DETERMINASI FINANCIAL DISTRESS TERHADAP RETURN SAHAM
Yusnia Paramita, Deni Ramdani
Abstract
Mini riset ini bertujuan untuk mengetahui determinasi kesulitan keuangan/financial distress dengan proksi Altman z score terhadap imbal hasil saham pada perusahaan subklasifikasi industri restoran, hotel dan pariwisata yang terdaftar di Bursa Efek Indonesia tahun 2018-2020. Jenis penelitian ini tergolong penelitian kuantitatif. Analisis data berupa analisis regresi linier berganda menggunakan SPSS 25. Teknik pengambilan sampel adalah purposive sampling yang menghasilkan 20 sampel perusahaan. Hasil penelitian menunjukkan bahwa Earning Before Interest and Tax to Total Assets (EBITTA) dan Market Value of Equity to Book Value Of Debt (MVEBVD) secara parsial berpengaruh positif terhadap return saham. Komponen lainnya yaitu Working Capital to Total Assets (WCTA), Sales to Total Assets (STA) dan Retained Earnings to Total Assets (RETA) secara parsial tidak berpengaruh terhadap imbal hasil saham. Komponen prediktor financial distress secara simultan mempengaruhi imbal hasil saham.
Keywords
Kesulitan keuangan, Model altman z score, Imbal hasil saham
References
Aisyah, N., Darminto, & Husaini, A. (2013). Pengukuran Kinerja Keuangan Perusahaan Menggunakan Analisis Rasio Keuangan Dan Metode Economic Value Added (Eva) (Studi Pada Perusahaan Rokok Yang Terdaftar Di Bursa Efek Indonesia Periode Tahun 2009-2011). Jurnal Administrasi Bisnis S1 Universitas Brawijaya, 2(1), 108–117.
Alexander, N., & Destriana, N. (2013). Pengaruh Kinerja Keuangan Terhadap Return Saham. Jurnal Bisnis Dan Akuntansi, 15(2), 123–132.
Barus, M. A., Sudjana, N., & Sulasmiyati, S. (2017). Penggunaan Rasio Keuangan Untuk Mengukur Kinerja Keuangan Perusahaan (Studi pada PT. Astra Otoparts, Tbk dan PT. Goodyer Indonesia, Tbk yang Go Public di Bursa Efek Indonesia). Jurnal Administrasi Bisnis S1 Universitas Brawijaya, 44(1), 154–163.
Effendi, Affandi, A., & Sidharta, I. (2016). Analisa Pengaruh Rasio Keuangan Model Springate Terhadap Harga Saham Pada Perusahaan Publik Sektor Telekomunikasi. Jurnal Ekonomi, Bisnis & Entrepreneurship, 10(1), 1–16.
Elena, M. (2021, May 5). Ini 10 Sektor Penyumbang Kontraksi Ekonomi RI di Kuartal I/2021 - Ekonomi Bisnis.com. Bisnis.Com. https://ekonomi.bisnis.com/read/20210505/9/1390567/ini-10-sektor-penyumbang-kontraksi-ekonomi-ri-di-kuartal-i2021
Geng, R., Bose, I., & Chen, X. (2015). Prediction of financial distress: An empirical study of listed Chinese companies using data mining. In European Journal of Operational Research (Vol. 241, Issue 1). Elsevier B.V. https://doi.org/10.1016/j.ejor.2014.08.016
Julini, D., Siahaan, Y., Sinaga, M., & Purba, R. (2018). Pengaruh Financial Distress (Altman Z-Score) Terhadap Return Saham Pada Perusahaan Sektor Aneka Industri Yang Terdaftar Di Bursa Efek Indonesia. SULTANIST: Jurnal Manajemen Dan Keuangan, 3(1), 47–52. https://doi.org/10.37403/sultanist.v3i1.47
Kadim, A., & Sunardi, N. (2018). Pengaruh Analisa Kesehatan dan Kebangkrutan dengan Pendekatan Altman Z Score terhadap Harga Saham Industri Kontruksi di Indonesia yang Listing di BEI Periode 2013-2017. Sekuritas (Saham, Ekonomi, Keuangan Dan Investasi), 1(4), 52–65.
Kewal, S. S., & VallentliyAnggraini, S. (2020). Pengaruh Financial Distress Terhadap Return Saham (Studi Pada Perusahaan Subsektor Batu Bara di Bursa Efek Indonesia). Keuangan Dan Bisnis, 65–83.
Khaliq, A., Hussein, B., Altarturi, M., Mohd, H., Thaker, T., Harun, M. Y., & Nahar, N. (2014). Identifying Financial Distress Firms: A Case Study of Malaysia’s Government Linked Companies (GLC). International Journal of Economics, Finance and Management, 3(3), 141–150. http://www.ejournalofbusiness.org
Khoja, L., Chipulu, M., & Jayasekera, R. (2019). Analysis of financial distress cross countries: Using macroeconomic, industrial indicators and accounting data. International Review of Financial Analysis, 66(August), 101379. https://doi.org/10.1016/j.irfa.2019.101379
Komarudin, Syafnita, & Ilmiani, A. (2019). Analisis Komparasi Prediksi Financial Distress Metode Grover, Altman, Springate, Zmijewski, dan Ohlson pada Perusahaan Pertambangan di BEI. Jurnal Ekonomi Dan Bisnis, 22(2), 36–43.
Laksmiwati, M., & Reforma, G. (2021). Determinasi Model Altman Z Score Terhadap Return Saham. Jurnal Akuntansi Dan Keuangan, 10(1), 89–106.
Mar’ati, F. S. (2010). Mengenal Pasar Modal (Instrumen Pokok Dan Proses Go Public). Among Makarti, 3(5), 79–88.
Mulyana, R. N. (2021, August 7). Efek pandemi, industri pariwisata dan perhotelan diprediksi belum pulih tahun ini. Kontan.Co,Id. https://industri.kontan.co.id/news/efek-pandemi-industri-pariwisata-dan-perhotelan-diprediksi-belum-pulih-tahun-ini
Ningsih, S., & Fitri Permatasari, F. (2018). Analysis Method of Altman Z Score Modifications To Predict Financial Distress on the Company Go Public Sub Sector of the Automotive and Components. International Journal of Economics, Business and Accounting Research (IJEBAR), 2(03), 36–44. https://doi.org/10.29040/ijebar.v2i3.339
Nurhayati, Mufidah, A., & Kholidah, A. N. (2017). The Determinants of Financial Distress of Basic Industry and Chemical Companies Listed in Indonesia Stock Exchange. Review of Management And Entrepreneurship, 01(2), 19–26.
Oktaviani, N. (2020). Analisis Financial Distress dan Pengaruhnya Terhadap Harga Saham. 5(1), 46–60.
Pastusiak, R., Miszczyńska, K., & Krzeczewski, B. (2016). Does public offering improve company’s financial performance? The example of Poland. Economic Research-Ekonomska Istrazivanja , 29(1), 32–49. https://doi.org/10.1080/1331677X.2016.1152559
Paule-Vianez, J., Gutiérrez-Fernández, M., & Coca-Pérez, J. L. (2020). Prediction of financial distress in the Spanish banking system: An application using artificial neural networks. Applied Economic Analysis, 28(82), 69–87. https://doi.org/10.1108/AEA-10-2019-0039
Prabowo, R., & Wibowo. (2015). Analisis Perbandingan Model Altman Z-Score, Zmijewski, dan Springate dalam Memprediksi Kebangkrutan Perusahaan Delisting di BEI Periode 2018-2013. Account , Jurnal Akuntansi, Keuangan Dan Perbankan, 3(1), 1–10.
Primasari, & Savitri, N. (2018). Analisis Altman Z-Score, Grover Score, Springate, Dan Zmijewski Sebagai Signaling Financial Distress (Studi Empiris Industri Barang-Barang Konsumsi Di Indonesia). Accounting and Management Journal, 1(1), 23–43. https://doi.org/10.33086/amj.v1i1.70
Rahayu, F., Suwendra, I. W., & Yulianthini, N. N. (2016). Analisis Financial Distress Metode Altman Z-Score, Springate dan Zmijewski Pada Perusahaan Telekominukasi. E-Journal Bisma Universitas Pendidikan Ganesha, 4.
Ramdani, D., & Hirawati, H. (2020). Efektivitas Investasi dan Pembiayaan Internal: Fenomena Manajer Terlalu Percaya Diri di Pasar Modal Indonesia. AFRE (Accounting and Financial Review), 3(2), 115–125. https://doi.org/10.26905/afr.v3i2.3834
Riantani, S., Delvia, S., & Sodik, G. (2020). Model Prediksi Financial Distres : Pengaruhnya Terhadap Kinerja Saham Industri Tekstil dan Garmen di Indonesia. BIsma : Jurnal Bisnis Dan Manajemen, 14(1), 1–9.
Silaen, M. F., Butarbutar, M., & Nainggolan, C. D. (2020). Analisis Perbandingan Financial Distress Metode Altman dan Springate Sebagai Peringatan Dini Kesulitan Keuangan. Jurnal Penelitian Ilmu Manajemen (JPIM), 5(2), 138–148.
Sumani. (2019). The Structure of Good Corporate Governance and Financial Indicators as Predictor of Financial Distress in Mining Sector Company in Indonesia. Research in Business and Management, 6(1), 1–12. https://doi.org/10.5296/rbm.v6i1.13440
Swat, A., Lindawati, L., & Roselin, T. (2013). The Risk Phenomenon Of Investing In Capital Market (Individual Broker Perception). Economics, Business, and Accountancy Ventura, 16(80), 237–250.
Utami, I. W., Puspitanigrum, T., & Kartika, D. (2019). Determinants of Financial Distress in Property and Real Estate Companies. The Indonesian Accounting Review, 9(1), 109–120. https://doi.org/10.14414/tiar.v9i1.1705
Wahyu, D., & Giovanni, A. (2020). Financial Distress Phenomenon of Non-financial Companies in Indonesia. Journal of Management and Bussines ▪, 3(2), 175–188.
Xu, L. (2021). Stock Return and the COVID-19 pandemic: Evidence from Canada and the US. Finance Research Letters, 38, 101872. https://doi.org/10.1016/j.frl.2020.101872
DOI: https://doi.org/10.24967/jmb.v8i1.1553
Article Metrics
Abstract view : 1348 times
PDF (Bahasa Indonesia) : 715 times
Refbacks
- There are currently no refbacks.
This work is licensed under a Creative Commons Attribution-ShareAlike 4.0 International License.
Yusnia Paramita, Deni RamdaniAbstract
Keywords
References
Aisyah, N., Darminto, & Husaini, A. (2013). Pengukuran Kinerja Keuangan Perusahaan Menggunakan Analisis Rasio Keuangan Dan Metode Economic Value Added (Eva) (Studi Pada Perusahaan Rokok Yang Terdaftar Di Bursa Efek Indonesia Periode Tahun 2009-2011). Jurnal Administrasi Bisnis S1 Universitas Brawijaya, 2(1), 108–117.
Alexander, N., & Destriana, N. (2013). Pengaruh Kinerja Keuangan Terhadap Return Saham. Jurnal Bisnis Dan Akuntansi, 15(2), 123–132.
Barus, M. A., Sudjana, N., & Sulasmiyati, S. (2017). Penggunaan Rasio Keuangan Untuk Mengukur Kinerja Keuangan Perusahaan (Studi pada PT. Astra Otoparts, Tbk dan PT. Goodyer Indonesia, Tbk yang Go Public di Bursa Efek Indonesia). Jurnal Administrasi Bisnis S1 Universitas Brawijaya, 44(1), 154–163.
Effendi, Affandi, A., & Sidharta, I. (2016). Analisa Pengaruh Rasio Keuangan Model Springate Terhadap Harga Saham Pada Perusahaan Publik Sektor Telekomunikasi. Jurnal Ekonomi, Bisnis & Entrepreneurship, 10(1), 1–16.
Elena, M. (2021, May 5). Ini 10 Sektor Penyumbang Kontraksi Ekonomi RI di Kuartal I/2021 - Ekonomi Bisnis.com. Bisnis.Com. https://ekonomi.bisnis.com/read/20210505/9/1390567/ini-10-sektor-penyumbang-kontraksi-ekonomi-ri-di-kuartal-i2021
Geng, R., Bose, I., & Chen, X. (2015). Prediction of financial distress: An empirical study of listed Chinese companies using data mining. In European Journal of Operational Research (Vol. 241, Issue 1). Elsevier B.V. https://doi.org/10.1016/j.ejor.2014.08.016
Julini, D., Siahaan, Y., Sinaga, M., & Purba, R. (2018). Pengaruh Financial Distress (Altman Z-Score) Terhadap Return Saham Pada Perusahaan Sektor Aneka Industri Yang Terdaftar Di Bursa Efek Indonesia. SULTANIST: Jurnal Manajemen Dan Keuangan, 3(1), 47–52. https://doi.org/10.37403/sultanist.v3i1.47
Kadim, A., & Sunardi, N. (2018). Pengaruh Analisa Kesehatan dan Kebangkrutan dengan Pendekatan Altman Z Score terhadap Harga Saham Industri Kontruksi di Indonesia yang Listing di BEI Periode 2013-2017. Sekuritas (Saham, Ekonomi, Keuangan Dan Investasi), 1(4), 52–65.
Kewal, S. S., & VallentliyAnggraini, S. (2020). Pengaruh Financial Distress Terhadap Return Saham (Studi Pada Perusahaan Subsektor Batu Bara di Bursa Efek Indonesia). Keuangan Dan Bisnis, 65–83.
Khaliq, A., Hussein, B., Altarturi, M., Mohd, H., Thaker, T., Harun, M. Y., & Nahar, N. (2014). Identifying Financial Distress Firms: A Case Study of Malaysia’s Government Linked Companies (GLC). International Journal of Economics, Finance and Management, 3(3), 141–150. http://www.ejournalofbusiness.org
Khoja, L., Chipulu, M., & Jayasekera, R. (2019). Analysis of financial distress cross countries: Using macroeconomic, industrial indicators and accounting data. International Review of Financial Analysis, 66(August), 101379. https://doi.org/10.1016/j.irfa.2019.101379
Komarudin, Syafnita, & Ilmiani, A. (2019). Analisis Komparasi Prediksi Financial Distress Metode Grover, Altman, Springate, Zmijewski, dan Ohlson pada Perusahaan Pertambangan di BEI. Jurnal Ekonomi Dan Bisnis, 22(2), 36–43.
Laksmiwati, M., & Reforma, G. (2021). Determinasi Model Altman Z Score Terhadap Return Saham. Jurnal Akuntansi Dan Keuangan, 10(1), 89–106.
Mar’ati, F. S. (2010). Mengenal Pasar Modal (Instrumen Pokok Dan Proses Go Public). Among Makarti, 3(5), 79–88.
Mulyana, R. N. (2021, August 7). Efek pandemi, industri pariwisata dan perhotelan diprediksi belum pulih tahun ini. Kontan.Co,Id. https://industri.kontan.co.id/news/efek-pandemi-industri-pariwisata-dan-perhotelan-diprediksi-belum-pulih-tahun-ini
Ningsih, S., & Fitri Permatasari, F. (2018). Analysis Method of Altman Z Score Modifications To Predict Financial Distress on the Company Go Public Sub Sector of the Automotive and Components. International Journal of Economics, Business and Accounting Research (IJEBAR), 2(03), 36–44. https://doi.org/10.29040/ijebar.v2i3.339
Nurhayati, Mufidah, A., & Kholidah, A. N. (2017). The Determinants of Financial Distress of Basic Industry and Chemical Companies Listed in Indonesia Stock Exchange. Review of Management And Entrepreneurship, 01(2), 19–26.
Oktaviani, N. (2020). Analisis Financial Distress dan Pengaruhnya Terhadap Harga Saham. 5(1), 46–60.
Pastusiak, R., Miszczyńska, K., & Krzeczewski, B. (2016). Does public offering improve company’s financial performance? The example of Poland. Economic Research-Ekonomska Istrazivanja , 29(1), 32–49. https://doi.org/10.1080/1331677X.2016.1152559
Paule-Vianez, J., Gutiérrez-Fernández, M., & Coca-Pérez, J. L. (2020). Prediction of financial distress in the Spanish banking system: An application using artificial neural networks. Applied Economic Analysis, 28(82), 69–87. https://doi.org/10.1108/AEA-10-2019-0039
Prabowo, R., & Wibowo. (2015). Analisis Perbandingan Model Altman Z-Score, Zmijewski, dan Springate dalam Memprediksi Kebangkrutan Perusahaan Delisting di BEI Periode 2018-2013. Account , Jurnal Akuntansi, Keuangan Dan Perbankan, 3(1), 1–10.
Primasari, & Savitri, N. (2018). Analisis Altman Z-Score, Grover Score, Springate, Dan Zmijewski Sebagai Signaling Financial Distress (Studi Empiris Industri Barang-Barang Konsumsi Di Indonesia). Accounting and Management Journal, 1(1), 23–43. https://doi.org/10.33086/amj.v1i1.70
Rahayu, F., Suwendra, I. W., & Yulianthini, N. N. (2016). Analisis Financial Distress Metode Altman Z-Score, Springate dan Zmijewski Pada Perusahaan Telekominukasi. E-Journal Bisma Universitas Pendidikan Ganesha, 4.
Ramdani, D., & Hirawati, H. (2020). Efektivitas Investasi dan Pembiayaan Internal: Fenomena Manajer Terlalu Percaya Diri di Pasar Modal Indonesia. AFRE (Accounting and Financial Review), 3(2), 115–125. https://doi.org/10.26905/afr.v3i2.3834
Riantani, S., Delvia, S., & Sodik, G. (2020). Model Prediksi Financial Distres : Pengaruhnya Terhadap Kinerja Saham Industri Tekstil dan Garmen di Indonesia. BIsma : Jurnal Bisnis Dan Manajemen, 14(1), 1–9.
Silaen, M. F., Butarbutar, M., & Nainggolan, C. D. (2020). Analisis Perbandingan Financial Distress Metode Altman dan Springate Sebagai Peringatan Dini Kesulitan Keuangan. Jurnal Penelitian Ilmu Manajemen (JPIM), 5(2), 138–148.
Sumani. (2019). The Structure of Good Corporate Governance and Financial Indicators as Predictor of Financial Distress in Mining Sector Company in Indonesia. Research in Business and Management, 6(1), 1–12. https://doi.org/10.5296/rbm.v6i1.13440
Swat, A., Lindawati, L., & Roselin, T. (2013). The Risk Phenomenon Of Investing In Capital Market (Individual Broker Perception). Economics, Business, and Accountancy Ventura, 16(80), 237–250.
Utami, I. W., Puspitanigrum, T., & Kartika, D. (2019). Determinants of Financial Distress in Property and Real Estate Companies. The Indonesian Accounting Review, 9(1), 109–120. https://doi.org/10.14414/tiar.v9i1.1705
Wahyu, D., & Giovanni, A. (2020). Financial Distress Phenomenon of Non-financial Companies in Indonesia. Journal of Management and Bussines ▪, 3(2), 175–188.
Xu, L. (2021). Stock Return and the COVID-19 pandemic: Evidence from Canada and the US. Finance Research Letters, 38, 101872. https://doi.org/10.1016/j.frl.2020.101872
Jurnal Ilmu Manajemen Saburai (JIMS) is licensed under a Creative Commons Attribution-ShareAlike 4.0 International License