THE ROLE OF UNDERPRICING IN STOCK RETURN DETERMINANTS

Abstract This study is intended to conduct an analysis and answer the presence of research gaps that occur among researchers as well as the phenomena that occur where stock returns as a problem that needs to be carried out using underpricing as an intervening variable. This type of research is a quantitative descriptive with multiple regression analysis methods that use the object of research companies that conduct initial public offering (IPOS) with underpricing results listed in the Indonesia Stock Exchange. By using the Purposive Sampling method obtained the number of cross sections as many as thirty-five companies that were observed in this study and with time series for 5 years. Furthermore, this study produced a maximization of stock returns through underpricing. This study uses the approach of two research models that are integrated into one and each through the stages of the model selection test, namely the Chow Test, the Hausman Test. The results of research in the first model that uses the endogenous undergenating variable with the results of all exogenous variables can significantly explain their effect on the endogenic variable and with the highest level of sensitivity in the earnings management variable. The results of the second model research using stock return as an endogenous variable with the result that all exogenous variables can also explain their effect significantly on the endogenic variable and with the highest level of sensitivity in the underpricing variable. These results are expected to help as a guideline for public companies to get market appreciation that is proxied into stock returns.