Analisis Faktor-faktor yang Mempengaruhi Abnormal Return Saham terhadap Kinerja Jangka Panjang Penawaran Umum Perdana pada Perusahaan Non Finansial yang terdaftar di BEI Tahun 2018-2022

Abstract

Studi ini menyelidiki faktor-faktor yang memengaruhi hasil abnormal saham perusahaan sektor properti, real estate, dan konstruksi setelah di Bursa Efek Indonesia. Variabel independen meliputi Initial Return, Money Raised, Market Return, dan Size of Firm, dengan Abnormal Return sebagai variabel dependen. Sampel terdiri dari tujuh perusahaan selama 2018-2022, dipilih melalui purposive sampling. Analisis data menggunakan regresi linear berganda, dan uji asumsi klasik dilakukan. Hasil menunjukkan bahwa Initial Return, Money Raised, Market Return, dan Size of Firm secara parsial berpengaruh positif dan signifikan terhadap Abnormal Return. Money Raised dan Size of Firm berpengaruh positif tetapi tidak signifikan. Keempat variabel tersebut menjelaskan sekitar 51% variasi dalam Abnormal Return, dengan 49% sisanya dipengaruhi oleh faktor-faktor lain. Implikasinya, variabel-varibel ini penting dalam menentukan kinerja saham jangka panjang perusahaan setelah 12 bulan , memberikan wawasan berharga bagi pemangku kepentingan, regulator, dan praktisi pasar modal. This study investigates the factors that influence the abnormal stock returns of property, real estate, and construction sector companies after on the Indonesia Stock Exchange. Independent variables include Initial Return, Money Raised, Market Return, and Size of Firm, with Abnormal Return as the dependent variable. The sample consists of seven companies during 2018-2022, selected through purposive sampling. Data analysis used multiple linear regression, and classical assumption tests were performed. The results show that Initial Return, Money Raised, Market Return, and Size of Firm partially have a positive and significant effect on Abnormal Return. Money Raised and Size of Firm have a positive but insignificant effect. The four variables explain about 51% of the variation in Abnormal Return, with the remaining 49% influenced by other factors. The implication is that these variables are important in determining the long-term stock performance of firms after 12 months of , providing valuable insights for stakeholders, regulators, and capital market practitioners.