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RASIO-RASIO KEUANGAN, ANALISA DISKRIMINAN, DAN PREDIKSI PROBABILITAS KEGAGALAN PERUSAHAAN-

PERUSAHAAN PADA INDUSTRI PROPERTI DAN REAL ESTATE YANG LISTING DI BURSA EFEK INDONESIA

Peneliti:

AMELINA APRICIA SJAM, S.E., M.M., CFP

ADHIE GUNA DHARMA

JURUSAN MANAJEMEN FAKULTAS EKONOMI UNIVERSITAS KRISTEN MARANATHA

BANDUNG 2010

Daftar Isi

Halaman iii

DAFTAR ISI

Halaman

HALAMAN JUDUL....................................................................................................... i

HALAMAN PENGESAHAN......................................................................................... ii

DAFTAR ISI................................................................................................................ iii

DAFTAR TABEL......................................................................................................... vi

DAFTAR LAMPIRAN.................................................................................................. vii

INTISARI.................................................................................................................... viii

ABSTRACT................................................................................................................ ix

BAB

I. PENDAHULUAN

1.1 Latar Belakang......................................................................................... 1

1.2 Identifikasi Masalah.................................................................................. 7

1.3 Tujuan Penelitian...................................................................................... 8

1.4 Kegunaan Penelitian................................................................................ 8

1.5 Rerangka Pemikiran................................................................................. 9

1.6 Perumusan Hipotesis................................................................................ 18

II. TINJAUAN PUSTAKA

2.1 Financial Distress..................................................................................... 22

2.1.1 Economic Failure.......................................................................... 25

2.1.2 Business Failure........................................................................... 27

2.1.3 Technical Insolvency.................................................................... 28

2.1.4 Insolvency in Bankruptcy.............................................................. 30

Daftar Isi

Halaman iv

2.1.5 Legal Bankruptcy........................................................................... 31

2.2 Detection of Failure Tendencies.............................................................. 34

2.3 Altmans Z-Score Model........................................................................... 40

2.4 Financial Ratios........................................................................................ 42

2.4.1 Liquidity Ratio............................................................................... 46

2.4.2 Solvency Ratio.............................................................................. 52

2.4.3 Profitability Ratio........................................................................... 57

2.4.4 Activity Ratio.................................................................................. 64

2.4.5 Market Value Ratio....................................................................... 71

III. OBJEK DAN METODE PENELITIAN

3.1 Jenis Penelitian........................................................................................ 79

3.2 Populasi dan Sampel............................................................................... 79

3.3 Rentang Waktu Penelitian........................................................................ 80

3.4 Teknik Pengambilan Sampel................................................................... 80

3.5 Definisi Operasional Variabel Penelitian.................................................. 80

3.6 Jenis dan Sumber Data............................................................................ 82

3.7 Teknik Analisis Data................................................................................. 82

IV. HASIL PENELITIAN DAN PEMBAHASAN

4.1 Klasifikasi Objek Penelitian...................................................................... 90

4.2 Pemilihan Variabel Independen yang Digunakan.................................... 92

4.3 Persamaan Diskriminan........................................................................... 94

4.4 Klasifikasi Observasi................................................................................ 94

4.5 Pengujian Kemampuan Prediksi Model Diskriminan................................ 105

Daftar Isi

Halaman v

V. SIMPULAN, KETERBATASAN, DAN RISET ANJURAN

5.1 Simpulan.................................................................................................. 108

5.2 Keterbatasan Penelitian dan Riset Anjuran............................................. 109

DAFTAR PUSTAKA..................................................................................................... x

LAMPIRAN.................................................................................................................... xii

Daftar Tabel

Halaman vi

DAFTAR TABEL

Tabel Halaman

3.1 Description of Database Variables....................................................................... 85

3.2 Kriteria dan Jumlah Sampel Analisa Penelitian.................................................... 87

4.1 Variabel Independen........................................................................................... 91

4.2 Variabel Dependen............................................................................................. 91

4.3 Variables in the Analysis...................................................................................... 92

4.4 Variables Entered/Removed................................................................................ 93

4.5 Classification Function Coefficients..................................................................... 94

4.6 Functions at Group Centroids.............................................................................. 96

4.7 Standardized Canonical Discriminant Function Coefficients............................... 97

4.8 Classification Results......................................................................................... 104

4.9 Z-Score Perusahaan Properti dan Real Estate yang Listing di BEI tahun 2008....... 105

4.10 Klasifikasi Perusahaan Properti dan Real Estate yang Listing di BEI tahun 2008.... 107

Daftar Lampiran

Halaman vii

DAFTAR LAMPIRAN

Lampiran Halaman

1 Sampel Analisa dan Sampel Validasi................................................................... xii

2 Variables Not in the Analysis................................................................................ xiii

Abstract

Halaman ix

ABSTRACT

This research is conducted in order to establish a prediction model of companys failure probability. The sample of the research is a group of property and real estate companies listed in Indonesia Stock Exchange (IDX). The examination period is within the year of 2003 until 2007 with the number of analysis sample measurement equal to 150 units. The analysis sample will be classified "failure" if the company has negative retained earnings, and "non failure" if the company has positive retained earnings. Testing to the sample using multiple discriminate analysis produce discriminant function (discriminant equation) as a prediction model of companys failure probability. Multiple discriminate analysis revealed two financial ratios which influence the companys failure probability: Return on Equity (ROE) and Debt to Equity (DTE). This research also shows that ROE is the most influencial financial ratio to a companys failure probability, followed by DTE. By using cut off value = - 4.23898 a company with Z-Score < - 4.23898 is classified as a failure company, while a company with Z-Score > - 4.23898 is classified as a non failure company. A service company which has Z-Score = - 4.23898 is in the gray area. The precision of discriminant model classification on the analysis sample reaches 95.9% while the accuracy of discriminant model classification prediction to the failure probability of a property and real estate company listed in Indonesia Stock Exchange in 2008 hits 90%. Keywords: financial distress, financial ratios, failure