Penggunaan Binary Logit untuk Prediksi Financial Distress Perusahaan Yang Tercatat Di Bursa Efek Jakarta

Pasaribu, Rowland Bismark Fernando (2008): Penggunaan Binary Logit untuk Prediksi Financial Distress Perusahaan Yang Tercatat Di Bursa Efek Jakarta. Published in: Jurnal Ekonomi, Bisnis, dan Akuntansi VENTURA , Vol. 11, No. 2 (August 2008): pp. 153-172.

Abstract

This study aimed to establish the financial distress prediction in a public company listed on the Jakarta Stock Exchange specifically incorporated in the trading industry. The samples used in research are all public companies incorporated in the trading industry 2002-2006 period. This study used six initial discriminator and 34 financial ratios as an operational variable. The analysis technique used is a binary logit regression. Empirical result shows that companies that do not create economic value-added, illiquid, low operational efficiency and high levels of financial leverage have a large probability of financial distress.

• Item Type: MPRA Paper
• English Title: Financial Distress Prediction In Indonesian Stock Exchange
• Language: Indonesian
• Keywords: EVA, financial distress, financial ratios, binary logit
• Subjects: A - General Economics and Teaching > A1 - General Economics > A13 - Relation of Economics to Social Values; O - Economic Development, Innovation, Technological Change, and Growth > O1 - Economic Development > O16 - Financial Markets ; Saving and Capital Investment ; Corporate Finance and Governance; G - Financial Economics > G3 - Corporate Finance and Governance; G - Financial Economics > G3 - Corporate Finance and Governance > G32 - Financing Policy ; Financial Risk and Risk Management ; Capital and Ownership Structure ; Value of Firms ; Goodwill

References

Altman E. 1968. Financial Ratios, Discriminant Analysis and the Prediction of Corporate Bankruptcy. Journal of Finance, September, 1968. Altman E, 1983. Corporate Financial Distress: A Complete Guide to Predicting, Avoiding, and Dealing with Bankruptcy (New York: John Wiley & Sons). Almilia, Luciana Spica. 2006. “Prediksi Kondisi Financial Distress Perusahaan Go-Publik dengan Menggunakan Analisis Multinomial Logit.” Jurnal Ekonomi dan Bisnis Vol. XII No. 1 Maret. Brahmana, Rayenda K Brahmana. 2007. Identifying Financial Distress Condition in Indonesia Manufacture Industry. Birmingham Business School, University of Birmingham, United Kingdom. Barniv R., Agarwal A., Leach R. 2002. Predicting bankruptcy resolution. Journal of Business Finance and Accounting, 29 (3&4), 497-520. Beaver, W. 1966. Financial ratios as predictors of failure, Journal of Accounting Research, 4, Supplement, 71-111. Campbell, John Y., Jens Hilscher, and Jan Szilagyi. 2006. In Search of Distress Risk. Department of Economics, Littauer Center 213, Harvard University, Cambridge MA 02138, USA, and NBER. Chan, K.C. and Nai-fu Chen. 1991. Structural and return characteristics of small and large firms, Journal of Finance 46, 1467—1484. Claessens, Stijn, Simeon Djankov, and Leora Klapper. 2002. Resolution of Corporate Distress in East Asia; Journal of Empirical Finance, May. Dewaelheyns, Dewaln dan C. Van Hulle. 2004. The Impact of Business Groups on Bankruptcy Prediction Modeling. Tijdschrift voor Economie en Management Vol. XLIX, 4, 2004. Fama, Eugene F. and Kenneth R. French, 1996, Multifactor explanations of asset pricing anomalies, Journal of Finance 51, 55—84. Ferguson, Michael F. and Richard L. Shockley, 2003, Equilibrium “anomalies”, Journal of Finance 58, 2549—2580. Garlappi, Lorenzo and Hong Yan. 2007. Financial Distress and the Cross Section of Equity Returns. draft. NBER Asset Pricing Program Meeting: April. Hajdu O., M. Virag. 2001. A Hungarian model for predicting financial bankruptcy, Society and the Economy in Central and Eastern Europe. Quarterly Journal of the Budapest University of Economic Sciences and Public Administration, vol. XXIII. No. 1-2. Hunter J., N. Isachenkova. 2000. Failure risk: a comparative study of UK and Russian firms. Discussion Paper 00-1. Department of Economics and Finance, Brunel University, Husnan, Suad. 1998. Dasar-dasar Teori Portfolio dan Analisis Sekuritas. Edisi Ketiga, Jakarta: Erlangga. Johnsen T., Melicher R.W. 1994. Predicting Corporate Bankruptcy and Financial Distress: Information Value Added by Multinomial Logit Models. Journal of Economics and Business, 46, s. 269–286. Kaiser U. 2001. Moving in and out of Financial Distress: evidence for newly founded services sector firms. ZEW Discussion Paper Nr 01-09, Zentrum fur Europaische Wirtschaftsforschung, Mannheim. Krugman P. 1999. Balance sheets, the Transfer Problem, and Financial Crises, Working Paper, MIT, Cambridge. Lennox C. 1999. Identifying Failing Companies: A Reevaluation of the Logit, Probit and DA Approaches, Journal of Economics and Business, 51, s. 347–364. Lev B and Sunder S, 1979, Methodological issues in the use of financial ratios, Journal of Accounting and Economics, 1:3, 187-210. Lizal, Lubomir. 2002. Determinants of Financial Distress: What Drives Bankruptcy in a Transition Economy? The Czech Republic Case. William Davidson Working Paper Number 451.(September). Lin, Lin dan Jenifer Piesse. 2001. The Identification of Corporate Distress: A Conditional Probability Analysis Approach. Imperial College, University of London. Mous, Lonneke. 2005. “Predicting Bankruptcy With Discriminant Analysis and Decision Tree Using Financial Ratios”. Bachelor Thesis Informatics & Economics. Fakultas of Economic , Erasmus University, Rotterdam. Morris R . 1997. Early warning indicators of corporate failure, Ashgate Publishing Ltd., Hants. Merton, Robert C., 1973, An intertemporal capital asset pricing model, Econometrica 41, 867-887 Ogawa, Kazuo. 2003. Financial Distress and Corporate Investment: The Japanese Case in the 90s. Empirical Analysis of Economic Institutions, Discussion Paper Series No.9; June. Institute of Social and Economic Research, Osaka University. Ohlson, J.A. 1980. Financial ratios and the probabilistic prediction of bankruptcy, Journal of Accounting Research, Spring 1980. Orłowski W., Z. Żołkiewski. 2001. The determinants of firm exit and survival in transitioneconomies. The case of Poland, Central Statistical Office, Research Bulletin Vol. 10, 2001, No 3-4. Patrick, P. 1932. A comparison of ratios of successful industrial enterprises with those of failed firms, Certified Public Accountant, October, November, and December, 598-605, 656-662, and 727-731, respectively. Priambodo, Agus. 2002. Prediksi Nilai Economic Value Added Perusahaan-Perusahaan 'Go Public' Dengan Analisa Diskriminan. Tesis. School of Business and Management ITB. Theodossiou P., Kahya E., Saidi R., Philippatos G. 1996. Financial Distress and Corporate Acquisitions: Further Empirical Evidence. Journal of Business Finance and Accounting, 23, s. 699–719.