Post-IPO Stock Price Performance Analysis from an Information Asymmetry Perspective on the Indonesia Stock Exchange (2022-2025)

Devid Saputra; Ilham Mendrofa; Ramdan Budiawan

doi:10.55681/economina.v5i5.2341

Authors

Devid Saputra Sekolah Bisnis IPB University
Ilham Mendrofa Sekolah Bisnis IPB University
Ramdan Budiawan Sekolah Bisnis IPB University

DOI:

https://doi.org/10.55681/economina.v5i5.2341

Keywords:

Initial Public Offering (IPO), underpricing, initial return, information asymmetry, long-run underperformance, Indonesia Stock Exchange

Abstract

The phenomenon of underpricing in initial public offerings (IPOs), where the offering price is systematically set below market value, has become a documented anomaly across global capital markets. This study aims to analyze post-IPO stock price performance on the Indonesia Stock Exchange (IDX) from January 2022 to March 2025 from an information asymmetry perspective, identify the determinants of underpricing, and test the long-run underperformance hypothesis in the context of post-pandemic emerging markets.

The study used data from 190 IPO companies on the Indonesia Stock Exchange (IDX) between 2022 and 2025, raising a total of IDR 107.5 trillion. Stock performance was measured over five time horizons: 1 day, 1 week, 1 month, 6 months, and 1 year post-listing. Three proxies for information asymmetry were used as independent variables: the natural logarithm of the IPO price (Ln_P0), the natural logarithm of funds raised (Ln_Dana), and the number of underwriters (N_UW). The study constructed the AI Index as a composite measure of information asymmetry based on Min-Max normalization. Analytical methods included a one-sample t-test, a non-parametric Friedman test with post-hoc Wilcoxon rank sum, and multivariate Ordinary Least Squares (OLS) regression with IPO year and quarter as control variables. First, underpricing is significantly proven with an average initial return of 15.93% [t(189) = 12.90, p < 0.001, 95% CI: 13.51%-18.35%]. Second, there is a very significant difference in performance between time horizons [Friedman chi-square(4) = 79.84, p < 0.001], with a median return pattern decreasing from +15.00% (1 day) to -22.50% (1 year). Third, the OLS regression model for 1D Return is significant [F(8,181) = 2.617, p = 0.010, R² = 10.4%]: Ln IPO Price has a negative effect (beta = -0.064, p = 0.007); Ln Funds has a positive effect on IR (beta = +0.054, p = 0.002) and 1Y Return (beta = +0.703, p = 0.029); The number of underwriters has a significant negative effect (beta = -0.024, p = 0.019). Fourth, the long-run underperformance hypothesis is not proven based on the mean (+44.01%), but is supported at the median level (median 1Y = -22.50%), indicating that the majority of IPO shares experience losses within 1 year after listing. The study confirms the validity of the Rock's Winner's Curse Model in the Indonesian capital market and identifies a demand-side effect operating in parallel with the information asymmetry mechanism, where large-scale IPOs generate higher initial returns through oversubscription. The extreme divergence between the mean and median 1-Year Returns underscores the importance of comprehensive distribution analysis in IPO performance research. Practical implications include horizon-based investment strategy guidance for investors, pricing optimization recommendations for issuers and underwriters, and price discovery policy reform recommendations for the Financial Services Authority (OJK) and the Indonesian Stock Exchange (IDX).

Downloads

Download data is not yet available.

References

Abdi, S. J. (2023). A Comprehensive Guide for Selecting Appropriate Statistical Tests: Understanding When to Use Parametric and Nonparametric Tests. Open Journal of Statistics, 13(04), 464–474. https://doi.org/10.4236/ojs.2023.134023

Allen, F., & Faulhaber, G. R. (1989). Signalling by underpricing in the IPO market. Journal of Financial Economics, 23(2), 303–323. https://doi.org/10.1016/0304-405X(89)90060-3

Baker, M., & Wurgler, J. (2006). Investor Sentiment and the Cross‐Section of Stock Returns. The Journal of Finance, 61(4), 1645–1680. https://doi.org/10.1111/j.1540-6261.2006.00885.x

Baron, D. P. (1982). A Model of the Demand for Investment Banking Advising and Distribution Services for New Issues. The Journal of Finance, 37(4), 955–976. https://doi.org/10.1111/j.1540-6261.1982.tb03591.x

Bavachan, K. W., & Muthu Gopala Krishnan, M. (2024). Unveiling the Dynamics of Initial Public Offerings: A Comprehensive Review of IPO Pricing, Performance, and Market Trends. In R. El Khoury (Ed.), Anticipating Future Business Trends: Navigating Artificial Intelligence Innovations (Vol. 536, pp. 487–498). Springer Nature Switzerland. https://doi.org/10.1007/978-3-031-63402-4_41

Beatty, R. P., & Ritter, J. R. (1986). Investment banking, reputation, and the underpricing of initial public offerings. Journal of Financial Economics, 15(1–2), 213–232. https://doi.org/10.1016/0304-405X(86)90055-3

Benveniste, L. M., & Spindt, P. A. (1989). How investment bankers determine the offer price and allocation of new issues. Journal of Financial Economics, 24(2), 343–361. https://doi.org/10.1016/0304-405X(89)90051-2

Booth, J. R., & Smith, R. L. (1986). Capital raising, underwriting and the certification hypothesis. Journal of Financial Economics, 15(1–2), 261–281. https://doi.org/10.1016/0304-405X(86)90057-7

Boulton, T. J. (2022). Economic policy uncertainty and international IPO underpricing. Journal of International Financial Markets, Institutions and Money, 81, 101689. https://doi.org/10.1016/j.intfin.2022.101689

Brav, A., & Gompers, P. A. (1997). Myth or Reality? The Long‐Run Underperformance of Initial Public Offerings: Evidence from Venture and Nonventure Capital‐Backed Companies. The Journal of Finance, 52(5), 1791–1821. https://doi.org/10.1111/j.1540-6261.1997.tb02742.x

Bulman, J. S., & Osborn, J. F. (1989). Descriptive statistics. British Dental Journal, 166(2), 51–54. https://doi.org/10.1038/sj.bdj.4806708

Calomiris, C. W., Izhakian, Y., & Zender, J. F. (2022). Underwriter Reputation, Issuer–Underwriter Matching, and SEO Performance. Journal of Financial and Quantitative Analysis, 57(6), 2444–2483. https://doi.org/10.1017/S002210902100065X

Carter, R. B., Dark, F. H., & Singh, A. K. (1998). Underwriter Reputation, Initial Returns, and the Long‐Run Performance of IPO Stocks. The Journal of Finance, 53(1), 285–311. https://doi.org/10.1111/0022-1082.104624

Carter, R., & Manaster, S. (1990). Initial Public Offerings and Underwriter Reputation. The Journal of Finance, 45(4), 1045–1067. https://doi.org/10.1111/j.1540-6261.1990.tb02426.x

Colak, G., Habimana, T., & Korkeamäki, T. (2025). The effects of government debt on corporate borrowing in developing economies: Evidence from Africa. Journal of International Business Studies, 56(7), 874–900. https://doi.org/10.1057/s41267-025-00791-1

Endri, E., Fauzi, F., & Effendi, M. S. (2024). Integration of the Indonesian Stock Market with Eight Major Trading Partners’ Stock Markets. Economies, 12(12), 350. https://doi.org/10.3390/economies12120350

Fama, E. F. (1997). Market Efficiency, Long-Term Returns, and Behavioral Finance. SSRN Electronic Journal. https://doi.org/10.2139/ssrn.15108

Fernando, C. S., Krishnamurthy, S., & Spindt, P. A. (2004). Are share price levels informative? Evidence from the ownership, pricing, turnover and performance of IPO firms. Journal of Financial Markets, 7(4), 377–403. https://doi.org/10.1016/j.finmar.2004.01.001

Field, L. C., & Lowry, M. (2009). Institutional versus Individual Investment in IPOs: The Importance of Firm Fundamentals. Journal of Financial and Quantitative Analysis, 44(3), 489–516. https://doi.org/10.1017/S0022109009990032

Firmino De Oliveira, C. H., Rodrigues, C. L., & Jucá, M. N. (2023). Determinants of IPO´s underpricing: A systematic review. Contemporary Economics, 17(3), 252–274. https://doi.org/10.5709/ce.1897-9254.509

From, A., & Grønkjær, M. B. (2024). Evaluating Long-Term Performance on Underpriced IPOs.

Gani, R., Masjhur, M. A. R., Ishak, O., Yakup, A. P., & Polapa, L. (2026). The Effect of Audit Committee and Board Independence in Determining Firm Value: Evidence from Maritime Companies in Indonesia. Jurnal Ilmiah Manajemen Kesatuan, 14(1), 733–744. https://doi.org/10.37641/jimkes.v14i1.4742

Grinblatt, M., & Hwang, C. Y. (1989). Signalling and the Pricing of New Issues. The Journal of Finance, 44(2), 393–420. https://doi.org/10.1111/j.1540-6261.1989.tb05063.x

Hendrawan, I. P. S., & Utama, C. A. (2024). Do executive facial trustworthiness have impact on IPO underpricing in the Indonesia stock exchange? Review of Behavioral Finance, 16(6), 1059–1086. https://doi.org/10.1108/RBF-12-2023-0327

Ibbotson, R. G., & Jaffe, J. F. (1975). “HOT ISSUE” MARKETS. The Journal of Finance, 30(4), 1027–1042. https://doi.org/10.1111/j.1540-6261.1975.tb01019.x

IDX. (2026). Kinerja Saham Tercatat Baru. Kinerja Saham Tercatat Baru. https://www.idx.co.id/

Johnson, J. M., & Miller, R. E. (1988). Investment Banker Prestige and the Underpricing of Initial Public Offerings. Financial Management, 17(2), 19. https://doi.org/10.2307/3665523

Joshipura, M., Mathur, S., & Gwalani, H. (2023). Decrypting IPO pricing: An integrated bibliometric and content analysis approach. Managerial Finance, 49(1), 135–162. https://doi.org/10.1108/MF-06-2022-0293

Kristiantari, I. D. A. (2013). Analisis faktor-faktor yang mempengaruhi underpricing saham pada penawaran saham perdana di Bursa Efek Indonesia. Jurnal Ilmiah Akuntansi Dan Humanika, 2(2).

Lefebvre, V. (2023). The growth process of IPO firms. Journal of Business Venturing Insights, 19, e00377. https://doi.org/10.1016/j.jbvi.2023.e00377

Ljungqvist, A. (2007). IPO Underpricing**Thanks for helpful comments go to Martijn Cremers, Espen Eckbo, Roger Edelen, David Goldreich, Tim Jenkinson, Ron Masulis, Jay Ritter, Ann Sherman, Seha Tinic, and William J. Wilhelm. In Handbook of Empirical Corporate Finance (pp. 375–422). Elsevier. https://doi.org/10.1016/B978-0-444-53265-7.50021-4

Loughran, T., & Ritter, J. R. (1995). The New Issues Puzzle. The Journal of Finance, 50(1), 23–51. https://doi.org/10.1111/j.1540-6261.1995.tb05166.x

Loughran, T., & Ritter, J. R. (2002). Why Has IPO Underpricing Changed Over Time? SSRN Electronic Journal. https://doi.org/10.2139/ssrn.331780

Lyandres, E., Sun, L., & Zhang, L. (2008). The New Issues Puzzle: Testing the Investment-Based Explanation. Review of Financial Studies, 21(6), 2825–2855. https://doi.org/10.1093/rfs/hhm058

Majhi, S. (2025). Signalling Quality Through Underpricing: A Bayesian Game-Theoretic Analysis of Indian Startup IPOs (2020-2024). SSRN. https://doi.org/10.2139/ssrn.5386432

Maksimović, J., & Evtimov, J. (2023). Positivism and post-positivism as the basis of quantitative research in pedagogy. Research in Pedagogy, 13(1), 208–218. https://doi.org/10.5937/IstrPed2301208M

Megaravalli, A. V. (2023). Initial public offering: A critical review of literature. Qualitative Research in Financial Markets, 15(2), 385–411. https://doi.org/10.1108/QRFM-11-2021-0190

Megginson, W. L., & Weiss, K. A. (1991). Venture Capitalist Certification in Initial Public Offerings. The Journal of Finance, 46(3), 879–903. https://doi.org/10.1111/j.1540-6261.1991.tb03770.x

Michaely, R., & Shaw, W. H. (1994). The Pricing of Initial Public Offerings: Tests of Adverse-Selection and Signaling Theories. Review of Financial Studies, 7(2), 279–319. https://doi.org/10.1093/rfs/7.2.279

Mladenovski, B. (2025). INTERNATIONAL FINANCIAL SYSTEM AND CAPITAL MARKETS: A BRIEF OVERVIEW. SCIENCE International Journal, 2(3), 105–111. https://doi.org/10.35120/sciencej0203105m

Moral De La Rubia, J. (2025). Refined Normality Test Based on the Parametric Seven-Number Summary. İstatistik ve Uygulamalı Bilimler Dergisi, (11), 1–39. https://doi.org/10.52693/jsas.1670945

Narang, S., & Pradhan, R. P. (2026). Underwriter network centrality and IPO outcomes: Evidence from India. International Journal of Managerial Finance, 1–21. https://doi.org/10.1108/IJMF-03-2025-0112

Otoritas Jasa Keuangan. (2017). POJK Nomor 53/POJK.04/2017. Otoritas Jasa Keuangan. https://ojk.go.id/id/kanal/pasar-modal/regulasi/peraturan-ojk/Pages/POJK-Nomor-53-POJK.04-2017.aspx

Pagano, M., Panetta, F., & Zingales, L. (1998). Why Do Companies Go Public? An Empirical Analysis. The Journal of Finance, 53(1), 27–64. https://doi.org/10.1111/0022-1082.25448

Pelawi, J. B., & Pelawi, R. Y. (2023). Information asymmetry, corporate governance, and IPO underpricing: Evidence in Indonesia. Jurnal Ekonomi Dan Bisnis, 26(2), 289–312.

Pretorius, L. (2024). Demystifying Research Paradigms: Navigating Ontology, Epistemology, and Axiology in Research. The Qualitative Report. https://doi.org/10.46743/2160-3715/2024.7632

Ritter, J. R. (1984). The “Hot Issue” Market of 1980. The Journal of Business, 57(2), 215. https://doi.org/10.1086/296260

Ritter, J. R. (1991). The Long‐Run Performance of initial Public Offerings. The Journal of Finance, 46(1), 3–27. https://doi.org/10.1111/j.1540-6261.1991.tb03743.x

Ritter, J. R., & Welch, I. (2002). A Review of IPO Activity, Pricing, and Allocations. The Journal of Finance, 57(4), 1795–1828. https://doi.org/10.1111/1540-6261.00478

Rock, K. (1986). Why new issues are underpriced. Journal of Financial Economics, 15(1–2), 187–212. https://doi.org/10.1016/0304-405X(86)90054-1

Shiller, R. J. (1990). Speculative Prices and Popular Models. Journal of Economic Perspectives, 4(2), 55–65. https://doi.org/10.1257/jep.4.2.55

Smith, G. (2015). Descriptive Statistics. In Essential Statistics, Regression, and Econometrics (pp. 71–98). Elsevier. https://doi.org/10.1016/B978-0-12-803459-0.00003-0

Sonu, C. H. (2022). Information quality and IPO underpricing: The role of underwriter pricing and allocation powers. Pacific-Basin Finance Journal, 75, 101853. https://doi.org/10.1016/j.pacfin.2022.101853

Tian, L. (2011). Regulatory underpricing: Determinants of Chinese extreme IPO returns. Journal of Empirical Finance, 18(1), 78–90. https://doi.org/10.1016/j.jempfin.2010.10.004

Welch, I. (1989). Seasoned Offerings, Imitation Costs, and the Underpricing of Initial Public Offerings. The Journal of Finance, 44(2), 421–449. https://doi.org/10.1111/j.1540-6261.1989.tb05064.x

Worang, G. C. (2026). An Empirical Study of Cross-Sectional Stock Returns of Banks Listed on the Indonesia Stock Exchange: Testing Market Beta, Market Return, Market-based and Bank-Specific Characteristics (2020-2024).

Wu, Y., An, H., & Guo, Y. (2025). The impact of underwriter reputation on corporate financing costs under the bond registration system reform. Finance Research Letters, 77, 107086. https://doi.org/10.1016/j.frl.2025.107086

Wu, Y.-L., Yan, H., Xu, H., & Xu, W. (2026). Repairing the Broken Windows: The Securities Law Revision and the Governance Role of Underwriter Reputation. SSRN. https://doi.org/10.2139/ssrn.6345119

Yolana, C., & Martani, D. (2005). Variabel-variabel yang mempengaruhi fenomena underpricing pada penawaran saham perdana di BEJ tahun 1994-2001. Simposium Nasional Akutansi VII Solo, 15–16.

Zumitzavan, V. (2025). Hypotheses Development. In V. Zumitzavan, Social Science Methodologies for Management Research (pp. 97–107). Springer Nature Singapore. https://doi.org/10.1007/978-981-95-4318-2_7