PENGARUH BANKRUPTCY RISK, SIZE DAN BOOK-TO-MARKET PERUSAHAAN TERHADAP IMB AL HASIL

This study investigates: a) the influence of firm size and book-to-market ratio on bankruptcy risk, and b) the effect of bankruptcy risk, firm size, and book-to-market ratio on subsequent return. The study employs Altman Z-Score and Ohlson 0-Score as proxies fo r 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 of 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.