advices for earlier researchers to
conduct testing of the difference between the initial
coefficient of return and 7 days return after the IPO.
There are a few things that distinguish this research
with some earlier research: first, this research uses the
observation period 7 days return after the IPO, to find
out whether the influence of return is derived from the
information contained in the the prospectus of the
company through a financial variable and Non-
financial variables used. Financial variables used i.e.
debt to equity ratio (DER), total assets turn over
(TATO), and return on assets (ROA). While Non-
financial variable used is the percentage of the offer
shares (PPS), and age (AGE). In contrast, there is a
research by Mayes & Alqahtani (2015) conducted in
Saudi Arabia stock exchange, which just uses the
variables in the form of Non-financial size of the
company (firm size), percentage share offer, age of
the company, company status, and market conditions
as a factor that can affect the initial return.
Second, this research is different from research
that has been conducted by Khodavandloo & Zakaria
(2016) who has done research on the Tehran Stock
Exchange by taking three observation period i.e., the
period of 30 days, 120 days, and third observations
i.e. 240 days after the IPO with variable assets turn
over, age of firm, p/e ratio, and size of the company
without putting the financial leverage ratio and
variable ratio of profitability such as those used in this
study i.e. ROA and DER. The third study is different
from the research of Song et al. (2014) who has done
a research about China's Exchange and prove that the
level of underpricing happened amounted to 14.22%.
That is because the existence of variables affecting
the stock investor sentiment that is overvaluation,
whereas the variable used is the reputation of the
underwriter and the regulation of prices without
considering the financial variables.
The purpose of this research is to find out the
influence of financial variables and Non-finance to
the level of underpricing shares and 7 days return
after the IPO. In addition, it is to find out if there is a
difference between the initial coefficient of return and
7 days return after the IPO or nots. As many contrast
results happened among the previous researches, so
this research needs to be conducted.
2 LITERATURE REVIEW
2.1 The Influence of Debt to Equity to
the Stock Value of Underpricing
DER produced by a single company can be the basis
of decision-making by investors. With a high degree
of leverage in a company, investors will think if a
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company has a lot of debts directly will affect the
capital owned by the company so that the IPO would
yield funds likely to be used to pay debt than to
investment activity in order to conduct its business
expansion (Risal, 2014). The research that has been
conducted by Linazah & Setyowati (2015) proved
that there is a positive effect to DER initial return. The
higher of DER the higher underpricing shares to
occur. Thus the greater the value of the allegedly
DER leads to the greater the progress of initial return
and return 7 days after IPO. Therefore, the hypothesis
regarding the impact of debt to equity to underpricing
stock value can be formulated as follows:
Ha1: DER has a positive effect to the initial return.
Ha7: DER has a positive effect to return of 7 days
after the IPO.
2.2 The Influence of Total Asset
Turnover to the Underpricing
Sartono (2010) revealed that total asset turnover
(TATO) is often referred to with the turnover total
assets. The ratio measures the overall assets owned by
the company, whether in a company there is
turnaround effectively or not. Where the higher
inventory turnover of a company, then the company
will be more efficient in change the amount of
inventory the company (Maulidya & Lautania, 2016).
Horne & Wachowicz (2016) stated that a TATTOO
is a ratio that can be used to measure the number of
times the funding that was planted in supplies
inventory) spinning in one period. The value of the
tattoo that the higher it will reduce the uncertainty of
return received by investors and will reduce the level
of underpricing (Yuliana, 2013). It will make
investors get a return that is getting low (Wijayanto,
2010). A research that has been done by Klova (2017)
stated that the TATO has significant effects to the
occurrence of the phenomenon of underpricing. Thus
supposedly the higher value of the TATO of a
company, then it will also lower initial return and 7
days return after the IPO. Hence, the second
hypothesis is formulated as follows:
Ha2: TATO has a negative effect to initial return Ha7:
TATO has a negative effect to 7 days return after IPO
2.3 Influence of Return on Asset to the
Underpricing
ROA included in the Group of ratio analysis of
profitability becomes one of the important
information for investors. It is caused due to the ROA
is the ratio that is used to assess the effectiveness of
the company's activity in generating profits. A
research that has been done by Suryanto (2002)
proves that ROA influences underpricing shares. It
gives the sense that the larger the value of the ROA
owned by the company, it will be more and greater
investor interested to the company's stock. With the
high profits it will minimize the degree of uncertainty
that can occur, so it certainly will make the initial
return received by large investors. Thus, it is assumed
that the greater value of ROA of a company, the
greater the initial return and return 7 after the IPO
which will be received by investors. Therefore, the
hypothesis regarding Return on Asset can be
formalized as follows:
Ha3: ROA has a positive effect to initial return
Ha8: ROA has a positive effect to 7 days return after
IPO
2.4 The Influence of the Percentage
Share Offer to the Underpricing
Investors who are going to do an investment, they will
consider the level of risk and uncertainty that they
will receive, so that the percentage share offer should
be really considered because the PPS associated with
it (Dita, 2013). The larger percentage of the offer
shares held of the company, the greater increasing
level of underpricing will be. It will also create an
uncertainty in the future increases (Nuroh &
Suhermin, 2013). Retnowati (2013) has proven that
the PPS positively effect the initial return
significantly. Thus, it is assumed that the greater
percentage of shares it will offer lower initial return
and also 7 days return after the IPO. Hence, the fourth
hypothesis is formalized as follows:
Ha4: PPS has a negative effect to initial return
Ha9: PPS has a negative effect to 7 days return after
IPO
2.5 Influence of the Age of the
Company to the Underpricing
Prathama (2015) states that the age of the company
shows the company's ability to survive. the company's
older and mature can be perceived as a company that
has been tested, so the level of risk is lower than other
and this could be the attraction of investors (Wahyudi,
2004). The company that have a long of age are also
considered capable of generating a return will have an
impact on the return received by investors. Research
conducted by Nuroh dan Suhermin (2013) prove that
the company's age has a psotive effect significantly to
Underpricing Phenomenon and Stock Return after IPO
223

the initial return and 7 days return after the IPO. Thus,
it assumed that the older age of the company will be
getting lower initial return and 7 days return after the
IPO. Based on the explanation above, the hypothesis
regarding age of company is formulated as follows:
Ha5: AGE has a negative effect to initial return Ha10:
AGE has a negative effect to 7 days return after IPO.
3 METHOD
The population according to Sugiyono (2012) is a
combination of all the elements that shape events, the
thing or the person having similar characteristics can
be the center of a researcher because it is seen as a
universe of research. The population in this research
is the whole company that IPO in 2013 – 2017 outside
of banking company in Indonesia stock exchange
totaling 93 companies. While the sample used of 77
firms using a purposive sampling technique.
Data collection is carried out directly on the
TICMI library website and through the BEI, then the
data already obtained being processed and analyzed
by researchers. Statistical calculations done using
Microsoft Excel and Eviews Program 9.
Independent variables in this study are financial
variables (DER, TATO, and ROA) and non financial
variables (percentage share offer and the age of the
company). While the bound variable used is the initial
return and 7 days return after the IPO. The ratio of
leverage (debt to equity ratio) that is the company's
ability to meet the entire obligation is shown by its
own capital is used to pay the debt. The activity ratio
(total assets turn over) is a ratio that indicates the
capability and efficiency of the company in utilizing
assets owned or how the turnover of assets-those
assets. The ratio of profitability (return on asset) is the
ratio which shows company's ability in operations
resulting in a gain or profit.
The age of the company as one of the factors
taken into consideration by investors when they will
invest. The age of the company shows how long the
company was able to survive and be evidence of
companies able to compete. While the percentage
share offer as a proxy from the uncertainties of the
stock return that will be received by investors.
The dependent variable used are the init ial return
and 7 days return after the IPO. Initial return is a
reflection of the level of underpricing. Where the
initial return is the difference between the prices of
the IPO priced deals in the primary market. While the
rate of return received by investors on investment has
been done.
Based on the explanation and model studies were
used, then the equation is formulated as follows:
IR = a + β1DER + β2TATO + β3ROA + β4PPS
+ β5AGE + e (1)
R7HR = a + β1DER + β2TATO + β3ROA +
β4PPS + β5AGE + e (2)
4 RESULTS AND DISCUSSION
Results of this research partially to the initial return
(Equation 1) shows that there is only one variable that
have an impact (alpha level 5%), that is percentage
share offer (PPS) variable. Thus, on the variable PPS
also has a negative coefficient direction, it means that
the higher value of PPS will be get a smaller value of
underpricing. In this case the underpricing figured on
initial return that will be accepted by investors. The
other independent variables such as DER, TATO,
ROA, and AGE have no effect to the initial return.
On the results of testing to IR, DER was
consistent with some earlier research such as Zaluki
(2016), Retnowati (2013), and Rexy et al. (2017) that
support this research, DER has no effect to the initial
return.
On the results of testing the TATO to IR is
consistent with the study that has been conducted by
Aissia (2014) stating that a TATO is not a variable
that can affect the initial return both short term and
long term. The same fact stated by Zhou & Lao
(2012).
On ROA variable, this research results was
consistent with previous researchers. Such as Pahlevi
(2014), Prawesti & Indrasari (2014) and Rexy et al.
(2017) that had been declared in advance that ROA
had no effect to the initial return.
The age of company which is group of
Independent Non-financial variables were not able to
prove that the AGE effect on the initial return. It
managed to refine the research conducted by
Hermuningsih (2014), Linazah & Setyowati (2015),
and Retnowati (2013) which found that the variables
AGE have no effect to the initial return.
Percentage share of offer is the only independent
variable that may affect the initial return. This finding
is consistent to finding of Nuroh (2013) and Nasirwan
(2000), that is the percentage of stock offerings is a
factor that can influence the occurrence of
underpricing shares.
The results of the regression analysis to a return
of 7 days after the IPO indicates that only partially
variable debt to equity ratio (DER) and percentage
share offer (PPS) that affect return 7 days after an IPO
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on the alpha level of 5%. The second coefficient of
the variable indicates a different direction. On the
DER variable coefficient indicates a positive
direction, it is mean that the higher value of DER will
increase the return that will be accepted by investors.
Whereas in variable PPS has a negative coefficient
direction, is it mean that the higher the PPS company
will decline the return of investor until the seventh
day on the secondary market.
While the other independent variables such as
ROA, TATO, and AGE has no effect to a return of 7
days after the IPO. This research was found that the
variable of DER has an effect on 7 days return after
the IPO. Where the results of these tests are consistent
with the research that has been done by Ardiansyah
(2004) that stated DER has an effect significantly to
return 15 days after the IPO. In addition, Prathama
(2015) also States that DER has an effect on stock
return.
Variable of TATO has been proven not to be able
to 7 days return after the IPO. This is consistent with
Yuliana (2013) which has proven that the TATO is
not the variable may affect the return of 7 days after
the IPO.
The financial variables tested next is ROA, where
the results of these findings stated that ROA was not
able to prove the effect of 7 days return after the IPO.
The results correspond to studies of Sulistyawati
(2006) who find the similar things.
Non financial variables tested is PPS or the
percentage of the shares offer. PPS has proven to be
able to 7 days return after the IPO. Where such
findings in accordance with the research that has been
done by Mayes & Alqahtani (2015) stating that the
PPS or size of offer significant negative effect in the
long term after an IPO, where such research is done
on Saudi Arabia Stock Exchange.
Non-financial variables, AGE is different with
PPS. AGE could not has an effect of 7 days return
after the IPO. The results of this study are consistent
with previous research, Yuliana (2013) and
Sulistyawati (2006) which found that the independent
variable of AGE has no significant effect to return of
7 days after the IPO.
Hypothesis Test Results
Based on the analysis of the results of multiple
regression equations 1 obtained as summarized in the
following table:
Table 1. T Statistic Independent Variable to IR
Variable Coeficient Std.
Error
t-
Statistic
Prob.
C 0,2332 0,0987 2,3621 0,021
DER -0,0013 0,0079 -0,1599 0,873
TATO 0,0107 0,0111 0,95781 0,341
ROA -0,3177 0,2694 -1,1791 0,242
AGE 0,0005 0,0026 0,17350 0,863
PPS -1,0618 0,18311 -5,7097 0,000
Source: Research Data Processed, 2018
From the results of regression analysis, the regression
equation 1 can be composed as follows:
Y= 0,233 - 0,001DER + 0,015TATO - 0,262ROA
+ 0,004AGE - 1,062PPS + e
The results of the regression analysis can be seen
at the table 1. It showed that using 0.05 alpha level,
there is only variable PPS which have significance
level of 0.0000 or alpha level of not more than 5%.
While variable DER, TATO, ROA, and AGE has
value prob. more than adequate for the
alpha 5%, on the value of the variable DER Prob. Of
0.8733; The TATO has a value of 0.3412 Prob; ROA
has Prob. of 0.2421; and AGE has value Prob. of
0.8627. Thus, that four variable were not able to
effect on variable initial return. Only variables PPS
can affect in the level of significance of 5%.
Based on the analysis of the results of multiple
regression equations 2 obtained as summarized in the
following table:
Table 2. T test of Independent Variable to LNR7HR
Variable Coeficient Std.
Error
t-
Statistic
Prob.
C -0,5134 0,5005 -1,0258 0,308
LNDER 0,2967 0,0578 5,1274 0,000
LNTATO -0,0006 0,1840 -0,0032 0,997
LNROA -1,24066 1,1118 -1,1158 0,268
LNAGE 0,7105 0,9771 0,7271 0,469
LNPPS -0,9417 0,1242 -7,5807 0,000
Source: Research Data Processed, 2018
On the basis of the results of the regression
analysis, the regression equation 2 can be composed
as follows:
Y= -0,513 + 0,297DER – 0,000TATO – 1,241ROA +
0,071AGE - 0,942PPS + e
Underpricing Phenomenon and Stock Return after IPO
225

The results of the regression analysis it can be
seen at table 2. This model use 0.05 alpha level, there
is only LNDER and LNPPS which has a significance
level of 0.0000 or alpha level of not more than 5%.
While the variables LNTATO, LNROA, and LNAGE
has a value of prob. more than adequate for the alpha
5%, the variable LNTATO has a significance value of
0.9975; LNROA has the significance value of 0.2680;
and LNAGE has a value of significance 0.4694. It
conclude that variable has no effect to 7 days return
after the IPO. Only variables that can be LNPPS and
LNDER has an effect on the level of significance of
5%.
Based on the results of the test T-statistic, then
obtained the test results as follows:
Table 3. Summary of the Research’s Result
No. Testing Result
1. DER has a positive effect to IR Rejected
2. TATO has a negative effect to IR Rejected
3. ROA has a positive effect to IR Rejected
4. PPS has a negative effect to IR Accepted
5. AGE has a negative effect to IR Rejected
6. DER has a positive effect to R7HR Accepted
7. TATO has a negative effect to
R7HR
Rejected
8. ROA has a positive effect to R7HR Rejected
9. PPS has a negative effect to R7HR Accepted
10. AGE has a negative effect to R7HR Rejected
Source: Research Data Processed, 2018
5 CONCLUSION
Based on the explanation in the previous sections,
This research concludes that only Non-financial
variables (percentage share offer) affect the initial
return. While there is only two variable in equation 2,
debt to equity ratio (DER) and variable percentage
share offer (PPS) that affect 7 days return after the
IPO. From the results of these tests indicate that there
is a difference influence between independent
variables DER, TATO, ROA, PPS, and AGE to
dependent variables to the initial return and 7 days
return after the IPO.
Managerial implications from this research is the
management company should give more attention to
the information contained in the prospectus of the
company, because it will affect investors regarding
their investment decisions in the stock market. For
investors who will invest in Indonesia Stock
Exchange also should give more attention to mainly
financial and non financial information that affects an
initial return and 7 days return after the IPO. While
the theoretical implications for further research is
expected to consider the macro factors outside of the
company either controlled or uncontrolled by the
company.
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