Refleksi Altman Z-Score Terhadap Return Saham(Study Empasis pada Perusahaan Manufaktur di Asia Tenggara Periode 2004-2008
OLGA VERA SINTA TURNIP, Drs. Sumiyana, M.Si
Penelitian ini bertujuan untuk mengetahui apakah Altman Z Score memiliki pengaruh positif terhadap return saham. Altman Z Score adalah model analisis linear dengan menggunakan lima ukuran rasio keuangan yang diberi bobot masing-masing sehingga menghasilkan suatu nilai yang menjadi basis pengklasifikasian kondisi keuangan perusahaan. Lima rasio keuangan yang digunakan dalam penghitungan Altman Z Score adalah working capital/total assets, retained earnings/total assets, earnings before interest and taxes/total assets, market value equity/book value of total debt, dan sales/total assets. Penelitian menguji 140 perusahaan manufaktur yang go public di Asia Tenggara periode 2004-2008. Penelitian ini menggunakan firm size, profitability, leverage, dan growth sebagai variabel kontrol untuk mencegah adanya faktor-faktor lain yang mengganggu hubungan antara variabel dependen dan variabel independen. Hasil uji F menunjukkan bahwa Altman Z Score secara simultan bersama variabel kontrol firm size, profitability, leverage, dan growth berpengaruh signifikan terhadap return saham. Hasil uji t menunjukkan bahwa Altman Z Score berpengaruh signifikan positif terhadap return saham.
This paper is aimed to examine whether Altman Z score positively influences the stock return. Altman Z Score is a linear analysis in that five measures are objectively weighted and summed up to arrive at an overall score that then becomes the basis for classification of firms into one of the a priori groupings. Those five measures are working capital/total assets, retained earnings/total assets, earnings before interest and taxes/total assets, market value equity/book value of total debt, and sales/total assets. This paper examined 140 manufacturing public companies at South East Asia for period 2004-2008. This paper also used firm size, profitability, leverage, and growth as control variable to avoid any miscellaneous factors which can influence the relationship between dependent variable and independent variable. The result of F test in this paper is Altman Z Score, firm size, profitability, leverage, and growth simultaneously influencing the stock return. The t test also summarized that Altman Z Score positively influencing the stock return.
Kata Kunci : Altman Z Score, stock return, return saham
