Bagian 2 Metodologi Penelitian Manajemen Keuangan (metode eventStudy)

BAB II

DEFENISI, KEGUNAAN DAN KELEMAHAN EVENT STUDY

(Draf Buku : Metodologi Penelitian Manajemen Keuangan : Metode Event Study

Dr. Joubert B Maramis, SE. MSi

(dosen Fakultas Ekonomi Universitas Sam Ratulangi Manado)

Email : barensmaramis@yahoo.com/ Hp 08582322566

2.1.        Defenisi event study

Studi kejadian (event study) pada dasarnya adalah suatu bentuk metodologi dalam penelitian keuangan atau pasar modal, khususnya mengenai reaksi pasar modal (yang tercermin dalam harga saham) atas suatu kejadian atau event. Menurut Gershgoren (2006), An event study - in finance, economics or accounting research - is an analysis of whether there is a statistically significant reaction in financial markets to past occurrences of a given type of event (information) that is hypothesized to affect public firms' market values.

Defenisi dari Gershgoren (2006), pada dasarnya menekankan pada aspek reaksi pasar modal / keuangan atas suatu kejadian masa lalu dalam bentuk informasi yang memberikan dampak atau pengaruh pada nilai pasar perusahaan.  Nilai pasar perusahaan merupakan hal yang penting bagi perusahaan (teristimewa yang telah go public) karena mencerminkan tanggapan pasar (investor) atas apa yang telah dilakukan perusahaan. Nilai pasar dalam konteks teori keuangan merepresentasikan nilai kapitalisasi pasar yang terbentuk dari perkalian harga pasar dengan jumlah saham beredar (outstanding share) untuk menentukan nilai pasar saham. Dalam proxy yang lain ditambahkan unsur nilai pasar saham preferent dan hutang. Nilai pasar ini menjadi hal utama karena salah satu tujuan perusahaan adalah memaksimalkan kekayaan pemegang saham.

Defenisi dari Gershgoren (2006), yang menekankan pada terminologi “reaksi pasar” sebenarnya identik dengan terminologi “effect” yang ada dalam defenisi dari Kothari and Warner (2004), Thus, event studies focusing on announcement effects for a short-horizon around an event provide evidence relevant for understanding corporate policy decisions.

Defenisi dari Kothari and Warner (2004), pada dasarnya menyatakan event study berfokus pada pengaruh atau efek dari suatu “pengumuman” dalam jangka pendek untuk memberikan pemahaman yang relevan atas keputusan / kebijakan perusahaan. Menurut mereka,  event study mencerminkan dampak  atas pengumuman dari suatu kebijakan atau keputusan perusahaan. Dalam literature manajemen keuangan, kebijakan perusahaan dapat dibagi menjadi 3 (tiga) keputusan penting yaitu keputusan investasi (investment decision), keputusan pembiayaan (financing decision) dan keputusan deviden (dividend decision).

Ketika  suatu event terjadi maka para peserta yang ada di pasar (investor) akan merevisi nilai atas suatu sekuritas yang menyebabkan pergeseran dalam proses penciptaan return. Solibakke (2002), when the event occurs, the market participants revise their value of the security, causing a shift in the return generating process. Proses penciptaan return akibat adanya suatu event menunjukkan akan betapa pentingnya dampak dari terjadinya suatu event.

Selanjutnya return yang dihasilkan akibat pengumuman suatu event akan memberikan dampak “abnormal” yaitu tingkat return yang lebih tinggi (positip) disbanding dengan kondisi normal.  Solibakke (2002), we structure the hypothesis in terms of the event’s impact on the rate of return process for the corporation’s securities. This hypothesis translates into the hypothesis that the rate of return earned on that security over an interval spanning the first public announcement of the event is more positive than normal.

Thompson (1985), empirical investigations into the codetermination of security prices and economic events are called event studies. Thompson (1985) menyebut event study  berfokus pada dua hal yaitu harga saham dan kejadian ekonomi. Konsep kejadian ekonomi bisa bermakna semua kejadian yang penting sehingga layak untuk dianalisis dampaknya atas harga saham. Artinya pasar memberikan respon atas kejadian tersebut.

Jika Thompson (1985) menekankan pada harga saham maka  Kothari and Warner (2004) menekankan pada return saham untuk menganalisis dampak suatu event pada saham. Menurut Kothari and Warner (2004),

“An event study typically tries to examine return behavior for a sample of firms experiencing a common type of event (e.g., a stock split). The event might take place at different points in calendar time or it might be clustered at a particular date (e.g., a regulatory event affecting an industry or a subset of the population of firms).”

Namun pendapat Kothari and Warner (2004), ini menambahkan unsur time dimension / horizon (dimensi waktu). Dalam hal ini menurut waktu kalender maupun clustered date. Konsep waktu ini sangat penting karena akan menentukan “jendela waktu” untuk analisis. Disamping itu dimensi waktu dalam event study akan menunjukkan apakah event study tersebut bersifat jangka pendek (short term) atau jangka panjang (long term). Selanjutnya Kothari and Warner (2004), juga menyatakan:

“ In the event study literature, the focus almost always is on the mean of the distribution of abnormal returns. ….An event study seeks to establish whether the cross-sectional distribution of returns at the time of an event is abnormal (i.e., systematically different from predicted).”

Pendapat lanjut dari Kothari and Warner (2004), sudah memasukkan konsep abnormal return dalam konteks ini adalah distribusi rata-rata atas abnormal return. Abnormal return adalah selisih atau range antara expected return dengan actual return. Dan abnormal return inilah kemudian menjadi dasar kajian untuk melihat apakah suatu event mendapat respon di pasar modal atau tidak.

Secara statistic, proses pengujian dampak atau effect dari suatu event, dapat dilihat dari apakah ada perbedaan atas mean dari abnormal return dengan actual return. Sehingga untuk hipotesis nol (H0) bunyinya menjadi tidak ada beda abnormal return dengan actual return pada periode waktu analisis atas dampak pengumuman suatu event. Kothari and Warner (2004), Typically, the specific null hypothesis to be tested is whether the mean abnormal return (sometimes referred to as the average residual, AR) at time t is equal to zero.

Secara lebih dalam Kothari and Warner (2004), menambahkan The focus on mean effects, i.e., the first moment of the return distribution, makes sense if one wants to understand whether the event is, on average, associated with a change in security holder wealth, and if one is testing economic models and alternative hypotheses that predict the sign of the average effect. Inti dari pendapat Kothari and Warner (2004), adalah analisis event study diadasari pada mean effect. Dengan konsep uji beda mean maka dapat diakomodasi tujuan analisis yang melihat keterkaitan dampak suatu kejadian atas perubahan dalam kekayaan pemilik saham juga arah dari mean effect tersebut. Dampak pada perubahan kekayaan pemilik saham menunjukkan bahwa suatu kejadian (event) itu penting sedangkan arah menunjukkan perubahan kekayaan mana yang lebih besar, apakah sebelum atau setelah periode analisis (windows period).

Konsep abnormal return dan mean effect pada dasarnya merupakan konsep residual return, sehingga ada yang menyatakan event study adalah analisis residual. Thompson (1985), it has been general practice to first translate variables into rate of return, then out general market movements, and finally, examine the relationship between residual return and events. The methodology in all of its variants fall under rubric of “residual analysis”.

2.2.        Kegunaan dan tujuan Event Study

Event study (studi atau riset atas suatu kejadian) memegang peranan penting dalam  metodologi penelitian, khususnya dalam penelitian dibidang keuangan pasar modal. Apa hubungannya event study dengan kebijakan atau keputusan keuangan perusahaan ? dalam teori signaling, setiap keputusan perusahaan yang diumumkan ke public (informasi) akan membawa signal ke pasar. Signal ini dapat menghasilkan respon yang positip maupun negative. Suatu respon atas signal yang positip menunjukkan bahwa suatu pengumuman atau informasi itu, menghasilkan pergeseran yang positip atas kekayaan pemegang saham (ada kenaikan harga saham yang konsekuensinya menaikkan kekayaan pemegang saham).

Demikian juga sebaliknya, suatu respon atas signal yang negatif menunjukkan bahwa suatu pengumuman atau informasi itu, menghasilkan pergeseran yang negatif atas kekayaan pemegang saham (ada penurunan harga saham yang konsekuensinya menurunkan kekayaan pemegang saham). Jadi signal dari suatu event atau kejadian, akan  membawa (convey) suatu informasi ke pasar. Metodologi penelitian yang cocok untuk menganalisis dampak suatu kejadian (pengumumam) ini adalah event study (studi kejadian).  Hu (2004), event study has become a frequently employed tool to study security price reaction to some announcement or event.

Pendapat yang hampir sama dengan pendapat Hu (2004), dikemukakan oleh  Solibakke (2002), in event studies, the objective is to examine the market’s response through the observation of security price around such events. Kesamaan kedua pendapat ini terletak pada tujuan dari suatu event study yaitu melihat reaksi harga saham akibat suatu kejadian atau pengumuman, yang terjadi di pasar (reaksi pasar). Defenisi ini juga sama dengan Kothari and Warner (2004), Event studies examine the behavior of firms’ stock prices around corporate events.

Metodologi event study ini sangat bermanfaat atas disiplin ilmu keuangan, ekonomi dan akuntansi. Gershgoren (2006), Unexpectedly, the event study methodology has become an important part of financial economics and has been widely used in accounting and economics, as well as finance. Demikian juga pendapat dari  Kothari and Warner (2004), A vast event vast literature written over the past several decades has become an important part of financial economics.

Sebagai contoh : event study ini dapat digunakan untuk menganalisis tingkat efisiensi pasar dalam konteks teori portofolio. Menurut Kothari and Warner (2004),

Event studies also serve an important purpose in capital market research as the principle means of testing market efficiency. Systematically nonzero abnormal security returns that persist after a particular type of corporate event are inconsistent with market efficiency. Accordingly, event studies focusing on long-horizons following an event can provide key evidence on market efficiency.

Demikian juga pendapat dari  Gershgoren (2006),  

In a corporate context, the usefulness of event studies arises from the fact that the magnitude of abnormal performance at the time of an event provides a measure of the (unanticipated) impact of the event (information) on the wealth of the firms’ shareholders, which is relevant for corporate policy decisions. Event studies also playing an important role in research on efficiency of capital markets. Abnormal returns that persist for some time after an event are inconsistent with market efficiency (Brown and Warner, 1980, and Fama, 1991).

Demikian juga dengan pendapat lanjutan  dari Kothari and Warner (2004), yang menyatakan:

It is also of interest to examine whether mean abnormal returns for periods around the event are equal to zero. First, if the event is partially anticipated, some of the abnormal return behavior related to the event should show up in the pre-event period. Second, in testing market efficiency, the speed of adjustment to the information revealed at the time of the event is an empirical question. Thus, examination of post-event returns provides information on market efficiency.

Dari sisi akuntansi, contoh terapan dari event study adalah melihat dampak suatu pengumuman (announcement ) misalnya : pengumuman laba, revisi laporan keuangan / laba, kondisi status laporan keuangan, laporan corporate social responsibility dan aspek lainnya. Kothari and Warner (2004) :

Beyond financial economics, event studies are useful in related areas. For example, in the accounting literature, the effect of earnings announcements on stock prices has received much attention. In the field of law and economics, event studies are used to examine the effect of regulation, as well as to assess damages in legal liability cases.

Semua argument dari pentingnya, kegunaan dan tujuan event study bermuara pada dampak event study tersebut pada kekayaan pemegang saham. Kothari and Warner (2004), In a corporate context, the usefulness of event studies arises from the fact that the magnitude of abnormal performance at the time of an event provides a measure of the (unanticipated) impact of this type of event on the wealth of the firms’ claimholders. Proses pembentukan kekayaan pemegang saham ini tentunya diawali dengan konsekuensi suatu kejadian atas perubahan dalam return saham akibat perubahan harga saham. Perubahan harga saham ini terkait dengan reaksi pasar atas event tersebut. Solibakke (2002), the economic implication is that events is that events may influence the return generating process other than through a shift in the level of security prices.

Kegunaan lebih lanjut atas event study disampaikan oleh Kothari and Warner (2004),

For the interested reader, the following are some examples of event study surveys. MacKinlay (1997) and Campbell, Lo, and MacKinlay (1997) document the origins and breadth of event studies. The relation of event studies to tests of market efficiency receives considerable attention in Fama (1991), and in recent summaries of long-horizon tests in Kothari and Warner (1997) and Fama (1998). Smith (1986) presents reviews of event studies of financing decisions. Jensen and Ruback (1983), Jensen and Warner (1988) and Jarrell, Brickley and Netter (1988) survey corporate control events. Recently, Kothari (2001) reviews event studies in the accounting literature.

Event study juga dapat dibagi menjadi event study jangka pendek maupun event study jangka panjang. Untuk kegunaan event study jangka pendek kegunaanya menurut Gershgoren (2006) adalah

“ Short-run event studies are used to evaluate the short-term effect of new information on a firm’s return. The effect of the arrival of new information on a firm’s return may be interpreted as a change in the moments of the firm’s return distribution over the event period, which in a short-run event study lasts at most a few days. With standard event study methodology, the test is focused only on the change in the mean of the firm’s return distribution: only the change in average returns is investigated. However, the change in the mean of the distribution may also be accompanied by a change in higher moments of the distribution. For example, on average, the arrival of new information may or may not have affect on a firm’s average return, but the firm’s average event-day release of information may increase the returns dispersion. Indeed, many studies document an increase in return variance on (or around) an event, a phenomenon known as event- induced variance. Patell and Wolfson (1979), Kalay and Lowenstein (1985), Rosenstein and Wyatt (1990), Boehmer and Musumeci (1991) all describe a significant increase in return’s variance around an event: in some cases thevariance increases to more than a three and a half times the variance on the estimation period (see Dann, 1981).

Argumen lainnya atas pentingnya event study, juga dapat dilihat pada jumlah artikel tentang event study yang dimuat dalam jurnal-jurnal keuangan penting di dunia. Hasil eksplorasi dari Kothari and Warner (2004) menunjukkan artikel tentang event study selang periode 1974 sampai 2000, untuk beberapa jurna keuangan terkemuka didunia berjumlah 565.

The results for the years 1974 through 2000. The total number of papers reporting event study results is 565. Since many academic and practitioner- oriented journals are excluded, these figures provide a lower bound on the size of the literature. The number of papers published per year increased in the 1980’s, and the flow of papers has since been stable. The peak years are 1983 (38 papers), 1990 (37 papers), and 2000 (37 papers). All five journals have significant representation. The JFE (journal of financial economics) and JF(journal of finance) lead, with over 200 papers each.

2.3.        Kelemahan Event Study

Event studi sebagai suatu metode penelitian, disamping memiliki kegunaan atau manfaat, juga memiliki kelemahan. Ada dua problem utama dalam event study yaitu masalah windows period dan sampel. Kothari and Warner (2004), We present new evidence that properties of event study methods can vary by calendar time period and can depend on event sample firm characteristics such as volatility.

Problem pertama menyangkut waktu kalender yang akan menentukan windows period. Selanjutnya masalah kedua menyangkut perusahaan sampel. Masalah sampel menjadi penting jika analisis dampak dari suatu event melibatkan banyak perusahaan atau industry atau portofolio. Semakin banyak perusahaan maka semakin banyak perbedaan dalam karaktristiknya. Kondisi ini dapat memicu bias dalam proses analisisnya.

Pendapat selanjutnya dari Kothari and Warner (2004), menegaskan bahwa:

Collectively, our results illustrate that power against alternative hypotheses can be sensitive to calendar time period and sample firm characteristics, and highlight the importance already recognized in the profession of studying test statistic properties for nonrandom samples. A complete analysis of these issues would focus on abnormal return (rather than return) volatility, and study how specification (and abnormal return distributional properties such as skewness) varies across time and firm characteristics.

Jika Kothari and Warner (2004) menekankan pada aspek Waktu dan sampel maka  Gershgoren (2006) lebih menekankan pada perangkat statistiknya:

In the event–induced variance literature, the possibility that a change in return variance in the event period can cause a standard t-test to be misspecified is recognized. Proposed remedies deal with correcting the standard t-test, rather than testing also for a change in return variance. The correction been done by using cross-sectional (Charest, 1978) or standardized cross-sectional (Boehmer, Musumeci, and Poulsen, 1991) estimates for the returns variance on the event day. Unfortunately, using these cross-sectional estimates also presents difficulties. For example, the cross-sectional estimate is appropriate only under the assumption that the cross-sectional abnormal returns on the event day come from the same distribution. The standardized cross-sectional estimate is better because it controls for differences in normal return volatilities across assets, but it is still valid only when the shift in a firm’s returns variance on the event day is proportional to the variance of the idiosyncratic component of the firm’s in the estimation period.

Aspek dari penambahan informasi selang periode analisis juga dapat meningkatkan variance seperti yang diungkapkan oleh Gershgoren (2006),

To see this, think of an event as the arrival of new information. This information may on average be positive (good news) or negative (bad news). There could instead just be “more” information on the event day, and this additional information could increase return variance. Finally, both mean returns and variance could be affected.

Hasil analisis event study juga akan berbeda ketika penelitian dilakukan pada kondisi pasar yang bear dan bull market. Klein and Rosenfeld (1987) berpendapat :

 this paper evidence that the mean-adjusted returns and raw-market returns models are misspecified when the event under investigation occurs during either bull or bear market.  When the event occurs during a bull (bear) market , both the mean-adjusted and raw market return models produce upwardly (downwardly) biased positive (negative) abnormal return.

Hal senada juga disampaikan oleh Klein and Rosenfeld (1987), these findings suggest that for events such as new equity offerings and mergers, which tend to be concentrated in bull market periods, the performance measuring techniques should be restricted to the more traditional market-adjusted methods.

2.4.        Proses analisis Event Study

Untuk proses analisis event study dapat ditempuh dengan beberapa tahap. Menurut Chu (2004), the process of testing the possible security reaction to announcements or events generally involves the following :

1.              Identifying the event to be studied. Each study originates with the desire to investigate the economic impact of event generated new information. A sample of firms experiencing the event must be collected and verified. An important task in this step is to identify date of events. Event dates will be dependent upon when the new information can be reasonably expected to reach the market. Previous literatures often resort to periodicals such as the Wall Street Journal and associated indexes. However, as noted by Glascock, Davidson and Henderson (1987), this source is necessary but may not be sufficient, as wire services (e.g. Dow Jones News Wire) will often precede periodicals and provide additional source of information.

2.             Specifying a normal return generating process. This step adjusts the affected firm's stock return for changes in general market conditions. The adjustment is necessary, because firms within the sample experience the event across time periods, and removal of the market effects permits event-induced effects in different market conditions to be comparable. A return generating process estimated from pre-event period will be used to predict return that is expected (i.e. expected returns) to occur in the absence of the event around the date of the event. Commonly suggested processes include:

·                      mean adjusted return —expected return is simply the mean of the returns from the estimation period

·                      market adjusted return —expected return for the firm is the return of the market itself

·                      risk adjusted return —expected return is a function of common risk factors

3.        Calculating the abnormal returns. Event induced return (i.e. event period abnormal
return or more commonly, abnormal return)² is defined as the difference between actual and expected return. Findings of statistically significant abnormal returns around the event period indicate the event may have taken place. The absence of abnormal returns, however, will lead to a failure to reject the null hypothesis that no event has emerged.

4.        Examining the statistical hypothesis. Abnormal returns around event date are regressed
upon variables that are hypothesized to determine the event's influence. Test statistics will be applied to determine if the variables have significant influence as hypothesized.