IPO PRICING MODEL AT THE JAKARTA STOCK EXCHANGE USING REAL OPTION METHOD

(Model Penentuan Harga IPO di Bursa Efek Jakarta dengan Menggunakan Metode Real Option)
Hakiman, 2005, Universitas Padjajaran

Abstract
Undervalue Phenomena of IPO has common in the stock market around the world also in Jakarta Stock Exchange (BEJ). Data's from 1996 to June 2004 shows that there were 147 new emitent with 72.72% were undervalue. 11.88% overvalue, and 15.4% at price on the closing of the first trading day, On the closing of the 30th trading day the stock prices became 73.42% undervalue, 21.69% overvalue and 4.89% constant.

Many research and theories have been emerged, but unfortunately no research on determining the IPO price using the Option Method has been done.

This research applies the Real Option model based on the Black and Scholes equation and simultaneously uses the implied volatility model to calculate the price of the variant. The result is deviation of the Real Option Model to actual price less than the Traditional model, which shows that the Real Option Model is more accurate than the Traditional Model.

This research also develop an equation to predict the shares price after IPO, whether it will go to the state of being undervalued or overvalued. The logistics equation with the independent variable is equal to the option variable from the Black and Scholes equation. To increase the accuracy of the prediction model the variable Public is added. The Prediction model can predict 71% prices after IPO.

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