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The Influence of Financial Distress Using Altman Z-Score, The Beta of Stocks and Inflation To The Stock Return

Author

Listed:
  • Mathius Tandiontong

    (Faculty of Economics, Maranatha Christian University, Indonesia. Author-2-Name: Margaretha Sitompul Author-2-Workplace-Name: Faculty of Economics, Maranatha Christian University, Indonesia.)

Abstract

"Objective � Stock is one securities among other securities, as a high risk instrument. Stock classified as high risk due to reflection in the uncertainty of the rate of return to be received by investors in the future. 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 Methodology/Technique � From 133 companies listed, 75 companies are taken as sample by using purposive sampling technique. Panel data regression analysis shows that the overall effect of variables is equal to 28.7%. Findings � Partially, the variables that affect the stock returns are financial distress with Altman Z-Score, beta stocks and inflation. Novelty � Financial distress with the measurement using the Altman Z-Score."

Suggested Citation

  • Mathius Tandiontong, 2017. "The Influence of Financial Distress Using Altman Z-Score, The Beta of Stocks and Inflation To The Stock Return," GATR Journals jfbr126, Global Academy of Training and Research (GATR) Enterprise.
    • Handle: RePEc:gtr:gatrjs:jfbr126
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    References listed on IDEAS

    as
    1. Chih-Chuan Yeh & Ching-Fang Chi, 2009. "The Co-Movement and Long-Run Relationship between Inflation and Stock Returns: Evidence from 12 OECD Countries," Journal of Economics and Management, College of Business, Feng Chia University, Taiwan, vol. 5(2), pages 167-186, July.
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    5. Edward I. Altman, 1968. "The Prediction Of Corporate Bankruptcy: A Discriminant Analysis," Journal of Finance, American Finance Association, vol. 23(1), pages 193-194, March.
    6. Beaver, Wh, 1966. "Financial Ratios As Predictors Of Failure - Reply," Journal of Accounting Research, Wiley Blackwell, vol. 4, pages 123-127.
    7. Mark Crosby, 2001. "Stock Returns and Inflation," Australian Economic Papers, Wiley Blackwell, vol. 40(2), pages 156-165, June.
    8. Beaver, Wh, 1966. "Financial Ratios As Predictors Of Failure," Journal of Accounting Research, Wiley Blackwell, vol. 4, pages 71-111.
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    10. Eduardo Sandoval & Rodrigo Saens, 2004. "The Conditional Relationship Between Portfolio Beta and Return: Evidence from Latin America," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 41(122), pages 65-89.
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    Cited by:

    1. Foo See Liang & Shaak Pathak, 2019. "Understanding the Connection of Performance and Z-Scores for Manufacturing Firms in South Korea," Journal of Asian Development, Macrothink Institute, vol. 5(3), pages 37-46, November.

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    More about this item

    Keywords

    Stock return; Financial distress; Altman Z-Score; Systematic risk; Beta stocks and Inflation;
    All these keywords.

    JEL classification:

    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • F14 - International Economics - - Trade - - - Empirical Studies of Trade
    • G01 - Financial Economics - - General - - - Financial Crises

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