Pengaruh Distress Risk,Firm Size, Dan Book To Market Ratio Terhadapreturn Saham Pada Perusahaan Manufaktur Yang Terdaftar Di Bursa Efek Indonesia Periode Tahun 2010 – 2014

Lampiran 1. Nilai Z-Score, Firm Size, Book to Market Ratio dan ReturnSaham
Perusahaan Manufaktur Periode 2010 - 2014

1.158.796
1.163.485
1.115.680
1.256.986
1.321.919

Book to
Market
Ratio
0,1045870
0,1198530
0,1124580
0,1204850
0,189118

0,0245860
0,0398700
0,0256370

0,0399870
0,0717500

0,698310
0,699450
0,708960
0,756800
1,007430

39.650
39.940
41.683
42.510
49.092

0,1563280
0,1659830
0,1885603
0,1926774
0,1995283

0,0532600
0,0543250
0,0568900
0,0593580
0,1109270

2010
2011
2012
2013
2014

0,638900
0,679642
0,738905
0,834919
1,364384

1.189.760

1.308.645
1.338.936
1.339.380
1.458.615

0,0634560
0,0653280
0,0663487
0,0673584
0,0766369

0,0245890
0,0193580
0,0296590
0,0369450
0,0889630

PT. Goodyear Indonesia Tbk.

2010

2011
2012
2013
2014

0,653968
0,669358
0,670347
0,673980
0,701987

69.358
72.340
74.001
74.150
81.201

0,1559835
0,1563284
0,1593568

0,1613247
0,1805046

0,0125360
0,0129830
0,0130250
0,0151690
0,0133850

PT. Unilever Indonesia Tbk.

2010
2011
2012
2013
2014

6,789010
6,893140
6,900560

7,005910
7,582480

1.287.254
1.232.890
1.394.258
1.338.900
2.061.136

0,0101254
0,0103586
0,0115681
0,0114587
0,0203982

0,0458670
0,0483560
0,0499320
0,0504870
0,0906300

2010
2011
2012
2013
2014

1,589325
1,602590
1,639897
1,668720
1,763308

105.890
108.970
110.840
111.015
118.355

0,198546

0,203684
0,209876
0,219289
0,26505

0,0123990
0,0136070
0,0140280
0,0144690
0,0204890

No

EMITEN

Tahun

Distress
Risk

Firm Size

1

PT. Gudang Garam Tbk.

2010
2011
2012
2013
2014

0,259700
0,387570
0,485700
0,658900
1,766380

2

PT. Sepatu Bata Tbk.

2010
2011
2012
2013
2014

3

PT. Indocement Tunggal Tbk.

4

5

6

PT. Tenders Tbk.

Return
Saham

74

Lampiran 2. Output Uji Asumsi Klasik

Regression
Variables Entered/Removed

Model
1

Variables

Variables

Entered

Removed

Method

Book_To_Market

. Enter

_Ratio,
Firm_Size,
Distress_Risk

a

a. All requested variables entered.

Coefficient Correlations

a

Book_To_Market
Model
1

_Ratio
Correlations

Book_To_Market_Ratio

Covariances

Firm_Size

Distress_Risk

1.000

.301

.475

Firm_Size

.301

1.000

-.273

Distress_Risk

.475

-.273

1.000

Book_To_Market_Ratio

.007

.002

.001

Firm_Size

.002

.006

.000

Distress_Risk

.001

.000

.001

a. Dependent Variable: Return_Saham

Collinearity Diagnostics

a

Variance Proportions
Dimensi

Book_To_Market

Model

on

Eigenvalue

Condition Index

(Constant)

Distress_Risk

Firm_Size

_Ratio

1

1

2.794

1.000

.01

.03

.03

.01

2

.886

1.776

.01

.12

.04

.12

3

.253

3.324

.00

.56

.70

.01

4

.067

6.460

.98

.29

.23

.85

a. Dependent Variable: Return_Saham

75

a

Residuals Statistics
Minimum
Predicted Value

Maximum

Mean

Std. Deviation

N

90,276.66

757,437.19

387,822.00

154,950.712

30

-1.920

2.385

.000

1.000

30

62982.703

122626.242

81219.919

14722.068

30

59,655.65

695,273.19

384,607.11

157,061.201

30

-289,078.031

632,663.438

.000

213,929.332

30

Std. Residual

-1.279

2.800

.000

.947

30

Stud. Residual

-1.352

3.032

.007

1.011

30

-322,931.844

741,510.563

3,214.894

244,152.557

30

-1.375

3.697

.037

1.100

30

Mahal. Distance

1.287

7.576

2.900

1.463

30

Cook's Distance

.000

.395

.035

.075

30

Centered Leverage Value

.044

.261

.100

.050

30

Std. Predicted Value
Standard Error of Predicted
Value
Adjusted Predicted Value
Residual

Deleted Residual
Stud. Deleted Residual

a. Dependent Variable: Return_Saham

76

Lampiran 3. Output Analisis Linier Berganda

Regression
Casewise Diagnostics

a

Case
Number

Std. Residual

Return_Saham

Predicted Value

Residual

1

-.699

245,860

403,770.43

-157,910.425

2

-.207

398,700

445,423.19

-46,723.194

3

-.753

256,370

426,551.61

-170,181.611

4

-.339

399,870

476,565.58

-76,695.579

5

1.756

717,500

320,721.09

396,778.908

6

.754

532,600

362,201.88

170,398.123

7

.706

543,250

383,806.38

159,443.622

8

.593

568,900

434,867.91

134,032.090

9

.650

593,580

446,752.19

146,827.811

10

2.800

1,109,270

476,606.58

632,663.425

11

-.406

245,890

337,674.06

-91,784.057

12

-.751

193,580

363,213.10

-169,633.096

13

-.341

296,590

373,571.63

-76,981.633

14

-.051

369,450

381,078.30

-11,628.303

15

1.948

889,630

449,566.54

440,063.458

16

-1.055

125,360

363,829.74

-238,469.740

17

-1.045

129,830

365,909.91

-236,079.908

18

-1.074

130,250

372,973.68

-242,723.684

19

-1.000

151,690

377,575.36

-225,885.364

20

-1.279

133,850

422,928.03

-289,078.025

21

-.479

458,670

566,911.27

-108,241.267

22

-.357

483,560

564,289.82

-80,729.823

23

-.416

499,320

593,404.02

-94,084.024

24

-.376

504,870

589,925.43

-85,055.433

25

.659

906,300

757,437.21

148,862.790

26

.030

123,990

117,171.11

6,818.886

27

.073

136,070

119,528.33

16,541.673

77

28

.075

140,280

123,223.94

17,056.063

29

.079

144,690

126,905.02

17,784.977

30

.507

204,890

90,276.66

114,613.340

a. Dependent Variable: Return_Saham
a

Residuals Statistics
Minimum
Predicted Value

Maximum

Mean

Std. Deviation

N

90,276.66

757,437.19

387,822.00

154,950.712

30

-289,078.031

632,663.438

.000

213,929.332

30

Std. Predicted Value

-1.920

2.385

.000

1.000

30

Std. Residual

-1.279

2.800

.000

.947

30

Residual

a. Dependent Variable: Return_Saham

78