PREDIKSI HARGA SAHAM METODE REAL OPTION PADA PERUSAHAAN YANG MELAKUKAN IPO DI BEJ TAHUN 2001 – BULAN JULI 2007

Tinawati, Agus (2008) PREDIKSI HARGA SAHAM METODE REAL OPTION PADA PERUSAHAAN YANG MELAKUKAN IPO DI BEJ TAHUN 2001 – BULAN JULI 2007. Other thesis, University of Muhammadiyah Malang.

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Abstract

The investor is able to use the real option stock price prediction for knowing the value of stock price. Kinds of prediction model that is used to predict the stock price such as Discounted Cash Flow (DCF), Relative Valuation (Theory of PER), and the last is Option Price. Option is used to hedging from the stock price which is tend to overvalue when listing in BEJ. Option, is giving the right for the owner for to do the right or not. It is divided into two, call option an put option. Based on its use, the option itself is divided into American and European Option. In addition there are two models to predict the option, Binomial Option Pricing Model, and Black scholes Model. To predict the stock price in a company which is use IPO, the researcher using Black and Scholes model option by using European option. The result of prediction above shows that the intrinsically stock price in this option is execution price, whereas the income price validity is the actual stock price (stock price market). The prediction of RO (Real Option) stock price will be determined by undervalue or overvalue based on the comparison to actual stock price. Based on the purpose of research, the writer using terapan method and correlationer. The purpose of the research: 1). Comparing the rate of prediction of stock price RO method to the stock price on the first day to the 300th days listing in BEJ (before change the name become BEI); 2). Knowing when the free variable directly affect the stock price postulate prediction; 3). Finding out the influence of free variable in a partial to the prediction method. It is also establish the variable that have a role as dominant and solution variable. The technique of analysis that is use to analyze is devise standard, binary logit regression analysis with odds ratio test and probability test. The result of the research shows that: 1). Stock price prediction method Real Option is good to predict the stock price in 15th days up to 30th days listing; 2). Based on the free variable, parameter analysis Cox and Snell R square and Negelkerke R square influence in 30th days listing; 3). And the most dominant variable in 30th days listing is JIBOR variable. The solution of variable is JIBOR, volatility and tenor. JIBOR variable is the most dominant one in predict the stock price because of its biggest odds ratio value. Based on the conclusion a bove, the writer of this thesis comes to a view of implication. It is a common thing that an investor does not only predict a method of stock price without paying attention of some important factors, such as internal or external factors.

Item Type: Thesis (Other)
Subjects: H Social Sciences > H Social Sciences (General)
Divisions: Faculty of Economic > Department of Management
Depositing User: Rayi Tegar Pamungkas
Date Deposited: 12 Jun 2012 03:06
Last Modified: 12 Jun 2012 03:06
URI: http://eprints.umm.ac.id/id/eprint/7217

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