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Equity Market Timing and Capital Structure: Evidence from Indonesia Stock Exchange

Sasha Dhita, Noer Azam Achsani, Roy Sembel, Sugeng Purwanto


Abstract. It is commonly known that companies issue equity when the market values are high and repurchase when the market values are low. Using the yearly financial statements from 2001 until 2015, with the exclusion of 2008, for 136 non-financial companies listed on the Indonesia Stock Exchange (IDX), this study analyzed the existence of equity market timing with the consideration of equity and debt market variables using an econometric approach of panel data regression. This study adopted net equity issues as dependent variable. For the independent variables, this study adopted variables that reflect equity market condition: price-to-book value, market, profitability, and debt market variable that is interest rate. This study found that the variable affecting the net equity issues is profitability, while price-to-book value, market, and interest are not found to have a significant relationship with net equity issues. This shall imply that the companies issue external equity when the companies' profitability is good regardless of the valuation, and high interest rate. The findings of this study supported the existence of equity market timing shown by the significant relationship between variable profitability and net equity issues.

Keywords: Capital structure, equity market timing, Indonesia, net equity issues, non-financial companies.

Abstrak. Perusahaan menerbitkan ekuitas ketika nilai pasar tinggi dan dibeli kembali ketika nilai pasar rendah. Dengan menggunakan data laporan keuangan tahunan perusahaan dari tahun 2001 sampai dengan 2015, dengan pengecualian tahun 2008, untuk 136 perusahaan non-keuangan yang terdaftar di Bursa Efek Indonesia (BEI), penelitian ini menganalisis adanya equity market timing dengan mempertimbangkan variabel pasar ekuitas dan hutang dengan menggunakan model ekonometrik, yakni regresi data panel. Untuk peubah respon (dependent variable), penelitian ini menggunakan net equity issues, sedangkan untuk peubah penjelas (independent variables), penelitian ini menggunakan variabel yang mencerminkan kondisi pasar ekuitas: price-to-book value, market, profitability, dan variabel pasar utang yaitu interest. Hasil penelitian menunjukkan bahwa variabel yang mempengaruhi net equity issues adalah profitability, sedangkan price-to-book value, market dan interest tidak memiliki hubungan yang signifikan dengan net equity issues. Hal ini menunjukkan bahwa perusahaan menerbitkan ekuitas eksternal pada saat kondisi profitabilitas perusahaan dalam keadaan baik, terlepas dari nilai valuasi, dan tingkat bunga yang tinggi. Hasil penelitian ini mendukung adanya equity market timing yang dibuktikan oleh hubungan signifikan antara variabel profitability terhadap net equity issues.

Kata kunci: Equity market timing, Indonesia, Net equity issues, Perusahaan non-keuangan, Struktur modal.


Capital structure; Equity market timing; Indonesia; Non-financial companies.

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