Peer-Reviewed Article

Jurnal Keuangan dan Perbankan

Volume 25, Issue 1 2021, page. 132 - 143
ISSN: 1410-8089 (Print), 2443-2687 (Online)
DOI: https://doi.org/10.26905/jkdp.v25i1.5137
DOI:

IPO Performance Prediction during Covid-19

Pandemic in Indonesian Using Decision Tree
Algorithm
Arianto Muditomo1*, Ajar Susanto Broto2
1,2School of Business, IPB University, Indonesia
*Corresponding Author: [email protected]

Abstract
The purpose of this study was to explain the IPO underpricing phenomenon and to find
out whether the decision tree algorithm model was able to predict the IPO performance
during the Covid-19 pandemic in the Indonesian capital market. The model developed
uses the IPO performance classification target variables, namely overpricing, zero,
underpricing level-1 or underpricing level-2. Through the modeling of the decision tree
algorithm using 149 IPO action data for 2017-2019 and tested on 45 IPO action data in
2020, the results of the study found that the decision tree algorithm was able to explain
IPO performance based on the specified classification range. The use of the decision tree
algorithm model to explain the IPO performance can be an alternative to the linear
regression econometric model that has been widely used in previous studies to provide
input for investors in making investment decisions.

Keywords: Covid-19; Decision Tree; Indonesia, IPO underpricing

1. INTRODUCTION

Indonesia is one of the most frequent IPO performance during the Covid-19
pandemic of 2020 in South-East Asia, involving 46 companies, with the total cost of
raising funding of $385 million despites of being less than half the sum for the same
period in the previous year (Sari, 2020). As financial-sector academics, we are interested
in investigating IPO performance because it is never the case in recent decades following
the global Covid-19 pandemic outbreak.
The current global stock market situation shows that the financial markets have
been seriously affected by the pandemic and IPO underpricing have occurred worldwide,
including in the US capital market, which is known for its high effectiveness. The excess
return on the first day is known as "the secret of the IPO underpricing rate” (Han, 2016). It
shows three points in particular. First, an initial short-term public offering that is
underpricing, or an IPO has an abnormal return on the first day. Second, in the long term,
it has a high price. Third, hot market issues emerge. Until now, many researchers and
analysts of stock markets worldwide remain attracted to the IPO underpricing

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phenomenon.
Throughout the history of Indonesia‟s stock market since the reactivation of a
stock market by Government of the Republic of Indonesia from 1977 to 2020, there were
835 IPOs with 26 initial returns, 553 underpricing, 81 times overpricing have occurred
(TICMI, 2020), 153 IPOs where data were not recorded on the „closing price‟ (1977-1992),
11 IPO with no data of „closing price‟ (1994-1999), 11 IPO where data on the „IPO price‟
have not been found (1996-2005).
In the meantime, based on our analysis of 14 studies on the IPO underpricing
phenomenon on the Indonesian stock exchange (IDX) over the years 2000-2019, most
studies examined factors which impact underpricing (Astuti, 2020; Indriani & Marlia,
2014; Inkasari, 2019; Iryma Maygista, Indah Mustikowati, & Mardiana Firdaus, 2020;
Lestari, Hidayat, & Sulasmiyati, 2015; S. T. A. Manurung & Nuzula, 2019; Munawaroh,
2019; Nathan & Scobell, 2012; Sembiring, Rahmawati, & Kusumawati, 2018; Solida,
Luthan, & Sofriyeni, 2020; Sopiyan, 2019), comparison of the first day IPO closing price
with the company appraisal (Herawati, Achsani, Hartoyo, & Sembel, 2016; Satriyo, 2018),
and comparison of initial returns between stocks of the industrial sector (A. H.
Manurung, Juwono, & Siswanti, 2019).
2. LITERATURE REVIEW
IPO Underpricing phenomenon
In this analysis, the decision tree algorithm model was developed by combining
quantitative and qualitative methods for determining the IPO's underpricing rate and
identifying the key features of the underpricing phenomenon in the IPO. At the data
preparation stage, qualitative methods are performed by setting up
categories/space/subspace using the training data gathered to establish a classification
rule model. In addition, quantitative methods are used to create a model of decision tree
algorithm (Han, 2016). This research focuses on the 2017-2020 IPO actions data where the
Indonesian capital market had 195 IPO actions with initial return, as shown in Table 1
below.
Table 1. Initial return (IR) IPO actions in the 2017-2020 Indonesian capital market.
Year - Board Number of The average of Max IR (%) Min IR (%) Deviation
companies IR (%) Standard
of IR (%)
Tahun – Jumlah Rata-rata IR Max IR (%) Min IR (%) Standar
Papan Perusahaan (%) Deviasi IR
(%)
2017
Development 30 46.1% 86.7% -3.3% 28.0%
Board
Main Board 7 29.4% 87.1% -9.0% 39.0%
2018
Development 41 50.8% 70.0% -35.7% 25.1%
Board
Main Board 16 43.7% 70.0% -14.3% 24.5%
2019
Development 44 46.4% 70.0% -70.3% 30.6%
Board
Main Board 11 41.6% 70.0% -1.7% 26.2%
2020

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Acceleration 5 9.9% 10.0% 9.7% 0.1%

Board
Development 35 43.6% 70.0% 0.5% 19.5%
Board
Main Board 6 41.5% 70.0% 24.7% 16.1%
Grand Total 195 44.6% 87.1% -70.3% 26.6%
Source: The Indonesia Capital Market Institute | Indonesian Capital Market Data and Education
Center (TICMI, 2020)

These data show that 182 IPO underpricings occurred during the research period,
where population data reflect all the activities on the Indonesian capital market. As
common knowledge IPO can be divided according to several categories, such as: IPO
activity, pricing, and IPO allocation (Ritter dan Welch (2002) in

As has already been pointed out, the study of previous IPO performance research in
pricing and allocation categories can be divided into (W. Perera & Kulendran, 2016): the
short-term underpricing‟phenomenon is a positive rate of return on the first day of
listing, in which the closing price is greater than the price of the first bid/issue prize, the
phenomenon of long-term underperformance means the acquisition of a negative rate of
return at a certain period of time with the sale price lower than the initial price, the
market 'hot issue' phenomenon is a short-term cyclical activity of 'underpricing,'
perceived to be a continuation of the short-term phenomenon of "underpricing.".
regarding its emphasis for research of short-term IPO performance, a brief description of
the short-term „underpricing‟ phenomenon of the IPO share is given. The IPO covers 3
directly involved parties, namely the issuer as the party that needs funds, the contractor
and investor as the fund supplier. In this situation, the underwriter shall take a stance
based on a 'firm commitment'. This means that the underwriter can purchase the entire
issue and then sell it at any risk, or "Best efforts" meaning that the issuer will assume the
loss equal to the negotiated fixed price, and that the issuer will have a "underwriting-
spread" to cover incurred costs.

Various causes and explanations for the phenomenon of "underpricing" stock

performance can be found in (K. L. W. Perera, 2014) where a range of theories of short-
term "underpricing" (hypothesis) have been outlined as shown in Figure 1.
winner's curse hypothesis
market feedback hypothesis
bandwagon hypothesis
monopsony hypothesis

Short-term lawsuit avoidance hypothesis

IPO
'underprici signalling hypothesis
ng' theories ownership dispersion hypothesis
prestigious underwriter
hypothesis
uncertainty hypothesis
prospect theory
agency cost theory

Figure 1. Various short-term IPO underpricing theory

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Among all the different theories listed above, they can be categorized as
'asymmetric' information (i.e. signalling, winner's curse, market feedback (book building),
agency, investment bankers monopsony power, bandwagon and ownership dispersion),
and 'Symmetrical' details, i.e. the lawsuit prevention hypothesis, the internet bubble and
the trading volume. These two categories require further clarification, which focuses on
'agency disputes and actions.'

Based on the variety of theories and hypotheses, we conclude that information is an

important factor determining the short-term underpricing phenomenon of IPO shares.
The variables that can explain the phenomenon of 'underpricing' can be differentiated
based on the root characteristics, as seen in Figure 2 below (W. Perera & Kulendran, 2016).

offer price

offer size

oversubscription ratio

total listing period

Issue-specific
Issue cost
characteristics
capital retention

underwritten IPOs

Llsting delay

attached share option

earnings

book value

leverage

Firm-specific profitability
Characterictis characteristics cash flow

age of the company

firm size

original ownership

market sentiment

Market-specifis hot issue market

characteristics market volatility

average market return

Figure 2. Variety of characteristics that have an impact on short-term IPO performance

Baba & Sevil (2020) also explains that IPO underpricing is affected by factors
including company characteristics (size, profitability, profit rate) and offering
characteristics (number of shares offered, share of the IPO bid, IPO price, amount of funds
raised) and market sentiment (market performance before the IPO date).

Based on the analysis above, the predictor variables are measured because of (1)
the accessible information for potential investors and (2) the coverage of company
characteristics, offering characteristics and market characteristics.

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Decision Tree Algorithm Model for IPO Research

The decision tree algorithm is a traditional data mining algorithm which
investigates findings based on examples. The focus of this algorithm is to consider the
classification rules in a decision tree of many examples without order and without rules.
These classification rules are frequently used to establish predictive models or
classification that can classify unknown patterns and identify it.
Researchers also find it confusing on when using linear regression algorithms and
when using decision tree algorithms to make predictions. Joshi (2017) notes that linear
regression is not suitable for classification because it relies on linearly interconnected
data, while decision tree is a compatible algorithm for classification. Most IPO
performance research has been performed on linear regression models, but in this study
we find previous research using the decision tree algorithm (Basti, Kuzey, & Delen, 2015;
Chen, Chen, & Cheng, 2010; Chen & Cheng, 2012; Han, 2016; Luque, Quintana, & Isasi,
2012; Quintana, Luque, Valls, & Isasi, 2012; Quintana, Sáez, & Isasi, 2017). We find that
machine learning algorithms (the decision tree is known in this case as supervised
learning) contain fewer error predictions than linear regression.
The decision tree model offers many benefits, including rules generated by the
decision tree are easily understood, higher efficiency, suitable for samples with large
amounts of data, and higher accuracy in classification (Han, 2016).
Because of these considerations, we agreed to use a two-stage developmental model
for a decision tree: firstly to use the IPO action data set for training (we used the IPO
2017/2019) to plan and define the decision tree; and secondly, to use the test data set (we
use the IPO 2020 action data) for classification using the established model. The different
models tested were decision tree (simple), random forest and boosted gradient tree with
the best test indicators based on the minimum model error. The different models tested
were decision tree (simple), forest random and gradient boosted tree, with the best
indicators based on the model's minimum error.
3. METHODS, DATA AND ANALYSIS
Method
This research examines a model of a decision tree algorithm to decide whether an
IPO performance would lead to 'underpricing,' 'zero' or 'overpricing'. IPO performance is
measured by the IPO_Perf formula = (first day price-initial offer prices)/initial offer price.
Moreover, the predictor variable is determined based on three characteristics (Baba &
Sevil, 2020; W. Perera & Kulendran, 2016) including (a) for the characteristics of the
company, recording board proxy is chosen to represent the criteria for the operational life
of the company (recording operating income), operating profit, issuance of audited
financial statements and financial measuring activities of the company (IDX, 2019); (b) for
offering characteristics, the selected variables are proxy of raised funds (Fund_R), share of
shares sold (Pct_IPO), and total shares offered (Shares_Off), which represents the demand
side and the offer price (Offer_P) representing the supply side; (c) for market
characteristics, a proxy for IPO date (List_date) is chosen to reflect the seasonal model of
the market (hot-cold issue). These variables are chosen to accord with (Chen & Cheng,
2012; Han, 2016).
Data
Data used in this analysis are population data with a set of indicators for each

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variable based on publications (BEI, 2020; TICMI, 2020). The data is then separated into
training data and data sets linearly. The training data is the IPO performance data before
the pandemic period 2017-2019 and the evaluation data are IPO performance data after
the 2020 pandemic.
We pre-processed the data by identifying each variable in the processed data set
before modelling and analysis.
Table 2. Variables for the analysis.
No Variables Definition of variables Classification
1. IPO_Perf IPO performance = (1st day opening 0 – (zero IR); 1 - (IR up to 44 %
(target) price-initial offer price)/initial offer underpricing; 2 - (IR > 44%
price underpricing; -1 - (overpricing
IR) – 44% is the mean IR from
data set training
2. Board Boards for listings on IPO performance 1 - (Main Board); 2 -
(Development Board); 3 -
(Acceleration Board)
3. Fund_R Funds raised Continuous (min-max)
4. Pct_IPO Shares sold = offered shares / issued Continuous (min-max
shares
5. Shares_Off The number of shares offered Continuous (min-max
6. Offer_P IPO offering price Continuous (min-max
7. List_date IPO date - converted to a quarter 1 - (Q1); 2 - (Q2); 3 - (Q3); 4 -
classification (Q4)

Analysis
For data analysis, the automotive model feature in the Rapidminer ver application.
9.8 001 is used to simulate a model with training data and to measure error to get the best
model with minimum errors, with performance is further checked by test data.
The auto model function is used to find the best decision tree algorithm model from
the 3 models available: decision tree (simple), random forest and gradient boosted tree. In
addition, the best model is used to create and use a predictive model for testing data and
to interpret the prediction results.

4. RESULTS
This study is to explain the IPO underpricing theory in the Indonesian capital
market during the Covid-19 pandemic, following the short-term IPO underpricing theory
framework that addresses the characteristics of issues, companies and markets (Perera
2016). In addition, a model of prediction with decision tree algorithms is developed to
deal with nonlinearity problems (Baba & Sevil, 2020; Han, 2016).
Descriptive Analysis
The descriptive statistics of the training data set are listed in Table 3 below.

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Table 3. Descriptive statistics

No Variables Data type Min (Least*) Max (Most*) Average
(Values*)

1. IPO_Perf (target) Real 22,174,000 4,000,000,000 734,286,585

2. Board Real 0.005 0.879 0.247

3. Fund_R Integer 100 12,100 527.17

4. Pct_IPO Integer 1 4 2.89

5. Shares_Off Integer -1 2 1.59

6. Offer_P Real 16,200,000,000 4,764,375,000,000 275,223,575,557

7. List_date* Polynomial Main Board Development Development

(34) Board (115) Board (115),
Main Board
(34)

Table 3 illustrates that all training data sets can be assigned a classification value
according to their definition
Model Developments
The classification capacity of the constructed model is shown as a minimum error.
We divided it into 149 training data (IPO 2017-2019) and 46 test data from the 185 data
(IPO 2020 actions). The data collection for statistical training includes 115 IPO actions
2017-2019 on the “Development Board” and 34 IPO actions on the “Main Board”. The
correlation weights of each input variable to the target variable are as follows:

Figure 3. Correlation Weights of Input Variables to Target Variables (generated from Rapid Miner
data processing).

These results show that Fund R has the highest correlation weight to the target
variable IPO_Perf class followed by Offer_P, Shares_Off, Pct_IPO, Board and List_Date.
This provides an initial prediction of the established decision tree model that fits the

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above correlation weights.

In addition, Model performance testing (decision tree (simple), random forest, and
gradient-boosted tree) produces minimal error (root mean squared error, absolute error,
relative errors and squared error) for the Decision Tree (simple) model, as explained in
the following table.
Table 4. Model Performance Error Indicator (generated from Rapid Miner data processing).
Model - Error RMSE Absolute Relative Squared
Decision Tree 0,62 0,46 0,24 0,49
Random Forest 0,68 0,55 0,33 0,50
Gradient Boosted Trees 0,70 0,56 0,32 0,54
Generalized Linear Model 0.63 0.51 0.29 0.52

From the illustration of the table above, the Decision Tree (simple) algorithm
produces minimal errors on all indicators of measured error, in particular when
compared to a generalized linear model (representing linear regression). We therefore
decided to use a (simple) algorithm model for the decision tree model.
Given that there was no IPO activity on the Acceleration Board in the Training
Dataset Period for 2017-2019, the decision tree model did not have the target classification
of the Acceleration Boards. Therefore the final model for the decision tree is shown in
Figure 4.

Figure 4. IPO Performance Prediction Model (generated from Rapid Miner data processing)

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Based on the final decision tree model, the root node of the model is the Fund-
Raised Index (Fund_R), meaning that the IPO performance is primarily determined by
the amount of funds raised by the issuer. If IPO action hits IDR 800 billion in fundraising,
investors have a significant chance to get an initial return of over 44%. Whereas, if the IPO
collected funds are greater than Rp. 800 billion, the listing board consideration is critical.
This means that if the IPO is listed on the Development Board, investors would have a
significant opportunity to gain an initial return of 44%. If the IPO is on the 'main board'
then investors are required to take into account the percentage of shares sold to the public
against all listed shares.
If publicly sold shares are less than 16 percent, investors should consider buying the
issuer's shares in the secondary market after the IPO, since the initial return on shares is
expected to be below the offering price ("overpriced").
Meanwhile, if shares sold to the public are > 16 percent, the initial return will be
determined by the number of shares offered to the public. This would lead to an initial
return of up to 44% if the amount of shares sold is over 24 billion shares.
When the model is tested on the 2020 IPO action test data, the error matrix is
structured as follows:
Table 5. Matrix Performance Model Error.
Prediction -1 0 1 2
Actual
-1 0
0 0
1 0 2 0 24
2 15
Note: 5 IPO actions on the 'acceleration board' in 2020 are unpredictable.

5. CONCLUSIONS, LIMITATIONS, AND RECOMMENDATIONS

Conclusions
Based on the results of the aforementioned analysis with the algorithm model
decision tree, we conclude that the prediction of underpricing of IPO performance can
explain the IPO underpricing phenomenon and complement the linear regression model
commonly used in previous studies.
In predicting IPO performance of underpricing, the decision-tree algorithm model
can deal with non-linearity issues, address nominal variables and contribute to the
existing knowledge by overcoming limitation of linear prediction models which cannot
accommodate nominal variables. Therefore, the established model can be an alternative
investment decision-making model for investors based on general knowledge that can be
accessed from a prospectus or the stock exchange authority.
By considering many IPO metrics, such as the number of shares sold to the public,
the percentage of the number of shares sold to all issued shares, the IPO offering price,
raised funds and the listing board, investors can predict the initial returns that they will
receive while participating in the company's IPO action.
Machine study algorithms and rapid-miner applications are the key characteristics

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of this study as they encourage the interest of junior researchers who are more interested
in machine learning than conventional statistical learning. However, the shift in the
interest of these junior researchers hopefully will not diminish their enthusiasm in
econometrics in general and financial econometrics in particular.
Limitations and Recommendations
Although this study shows that the simple decision tree algorithm can achieve
better predictive performance, it is suggested in future studies to extend the time for the
training model data set so that the model can better capture population behaviour. Input
variables can be added with an in-depth analysis of variable characteristics influencing
short-term IPO performance (supply characteristics, company characteristics and market
characteristics), as illustrated in Figure 2.
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