THE VALUATION OF INITIAL SHARE PRICE USING THE FREE CASH FLOW TO FIRM METHOD AND THE REAL OPTION METHOD IN INDONESIA STOCK EXCHANGE

Abstract

The purposes of this study were to determine fair share value, to analyze the factors that influence undervalue and overvalue, and to determine the best valuation method. This study made valuation using real options method and free cash flow to firm method. The results of partial logistic regression on Free Cash Flow to Firm showed that tenor variable and equity variable had positive and significant effects, while dummy variable had a negative and significant effect. In the real option model, tenor variable and implied volatility variable had positive and significant effects, while sheets of share variable had a negative and significant effect Abstrak Tujuan dari penelitian ini adalah menentukan nilai harga wajar saham emiten, menganalisis faktor yang menentukan undervalue dan overvalue serta menentukan metode valuasi terbaik. Penelitian ini menggunakan valuasi harga saham dengan metode real option dan free cash flow to firm. Hasil regresi logistik pada FCFF secara parsial, variabel tenor dan ekuitas berpengaruh positif dan signifikan, sedangkan variabel dummy berpengaruh negatif dan signifikan. Pada model real option, variabel tenor dan implied volatility berpengaruh positif dan signifikan, sedangkan variabel lembar saham berpengaruh negatif dan signifikan.