Abstract
This study investigates: a) the influence o f firm size and book-to-market ratio on bankruptcy risk, and b) the effect o f bankruptcy risk, firm size, and book-to-market ratio on subsequent return. The study employs Altman Z-Score and Ohlson 0-Score as proxies for bankruptcy risk. The results show that size has positive impact on Bankruptcy Risk measured by Altman Z-Score while book-to-market has positive impact on bankruptcy risk measured Ohlson 0-Score. Furthermore, the results show that none o f the variables has significant impact on subsequent return. Overall, this study asserts Dichev’s (1998) findings that bankruptcy risk is not rewarded by higher stock returns and therefore not systematic.
Recommended Citation
Utama, Cynthia Afriani and Lumondang, Astari
(2009)
"PENGARUH BANKRUPTCY RISK, SIZE DAN BOOK-TO-MARKET PERUSAHAAN TERHADAP IMBAL HASIL,"
Jurnal Akuntansi dan Keuangan Indonesia: Vol. 6:
Iss.
2, Article 2.
DOI: 10.21002/jaki.2009.08
Available at:
https://scholarhub.ui.ac.id/jaki/vol6/iss2/2
