A Study of Short-run and Long-run Stock Performance of State-Owned Enterprises IPO in Indonesia

• Main Authors: , Bambang Tri Hatmanto, , Prof. Jogiyanto Hartono M., Ph.D., M.B.A
• Format: Theses and Dissertations NonPeerReviewed
• Published: [Yogyakarta] : Universitas Gadjah Mada 2012
• Subjects: ETD
• Online Access: https://repository.ugm.ac.id/98887/; http://etd.ugm.ac.id/index.php?mod=penelitian_detail&sub=PenelitianDetail&act=view&typ=html&buku_id=54922
• Institution: Universitas Gadjah Mada

This study examines privatization of state-owned enterprises through initial public offerings (IPOs) of common stock. The focus is on the short-run and long-run stock performance of state-owned enterprises initial public offerings. The well-known pattern associated with the state-owned enterprises IPOs is the frequent occurrence of large short-run returns and positive long-run return. Based on a sample of 14 state-owned enterprises IPOs in 1991-2007, this study found that in the short-run, the mean total excess return and the wealth relative was 14.93% and 1.14 respectively. Those positive mean excess return and the wealth relative above one implies that IPOs outperformed the market in that period but insignificant at the .05 level. In the long-run, consistent with previous results, in this study the mean excess return of 35.93% for an investor who bought at the offering price and held for three years is significantly different from zero. Furthermore, the wealth relative of 1.27 implies that Indonesian state-owned enterprises IPOs outperformed the market in the long-run. The t-statistic of 1.843 is significant so there is sufficient evidence to conclude that in the long-run the stock performance of the state-owned enterprises outperform the market. Firm sizes, age of the company and short-run performance have a positive effect on the performance of IPOs.