ABSTRAK
Penelitian ini bertujuan untuk menguji pengaruh financial distress yang diukur dengan Altman Z-Score, risiko sistematis yang diukur dengan beta saham dan makro ekonomi yang diukur dengan inflasi terhadap return saham pada Perusahaan Manufaktur yang terdaftar di BEI periode 2008-2012. Dari 133 perusahaan manufaktur yang terdaftar, diambil sampel sebanyak 75 perusahaan dengan menggunakan teknik purposive sampling. Metode penelitian yang digunakan adalah analisis regresi data panel. Hasil penelitian ini menunjukkan pengaruh keseluruhan variabel adalah sebesar 28,7%. Secara parsial variabelvariabel yang berpengaruh terhadap returnsaham yaitu financial distress dengan Altman Z-Score, beta saham dan inflasi. Kata kunci: ReturnSaham, Financial Distress¸Altman Z-Score, Risiko Sistematis, Beta Saham danInflasi.
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ABSTRACT
The purpose of this research is to examine of financial distress as measured by the Altman Z-Score, systematic risk as measured by beta stocks and macroeconomic measured by inflation on stock returns Manufacturing Company listed on the Stock Exchange 2008-2012 period. From 133 companies listed, 75 companies are taken as sample by using purposive sampling technique. Panel data regression analysis shows thatthe overall effect of variables is equal to 28.7%. Partially, the variables that affect the stock returns are financial distress with Altman Z-Score, beta stocks and inflation. Keywords: Stock return, Financial distress, Altman Z-Score, Systematic risk, Beta stocks and Inflation
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DAFTAR ISI
ABSTRAK ............................................................................................................... i ABSTRACT .............................................................................................................. ii DAFTAR ISI .......................................................................................................... vi DAFTAR TABEL .................................................................................................. ix DAFTAR GAMBAR ............................................................................................. xi BAB I PENDAHULUAN ....................................................................................... 1 1.1. Latar Belakang Penelitian .............................................................................. 1 1.2. Identifikasi dan Perumusan Masalah ........................................................... 17 1.3. Tujuan Penelitian ......................................................................................... 17 1.4. Manfaat Penelitian ....................................................................................... 18 1.5. Sistematika Penulisan .................................................................................. 18 BAB II TINJAUAN KEPUSTAKAAN................................................................ 21 2.1
Kajian Kepustakaan ..................................................................................... 21 2.1.1 Teori Agensi .................................................................................... 21 2.1.2 Teori Trade-Off ................................................................................ 23 2.1.3 Return Saham................................................................................... 25 2.1.4 Risiko Saham ................................................................................... 27 2.1.5 Risiko Finansial dan Kesulitan Keuangan (Financial Distress) ...... 30 2.1.5.1 Model Prediksi Kebangkrutan Altman ....................................... 33 2.1.6 Risiko Pasar / Beta Saham (β) ......................................................... 37 2.1.6.1 Capital Asset Pricing Model (CAPM) ........................................ 38 2.1.6.2 Security Market Line (SML) ...................................................... 41 2.1.6.3 Pengujian Empiris terhadap CAPM ............................................ 43 2.1.7 Risiko Inflasi .................................................................................... 45
2.2
Penelitian Terdahulu .................................................................................... 47
BAB III RERANGKA PEMIKIRAN, MODEL, DAN HIPOTESIS PENELITIAN ....................................................................................................... 52 3.1
Rerangka Pemikiran .................................................................................... 52 3.1.1 Financial Distress dengan model Altman Z-Score dan Return Saham ......................................................................................................... 53 3.1.2 Beta Saham dan Return Saham ........................................................ 56 3.1.3 Inflasi dan Return Saham................................................................. 59
3.2
Model dan Hipotesis Penelitian ................................................................... 60 vi
3.2.1 Model Penelitian .............................................................................. 60 3.2.2 Hipotesis Penelitian ......................................................................... 61 BAB IV OBYEK DAN METODE PENELITIAN ............................................... 63 4.1. Obyek Penelitian (Populasi) dan Teknik Pengambilan Sampel .................. 63 4.2. Metode Penelitian ........................................................................................ 66 4.2.1. Metode Penelitian yang Digunakan ................................................. 66 4.2.2. Operasionalisasi Variabel ................................................................ 67 4.2.3. Teknik Analisis ................................................................................ 69 4.2.3.1 Pemilihan Model Regresi Data Panel ......................................... 71 1.Pemilihan antara Model PLS (The Pooled OLS Method) dengan FEM (Fixed Effect Method) ............................................................. 71 2. Pemilihan antara Model FEM (Fixed Effect Method) dengan REM (Random Effect Method) .................................................................. 72 4.2.3.2. Uji Asumsi Klasik ...................................................................... 72 4.2.3.3. Pengujian Hipotesis ................................................................... 75 1. Koefisien Determinasi (𝐑𝟐) ........................................................... 75 2. Uji Serempak (Uji F) ...................................................................... 76 3. Uji Signifikasi Parsial (Uji t) .......................................................... 77 BAB V PEMBAHASAN HASIL PENELITIAN ................................................. 78 5.1
Hasil Penelitian ............................................................................................ 78 5.1.1 Gambaran Umum Deskriptif Statistik Variabel Penelitian .............. 78 1. Variabel Return Saham ....................................................................... 78 2. Variabel Altman Z-Score .................................................................... 83 3. Variabel Beta Saham........................................................................... 91 4. Variabel Inflasi.................................................................................... 95 5.1.2 Pemilihan Model Regresi Data Panel ................................................. 99 5.1.3 Uji Asumsi Klasik .......................................................................... 101 5.1.3.1 Uji Normalitas........................................................................... 101 5.1.3.2 Uji Multikolinearitas ................................................................. 104 5.1.3.3 Uji Heteroskedastisitas .............................................................. 106 5.1.3.4 Uji Autokorelasi ........................................................................ 107 5.1.4 Pengujian Hipotesis ....................................................................... 108 5.1.4.1 Koefisien Determinasi .............................................................. 110 5.1.4.2 Uji Serempak (Uji F) ................................................................ 111 5.1.4.3 Uji Parsial (Uji t)....................................................................... 113
5.2
Pembahasan Hasil Penelitian ..................................................................... 116 5.2.1 Analisis Pengaruh Variabel Altman Z-Score terhadap Return Saham ....................................................................................................... 116 5.2.2 Analisis Pengaruh Variabel Beta Saham terhadap Return Saham . 117 5.2.3 Analisis Pengaruh Variabel Inflasi terhadap Return Saham.......... 120 5.2.4 Analisis Pengaruh Variabel Altman Z-score, Beta Saham, dan Inflasi terhadap Return Saham .................................................................. 121
5.3
Implikasi Manajerial .................................................................................. 121 vii
BAB VI KESIMPULAN DAN SARAN ............................................................ 126 6.1
Kesimpulan ................................................................................................ 126
6.2
Saran .......................................................................................................... 127
DAFTAR PUSTAKA ........................................................................................ 129 LAMPIRAN 1 - TABEL RETURN SAHAM PERUSAHAAN (Ri) PERIODE 2008-2012 ............................................................................................................ L-1 LAMPIRAN 2 - GRAFIK RETURN SAHAM PERUSAHAAN MANUFAKTUR PERIODE 2008-2012 (1,2 DAN 3) ..................................................................... L-4 LAMPIRAN 3 - ALTMAN Z-SCORE PERIODE 2008-2012 ............................ L-6 LAMPIRAN 4 - GRAFIK ALTMAN Z-SCORE PERUSAHAAN MANUFAKTUR PERIODE 2008-2012 (1,2, DAN 3) ....................................... L-8 LAMPIRAN 5 - TREND KESEHATAN PERUSAHAAN MANUFAKTUR PERIODE 2008-2012......................................................................................... L-10 LAMPIRAN 6 - BETA SAHAM (β) PERIODE 2008-2012 ............................. L-13 LAMPIRAN 7 - GRAFIK BETA SAHAM (β) (1,2,DAN 3) ............................ L-15 LAMPIRAN 8 - DATA OUTLIER YANG DISISIHKAN ............................... L-17 LAMPIRAN 9 - DATA KEUANGAN PERUSAHAAN MANUFAKTUR PERIODE 2008-2012 (dalam Juta Rupiah) ....................................................... L-19 LAMPIRAN 10 - HASIL PERHITUNGAN METODE ALTMAN Z-SCORE PERUSAHAAN MANUFAKTUR PERIODE 2008-2012 ............................... L-35 LAMPIRAN 11 - RATA-RATA HARGA SAHAM CLOSING PRICE HARIAN DALAM SATU TAHUN PERIODE 2007-2012 (dalam Rupiah) .................... L-51 LAMPIRAN 12 - BI RATE BULANAN PERIODE DESEMBER 2007 HINGGA DESEMBER 2012 ............................................................................................. L-63 LAMPIRAN 13 - IHSG BEI BULANAN PERIODE DESEMBER 2007 HINGGA DESEMBER 2012 ............................................................................. L-64
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DAFTAR TABEL
Tabel 1.1. Tingkat Inflasi dan IHSG periode 2008-2012...................................... 14 Tabel 2.2. Penelitian terdahulu.............................................................................. 47 Tabel 4.1. Prosedur Pemilihan Sampel ................................................................. 64 Tabel 4.2. Daftar Sampel ...................................................................................... 64 Tabel 4.3. Operasionalisasi Variabel .................................................................... 68 Tabel 5.1. Statistik Deskriptif Variabel Return saham ......................................... 78 Tabel 5.2. Statistik Deskriptif Variabel Altman Z-Score ...................................... 83 Tabel 5.3. Persentase Prediksi Kebangkrutan Model Altman Z-Score Perusahaan Manufaktur periode 2008-2012............................................................................. 86 Tabel 5.4. Statistik Deskriptif Variabel Beta Saham ............................................ 91 Tabel 5.5. Statistik Deskriptif Variabel Inflasi ..................................................... 95 Tabel 5.6. Uji Chow test atau Likelihood ratio test ............................................ 100 Tabel 5.7. Hasil Uji Normalitas Financial Distress dengan menggunakan Altman Z-Score, Beta saham dan Inflasi terhadap return saham .................................... 102 Tabel 5.8. Hasil Uji Normalitas Taksiran Model Regresi X–Y .......................... 102 Tabel 5.9. Hasil Uji Multikolinearitas Financial Distress dengan menggunakan Altman Z-Score, Beta saham dan Inflasi terhadap return saham ....................... 105 Tabel 5.10. Hasil Uji Glejser Model Financial Distress dengan menggunakan Altman Z-Score, Beta saham dan Inflasi terhadap return saham ....................... 106 Tabel 5.11. Hasil Uji Durbin-Watson regresi Financial Distress dengan menggunakan Altman Z-Score, Beta saham dan Inflasi terhadap return saham 107 Tabel 5.12. Hasil Koefisien Regresi Financial Distress dengan Menggunakan Altman Z-Score, Beta Saham Dan Inflasi terhadap return saham ...................... 109 Tabel 5.13. Nilai Koefisien Determinasi Regresi Financial Distress dengan menggunakan Altman Z-Score, Beta saham dan Inflasi terhadap return saham 111 Tabel 5.14. Uji F-statistik Regresi Financial Distress dengan menggunakan Altman Z-Score, Beta saham dan Inflasi terhadap return saham ....................... 112 Tabel 5.15. Uji Parsial (Uji t) Variabel Financial Distress dengan menggunakan Altman Z-Score (X1) ........................................................................................... 114 Tabel 5.16. Uji Parsial (Uji t) Variabel Beta Saham (X2) ................................... 114 Tabel 5.17. Uji Parsial (Uji t) Variabel Inflasi (X3) ............................................ 115 ix
Tabel 5.18. Rangkuman Hasil Penelitian ............................................................ 116
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DAFTAR GAMBAR Gambar 2.1. Security Market Line (SML) (Hartono, 2013:528) ........................... 42 Gambar 3.1. Hubungan Risiko dan Return (Tandelilin, 2001) ............................. 57 Gambar 3.2. Model Penelitian .............................................................................. 61 Gambar 5.1. Grafik Normal P-Plot (Asumsi Normalitas) .................................. 104 Gambar 5.5. Diagram Daerah Pengujian Autokorelasi dengan Uji Durbin Watson 108
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