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All Journal Jurnal Manajemen Teknologi Journal of Business and Management The Indonesian Journal of Business Administration The Asian Journal of Technology Management (AJTM)
Budhi Arta Surya
School Of Business And Management, Institut Teknologi Bandung, Indonesia
Computer Science & IT Decision Sciences, Operations Research & Management

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Implication of Right Issue Cum and Ex-Date Announcement to the Stock Return(Empirical Study on Indonesia Stock Exchange Period: 2009-2012) Sugiana, Bilfian; Surya, Budhi Arta
The Indonesian Journal of Business Administration Vol 2, No 12 (2013)
Publisher : The Indonesian Journal of Business Administration

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Abstract

Rights issue is one of corporate actions conducted by the company in order to increase the new funds through issuance of new shares. The common purposes from issuing right issue are to improve company’s capital structure in pursuance of expanding their business as well as meet the need for a new stream of funds in terms of the debt repayment. Therefore, right issue is a signal that may be good or bad news for investor’s investment decision depending on the company’s objectives. This study aimed to test market efficiency by analyzing the right issue cum and ex-date event in Indonesia Stock Exchange. The object of this research is the content of information by observing changes in stock prices and return around observation period. To examine the object, the populations used in this study are all publicly traded companies in the Indonesian Stock Exchange (IDX) which are performed corporate action in right issue during 2009-2012 periods. The period consisting 74 events of right issues captured in the 30-days of observation. Scopes of the research covers the analysis using the event study conducted to capture market reaction reflected by the changes of abnormal return. The estimation used to test information content which implicated to the stocks return by the events in order to test the semistrong form of market efficiency using form of public information available as an object of study and selecting performance of stock that generates the best return during the event using Jensen’s Rules analysis. In the further analysis of the market reaction, company is divided into two categories which are growing and not growing companies conducted by proxy investment opportunity set (IOS) MVE/BVE. From the analysis shows that the market reacted negatively before and after the event both for growing and not growing companies by its significant abnormal return.  Keywords: Right issue, Ex-date event, Abnormal Return, Event Study, Market Efficiency, Investment Opportunity Set (IOS) MVE/BVE, Jensen’s Rule. 
Application of Value at Risk for Managing Portfolio Currencies of Transaction Exposure: A Case Study of Trade Payables in PT. United Tractors, Tbk. Fiksriyoso, Nisham; Surya, Budhi Arta
The Indonesian Journal of Business Administration Vol 2, No 8 (2013)
Publisher : The Indonesian Journal of Business Administration

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United Tractors has some trade payables to foreign related parties in various currencies at certain maturity. United Tractors has potential downside risk in facing unfavorable movement of the foreign exchange rates. The currencies are United States Dollar (USD), Japanese Yen (JPY), Euro (EUR), Australian Dollar  (AUD) and Singapore Dollar (SGD), while the Company use Indonesian Rupiah (IDR) as the entity’s functional currency. In 2011, one of subsidiaries recorded 3.6 billion IDR losses in the other comprehensive expense (derivatives). Topic of final project is concern on transaction exposure arising from trade payables regardless of what payables are being and how much units to transact. This research aims to apply and compare three approaches to VAR methodology. Delta-Normal method use Variance-Covariance to compute portfolio VAR. Historical Simulation use hypothetical values taken from historical data to obtain profit/loss distribution. Monte Carlo Simulation also provides profit/loss distribution. This method implements Itô’s lemma to accomplish lognormal distribution and Cholesky factorization to solve multiple sources of risk. FX-Forward rate calculation is corresponding to each interest risk free rate of exchange rates. Based on calculation, United Tractors should hedge all units of transaction exposure in shorter period by also considering the hedging cost. The Company may implement Monte Carlo Simulation accomplished by Itô’s lemma and Cholesky factorization to measure foreign exchange risk using VAR method.  Keywords: Transaction Exposure, Value at Risk, Delta-Normal, Historical Simulation, Monte Carlo Simulation, Itô’s lemma, Cholesky Factorization.
Term Structure of Credit Spreads of A Firm When Its Underlying Assets are Discontinuous Surya, Budhi Arta
The Asian Journal of Technology Management (AJTM) Vol 3, No 2 (2010)
Publisher : School of Business and Management Institut Teknologi Bandung

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Abstract

We revisit the previous works of Leland [12], Leland and Toft [11] andHilberink and Rogers [7] on optimal capital structure and show that thecredit spreads of short-maturity corporate bonds can have nonzero valueswhen the underlying of the firm’s assets value has downward jumps. We givean analytical treatment of this fact under a general Levy process and discusssome numerical examples under pure jump processes.Keywords: Optimal capital structure, credit risk, term structure of creditspread
Co-Authors Adam Ultra Sjahbunan Adrian Munich Aliananda Lubis Bilfian Sugiana Dwi Kurnia Putri Gita Denaya Rizkianto Halley Miraj Danar, Halley Miraj Ikhsan Armand Muhammad Mulham Anugrah Mubarak Nasha Pinasthika Nisham Fiksriyoso Teguh Gunawan Nasher