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All Journal Gadjah Mada International Journal of Business Journal of Indonesian Economy and Business
R. Agus Sartono
Universitas Gadjah Mada
Economics, Econometrics & Finance

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AN EMPIRICAL EXAMINATION OF THE DIVIDEND INFORMATION CONTENTS IN THE BALANCE SHEET: A Signaling Approach* Sartono, R. Agus; Sri Asih, Anna Maria
Gadjah Mada International Journal of Business Vol 4, No 3 (2002): September-December
Publisher : Master of Management, Faculty of Economics and Business, Universitas Gadjah Mada

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Abstract

This study examines whether the changes in the financial statements and dividends can together provide a better information transmittal system to deliver missing private information on the firm using Indonesian firms as the sample. In doing so, this study consider three components in evaluating the dividend signaling theory: the expected content favorableness, the sign of dividend change, and the role of dividend signal. Thefinding shows that in Indonesia, the market reactions to the dividend announcements depend on the role of dividend signals, whether it is confirmatory, clarificatory, or unclear. The other finding shows that this market is more concern to the content expected favorableness rather than to the dividend sign.
The Existence of Equilibrium Asset Price Under Diverse Information Sartono, R. Agus
Gadjah Mada International Journal of Business Vol 7, No 3 (2005): September-December
Publisher : Master of Management, Faculty of Economics and Business, Universitas Gadjah Mada

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Abstract

We investigate the effects of diverse information on the price of risky assets in rational expectation model. The expected cash flows innovation is considered as private information where informed trader knows it. It is assumed that the high informed trader has smaller variance error regarding the cash flows innovation than the low informed trader and uninformed traders. We found that the cash flow innovation influences the demand of informed trader. The market depth is a linear function of the demand of uninformed trader and weighted average of total variance error of information. Our finding supports previous research done by Spiegel and Subrahmanyam (1992).Our model shows that the more diverse the information, the higher the lambda coefficient which means the market becomes less liquid. The models consistent with Miller (1977) who found that the bigger the gap of private information is, the less liquid the market will be. If both informed traders have the same information they will demand the same amount of risky asset and it turns out to be similar as in the Kyle (1985) model.
TRADING BEHAVIOR AND ASSET PRICING UNDER HETEROGENEOUS EXPECTATIONS Sartono, R. Agus
Gadjah Mada International Journal of Business Vol 7, No 1 (2005): January-April
Publisher : Master of Management, Faculty of Economics and Business, Universitas Gadjah Mada

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This research models trading behavior and examines the impact of heterogeneous expectations on asset prices. We extend Kyle’s (1985) one-period model to two-period model. The model shows that the informed trader takes into account not only the private information but also the pricing function. The price is an increasing function of the volatility of the asset value and decreasing in the volatility of uninformed traders’ demand. The costly information acquisition has an impact on the optimum demand but it has no direct impact on the price.We find the market depth is a linear function of the volatility of the uninformed traders and a weighted average of the total error variance of information. The depth is also decreasing in the volatility of the cash flow innovations. This argument is in line with the second finding, when the volatility of cash flow innovations increases, the value of risky asset becomes more volatile, and as a result the bigger are the advantages of having private information. Our research raises some questions for further investigation. We indirectly assume that the informed traders make a profit at the expense on the uninformed traders. The question is why the uninformed traders willing to face losses? What happen if there are n informed traders who have diverse information?
ASYMMETRIC INFORMATION IN THE IPO UNDERWRITING PROCESS ON THE INDONESIA STOCK EXCHANGE: PRICING, INITIAL ALLOCATION, UNDERPRICING, AND PRICE STABILIZATION Utamaningsih, Arni; Tandelilin, Eduardus; Husnan, Suad; Sartono, R. Agus
Journal of Indonesian Economy and Business Vol 28, No 3 (2013): September
Publisher : Journal of Indonesian Economy and Business

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Abstract

This study examines the IPO trading based on asymmetric information among heterogeneousinvestors. An underwriter plays an active role in the process of the IPO where underpricing is acentral issue. The underwriter(s) manages the IPO trading by determining the offered pricerange and a discriminatory treatment between institutional and individual investors. Theunderwriter prioritizes institutional investors, especially when they show strong buying interestsat the time of book building. The results prove that underpricing is higher when the IPO pricingis closer to the upper limit of the price range. We find that underpricing is higher when the allocationof shares to institutional investors is larger.Keywords: asymmetric information, underpricing, IPO allocation, IPO pricing, price stabilization,excess return
Co-Authors Anna Maria Sri Asih Arni Utamaningsih Eduardus Tandelilin Suad Husnan