ANALISIS PENGARUH TINGKAT PREDIKSI FINANCIAL DISTRESS TERHADAP IMBAL HASIL SAHAM PADA SEKTOR PERTAMBANGAN DI BURSA EFEK INDONESIA

Abstract

Abstract. This study aims to examine and analyze the effect of Z-Score value to
the stock returns of the mining companies listed in IDX for period of 2009-2013.
The research design used in this study is quantitative approach. From a
population of 37 mining companies, only 33 companies selected as the sample
with purposive sampling method (non probability sample). The method of
analysis used in this study is panel data regression using Eviews version 8
statistics software. The research will conducted in descriptive analysis through
Altman Z-score method. Based on the Z-score it will be analyzed the impact to the
return of each stock. The results show that generally the stock return is influenced
by the Z-Score value. The higher the Z-Score, the more valuable the stock return.
Mining sector listed in IDX generally in the „grey area‟. To prevent loss, investor
suggested to invest only in the „safe zone‟ stocks.
Keywords: Altman Z-Score,bankruptcy, stock return, mining, panel data
regression