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Volume 3, No. 2, December 2021
p- ISSN 2777-0915 | e-ISSN 2797-6068
THE EFFECT OF FINANCIAL DISTRESS OF THE
ALTMAN, SPRINGATE, AND ZMIJEWSKI MODELS ON
STOCK RETURNS OF INDONESIAN
TRANSPORTATION ISSUERS IN 2016-2020
Abdi Putra
1
Rangga Putra Ananto
2
Randy Heriyanto
3
Padang State Polytechnic, Indonesia
Email: abdiputram[email protected], Rangga@pnp.ac.id,
[email protected]
Introduction
The transportation company is a company that has a large number of
fixed assets. Therefore, the transportation company has a fairly large
Keywords
Financial Distress,
Altman, Altman
Modified,
Springate,
Zmijewski, Stock
Prices, Stock
Returns, Failure,
Bankruptcy,
Financial
Performance,
Financial Difficulties
Article Info
Accepted:
November, 24
th
2021
Revised:
December, 4
th
2021
Approved:
December, 13
rd
2021
Abstract Financial distress is a condition where the
company is unable to fulfill its obligations. This is usually
accompanied by consecutive negative earnings. The
transportation sector is one sector that is vulnerable to
experiencing financial distress. This is due to the many
new, more innovative competitors. As well as regulatory
policies that are not in favor of this industry. Therefore,
the burden borne by the company is not proportional to
the income earned, resulting in financial difficulties. To
measure this financial distress, the author uses several
models such as: Altman model, Springate model, and
Zmijewski model. This study examines the effect of
financial distress from each of these models on stock
returns. The data used in this study comes from financial
reports and other financial data for the period 2016-
2020. The results showed that there was no significant
effect of the Altman, Springate, and Zmijewski models of
financial distress on stock returns in this sector.
Abdi Putra, Rangga Putra Ananto, Randy Heriyanto
The Effect of Financial Distress of the Altman, Springate, and Zmijewski Models on
Stock Returns of Indonesian Transportation Issuers in 2016-2020 107
depreciation expense on these fixed assets. This is a challenge for business
people in this sector. As a company engaged in the service sector, of course, the
quality and innovation of service will have an impact on the customer's choice of
the company. The company's ability to acquire these customers has an impact on
the company's revenue. Companies that are not able to compete in providing
services to customers cause the company to record revenues that are not
commensurate with the burdens that must be borne. This will cause financial
difficulties for the company.
In recent years, transportation companies have experienced a
"depression" due to the presence of new competitors and the effects of the
pandemic. The presence of online transportation has an impact on conventional
transportation income. According to (Hendrayanti, 2018), 88.86% switched to
using online transportation. A total of 20.46% of 88.86% are conventional taxi
users. Online transportation is more desirable than conventional transportation
because it is practical, cheaper and certain. Online transportation resulted in a
decrease in conventional transportation income in the City of Kediri
(Mukaromah, Yuliari, & Arifin, 2019).
Service users who tend to decline are a threat to the sustainability of
transportation companies. The decrease in service users will have an impact on
decreasing the company's revenue. Decreased income will increase the expense
ratio even greater. The growing load ratio is a threat that is quite difficult for
transportation companies to control. This is because transportation companies
have a very large fixed asset value in the form of vehicles compared to other
assets. This large fixed asset will have a large impact on the depreciation expense
of fixed assets. In addition, the large fixed asset maintenance costs must also be
borne by the company. Therefore, if the income tends to decrease, the
profitability and solvency of the company will get worse. If this condition
continues, financial distress will occur and the potential for bankruptcy will
occur. For this reason, it is necessary to analyze financial distress by stakeholders
before making investment or managerial decisions in a company.
According to Ramadhani & Lukviarman (2009) financial distress is the
stage of decreasing the financial condition of a company prior to bankruptcy or
liquidation. The financial distress model has been used to analyze the
performance of companies from different industries. The financial distress model
was first introduced by Altman (1968), known as the Altmant Z-Score. This model
has been widely used and is still relevant for predicting a company that is
experiencing financial difficulties, gray area, or healthy (Altman, et al, 2017). In
1995, Edward Altmant then modified the model, so that it can be used to predict
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the financial distress of manufacturing and non-manufacturing companies.
After the 1970s, several other models have been introduced to predict
financial distress such as Springate (1978), Ohlson (1980); Zmijewski (1983); and
Grover and Lavin (2001). The names of the models are given based on the name
of the researcher who first introduced them. Tanjung (2020) analyzes financial
distress using the discriminant model popularized by Altman in 1968, the
Springate model in 1978, the logit model introduced by Ohlson in 1980, and the
probit model developed by Zmijewski in 1984.
Research on financial distress has been carried out by several previous
researchers. Previous researchers have used various models of financial distress
analysis in their research. In these various studies, some only used one model in
their research and some used many models in their research. Research that uses
more than one model usually makes comparisons to determine the best model in
the research. Some of the literature also examines the effect of financial distress
analysis on other variables such as: stock prices, company delisting, and others.
From previous studies, no research has been found that examines the
effect of financial distress, namely the Altman, Springate, and Zmijewski models
on transportation stock returns on the IDX in 2016-2020. Research by Syamni et
al. (2018) is almost similar to the research that will be tested in this discussion.
Syamni et al. (2018) uses the same five models of financial distress as this study.
In this study, the authors use three models of financial distress, namely Altman,
Springate, and Zmijewski. In addition to analyzing this research, it also examines
the effect of each model on stock prices. The differences between the studies of
Syamni et al. (2018) with research in this discussion is located from the analysis
tool used. Syamni et al. (2018) uses the panel data regression method, while this
study uses a simple linear regression method with the object of research being
the transportation sub-sector companies listed on the Indonesia Stock Exchange
in 2016-2020.
In a literature review, several studies use the Altman or Altman model in
measuring the financial distress of a company. There are studies that examine
the effect of the results of financial distress from the model on stock prices.
Altman model calculations on Indonesian coal companies indicate that three
companies are healthy, 16 other companies are indicated to be bankrupt
(Syamni et al., 2018). In addition, the results of testing the influence of the
Altman model bankruptcy prediction on stock prices show results that have a
significant effect. Analysis of the potential bankruptcy of the Altman model has a
Abdi Putra, Rangga Putra Ananto, Randy Heriyanto
The Effect of Financial Distress of the Altman, Springate, and Zmijewski Models on
Stock Returns of Indonesian Transportation Issuers in 2016-2020 109
significant effect on coal stock prices (Abbas, Kusdianto, & Inayah, 2020). The
financial distress analysis of the Altman model has a partial effect on the stock
price of property and real estate companies (Gantino & Jonathan, 2020). Based
on the description above, the following hypothesis is proposed:
H1: There is an effect of Altman's Financial distress model on transportation
stock prices.
Syamni et al. (2018) tested the effect of the Springate model's bankruptcy
prediction on coal stock prices. The analysis carried out shows that the Springate
model has no significant effect on the stock price. Analysis of the potential for
bankruptcy of the Springate model has no effect on coal stock prices (Abbas et
al., 2020). The financial distress analysis of the Springate model has a partial
effect on the stock price of property and real estate companies (Gantino &
Jonathan, 2020). The bankruptcy analysis of the Springate model has an
influence on oil and coal mining stock prices (Darmayanti et al., 2020). Based on
the description above, the following hypothesis is proposed:
H2: There is an effect of financial distress on the Springate model on
transportation stock prices.
Syamni et al. (2018) found that the effect of the Zmijewski model's
potential bankruptcy prediction on coal stock prices has a significant effect.
Zmijewski's analysis of financial distress does not partially affect stock prices of
property and real estate companies (Gantino & Jonathan, 2020). Zmijewski
model bankruptcy prediction analysis has no effect on oil and coal mining stock
prices (Darmayanti et al., 2020). Based on the description above, the following
hypothesis is proposed:
H3 : There is an effect of Zmijewski's financial distress model on transportation
stock prices.
Research Method
In this study, the population is all transportation sub-sector companies
listed on the Indonesia Stock Exchange. In determining the sample of this study
using purposive sampling. The sample criteria used in this study are as follows:
1. Companies that have been listed in 2015.
2. Transportation sub-sector companies that publish annual financial reports as
of December 31 every year in the 2015-2020 period.
3. Have a negative profit of at least two consecutive years in the 2016-2020
period (Ananto, 2020).
4. Have complete stock price data.
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The source of data in this study is the financial statements of companies
in the transportation sub-sector in Indonesia. Financial data taken is data for
2015-2020. Financial report data is obtained from the IDX's official website
(www.idx.co.id) or through the company's official website or credible website
that presents financial reports. In addition, data related to GNP is obtained from
the website www.macrotrends.net. For stock price data obtained from the site
www.finance.yahoo.com. From the data obtained then processed into.
The data collection method used is the documentation method. The
documentation method is carried out by obtaining data from written sources in
the form of journals, books, documents, regulations, meeting minutes, and
others (Sugiyono, 2013).
Result and Discussion
Altman Model
Table 1. Kolmogorov-Smirnov 1 . test
One-Sample Kolmogorov-Smirnov Test
Unstandardize
d Residual
N
73
Normal Parameters
a,b
Mean
,0000000
Std. Deviation
,07836033
Most Extreme
Differences
Absolute
,126
Positive
,117
Negative
-,126
Test Statistic
,126
Asymp. Sig. (2-tailed)
,006
c
Monte Carlo Sig. (2-
tailed)
Sig.
,179
d
99% Confidence
Interval
,170
,189
a. Test distribution is Normal.
b. Calculated from data.
c. Lilliefors Significance Correction.
d. Based on 10000 sampled tables with starting seed 334431365.
Source: data processed
Abdi Putra, Rangga Putra Ananto, Randy Heriyanto
The Effect of Financial Distress of the Altman, Springate, and Zmijewski Models on
Stock Returns of Indonesian Transportation Issuers in 2016-2020 111
From the table above, it is known that the significance value of the
Kolmogorov-Smirnov test is 0.179. The significance value is greater than the
significant 0.05. This indicates that the data has been normally distributed.
Table 2. Durbin-Watson test
Model Summary
b
Model
R
R Square
Adjusted R
Square
Std. Error of
the Estimate
Durbin-Watson
1
,120
a
,014
,001
,07891
1,891
a. Predictors: (Constant), ALTMAN1
b. Dependent Variable: RETURN1
Source: data processed
From table 2. Durbin-Watson test results show that the Durbin-Watson
(DW) value is 1.891. Autocorrelation does not occur if the value of dU < DW < 4-
dU. To find the value of dU, the Durbin-Watson table is used. The number of
observations in this study was 73 with the number of independent variables as
much as one variable and a significance of 5%. Based on the DW table, the dU
value is 1.6479. To obtain a 4-dU value, 4-1.6479 is equal to 2.3521. After the dU
and 4-dU values are obtained, the equation 1.6479 < 1.891 < 2.3521 is obtained.
These results indicate that there is no autocorrelation.
Table 3. Glejser test results heteroscedasticity
Coefficients
a
Model
Unstandardized
Coefficients
Standardized
Coefficients
t
Sig.
B
Std. Error
Beta
1
(Constant)
,102
,362
,282
,779
ALTMAN1
-,009
,072
-,015
-,123
,902
a. Dependent Variable: ABS
Source: data processed
From table 3 it is known that the independent variable Altman has a
significance of 0.902. The significance value is greater than the significant 0.05.
This indicates that there is no heteroscedasticity or homoscedasticity in the
observation data.
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Table 4. Altman Correlation and Stock Return
Correlations
RETURN1
ALTMAN1
RETURN1
Pearson Correlation
1
,120
Sig. (2-tailed)
,312
N
73
73
ALTMAN1
Pearson Correlation
,120
1
Sig. (2-tailed)
,312
N
73
73
Source: data processed
From table 4 it is known that the value of the Pearson correlation
coefficient is 0.120. The direction of the correlation of the resulting is a positive
correlation. This positive relationship indicates that there is a relationship when
the Altman value increases, the stock return will also increase. However, the
correlation coefficient figures show a weak relationship because the positive
correlation value is smaller than 0.5. The significance resulting from testing the
relationship between the results of the Altman model score and stock returns is
0.312. From this it can be concluded that the relationship between the Altman
model of financial distress and stock returns has a weak and positive relationship
and is not significant.
Table 5. Partial Test
Coefficients
a
Model
Unstandardized
Coefficients
Standardized
Coefficients
t
Sig.
B
Std. Error
Beta
1
(Constant)
,719
,536
1,341
,184
ALTMAN1
,108
,106
,120
1,019
,312
a. Dependent Variable: RETURN1
Source: data processed
Partial test results show that the resulting coefficient is 0.108. This figure
shows that there is a positive effect of each increase in Altman's score on stock
returns of 0.108. From the resulting significance value, it shows that there is an
insignificant effect of the Altman model of financial distress on transportation
stock returns. This is because the significance value of the t-test of 0.312 is
greater than the significance of 0.025. It can be concluded that the Altman model
Abdi Putra, Rangga Putra Ananto, Randy Heriyanto
The Effect of Financial Distress of the Altman, Springate, and Zmijewski Models on
Stock Returns of Indonesian Transportation Issuers in 2016-2020 113
of financial distress has a positive and insignificant effect on transportation stock
returns.
From the results of the coefficient of determination test, the R2 value is
0.014. This shows that the influence of the Altman model of financial distress on
stock returns is 1.4%. The remaining 98.6% is influenced by other factors. The
following is the resulting regression model:
Y= 0.719 + 0.108 Altman +e
Information:
Y = stock return
Altman = Altman Model Value
e = error rate
Based on the results of the T test that the resulting model is not reliable
because the significance value is greater than 0.025. Therefore, the simple
regression model above should not be used in projecting stock returns.
Springate Models
Table 6. Kolmogorov-Smirnov 2 . test
One-Sample Kolmogorov-Smirnov Test
Unstandardized
Residual
N
76
Normal Parameters
a,b
Mean
,0000000
Std. Deviation
,09289846
Most Extreme
Differences
Absolute
,151
Positive
,096
Negative
-,151
Test Statistic
,151
Asymp. Sig. (2-tailed)
,000
c
Monte Carlo Sig. (2-
tailed)
Sig.
,055
d
99% Confidence
Interval
,049
,061
a. Test distribution is Normal.
b. Calculated from data.
c. Lilliefors Significance Correction.
d. Based on 10000 sampled tables with starting seed 303130861.
Source: data processed
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From the table above, it is known that the significance value of the
Kolmogorov-Smirnov test is 0.55. The significance value is greater than the
significant 0.05. This indicates that the data has been normally distributed.
Table 7. Durbin-Watson 2 . test
Model Summary
b
Model
R
R Square
Adjusted R
Square
Std. Error of
the Estimate
Durbin-
Watson
1
,187
a
,035
,022
,09352
2,300
a. Predictors: (Constant), SPRINGATE1
b. Dependent Variable: RETURN1
Source: data processed
From table 7. Durbin-Watson test results show that the Durbin-Watson
(DW) value is 2,300. Autocorrelation does not occur if the value of dU < DW < 4-
dU. To find the value of dU, the Durbin-Watson table is used. The number of
observations in this study was 70 with the number of independent variables as
much as one variable and a significance of 5%. Based on the DW table, the dU
value is 1.6561. To obtain a 4-dU value, 4-1.6561 is equal to 2.3439. After the dU
and 4-dU values are obtained, the equation 1.6561 < 2.300 < 2.3439 is obtained.
These results indicate that there is no autocorrelation.
Table 8. Glejser test results heteroscedasticity 2
Coefficients
a
Model
Unstandardized
Coefficients
Standardized
Coefficients
t
S
ig.
B
Std. Error
Beta
1
(Constant)
-,046
,123
-,376
708
SPRINGATE1
,063
,071
,103
,895
374
a. Dependent Variable: ABS
Source: data processed
From table 8. it is known that the independent variable Springate has a
significance of 0.374. The significance value is greater than the significant 0.05.
This indicates that there is no heteroscedasticity or homoscedasticity in the
observation data.
Abdi Putra, Rangga Putra Ananto, Randy Heriyanto
The Effect of Financial Distress of the Altman, Springate, and Zmijewski Models on
Stock Returns of Indonesian Transportation Issuers in 2016-2020 115
Table 9. Springate Correlation and Stock Return
Correlations
SPRINGA
TE1
RETUR
N1
SPRINGATE1
Pearson Correlation
1
-,187
Sig. (2-tailed)
,105
N
76
76
RETURN1
Pearson Correlation
-,187
1
Sig. (2-tailed)
,105
N
76
76
Source: data processed
From table 9. it is known that the value of the Pearson correlation
coefficient is -0.187. The direction of the correlation of the resulting is a negative
correlation. This negative relationship indicates that there is a relationship when
the Springate value increases, the stock return will decrease or vice versa.
However, the correlation coefficient figures show a weak relationship because
the negative correlation value is greater than -0.5. The significance resulting from
testing the relationship between the scores of the Springate model and stock
returns is 0.105.
Table 10. Partial Test 2
Coefficients
a
Model
Unstandardized
Coefficients
Standardized
Coefficients
t
S
ig.
B
Std. Error
Beta
1
(Constant)
1,533
,172
8,929
000
SPRINGATE1
-,162
,099
-,187
-1,640
105
a. Dependent Variable: RETURN1
Source: data processed
Partial test results show that the resulting coefficient is -0.162. This figure
shows that there is a negative effect of any increase in the Springate score on
stock returns of 0.162. From the resultant significance value, it shows that there
is no significant effect of Springate's financial distress model on transportation
stock returns. This is because the significance value of the t-test of 0.105 is
greater than the significance of 0.025. It can be concluded that the financial
distress of the Springate model has a negative and insignificant effect on
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transportation stock returns. From the results of the coefficient of determination
test, the R2 value is 0.035. This shows that the influence of the Springate model
of financial distress on stock returns is 3.5%. The remaining 96.5% is influenced
by other factors. Here is the resulting model
Y= 1.533 – 0.162 Springate +e
Information:
Y = stock return
Springate = Springate Model Value
e = error rate
Based on the results of the T test that the resulting model is not reliable
because the significance value is greater than 0.025. From the equation, it is
known that if the Springate value is zero, the stock return is estimated at 5.218.
Because the resulting model is not reliable, it is better not to use the resulting
model to predict stock returns.
Zmijewski Models
Table 11. Kolmogorov-Smirnov 4 . test
One-Sample Kolmogorov-Smirnov Test
Unstandardize
d Residual
N
77
Normal
Parameters
a,b
Mean
,0000000
Std. Deviation
,07302552
Most Extreme
Differences
Absolute
,132
Positive
,113
Negative
-,132
Test Statistic
,132
Asymp. Sig. (2-tailed)
,002
c
Monte Carlo Sig. (2-
tailed)
Sig.
,128
d
99% Confidence
Interval
,120
,137
a. Test distribution is Normal.
b. Calculated from data.
c. Lilliefors Significance Correction.
d. Based on 10000 sampled tables with starting seed 2048628469.
Source: data processed
Abdi Putra, Rangga Putra Ananto, Randy Heriyanto
The Effect of Financial Distress of the Altman, Springate, and Zmijewski Models on
Stock Returns of Indonesian Transportation Issuers in 2016-2020 117
From the table above, it is known that the significance value of the
Kolmogorov-Smirnov test is 0.128. The significance value is greater than the
significant 0.05. This indicates that the data is normally distributed
Table 12. Durbin-Watson 4 test
Model Summary
b
Model
R
R Square
Adjusted R
Square
Std. Error of
the Estimate
Durbin-Watson
1
,118
a
,014
,001
,07351
1,903
a. Predictors: (Constant), ZMIJEWSKI1
b. Dependent Variable: RETURN1
Source: data processed
From table 12, the Durbin-Watson test results show that the Durbin-
Watson (DW) value is 1.903. Autocorrelation does not occur if the value of dU <
DW < 4-dU. To find the value of dU, the Durbin-Watson table is used. The
number of observations in this study was 77 with the number of independent
variables as much as one variable and a significance of 5%. Based on the DW
table, the dU value is 1.6561. To obtain a 4-dU value, 4-1.6561 is equal to 2.3439.
After the dU and 4-dU values are obtained, the equation 1.6561 < 1.903 < 2.3439
is obtained. These results indicate that there is no autocorrelation.
Table 13. Glejser test results heteroscedasticity 4
Coefficients
a
Model
Unstandardized
Coefficients
Standardized
Coefficients
t
Sig.
B
Std. Error
Beta
1
(Constant)
,054
,054
,999
,321
ZMIJEWSKI1
-,001
,020
-,004
-,034
,973
a. Dependent Variable: ABS
Source: data processed
From table 13. it is known that the independent variable Zmijewski has a
significance of 0.973. The significance value is greater than the significant 0.05.
This indicates that there is no heteroscedasticity or homoscedasticity in the
observation data.
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Table 14. Zmijewski Correlation and Stock Return
Correlations
ZMIJEWSKI1
RETURN1
ZMIJEWSKI1
Pearson Correlation
1
-,118
Sig. (2-tailed)
,307
N
77
77
RETURN1
Pearson Correlation
-,118
1
Sig. (2-tailed)
,307
N
77
77
Source: data processed
From table 14. it is known that the value of the Pearson correlation
coefficient is -0.118. The direction of the correlation of the resulting is a negative
correlation. This negative relationship indicates that there is a relationship when
the Zmijewski value increases, the stock return will decrease or vice versa.
However, the correlation coefficient figures show a weak relationship because
the negative correlation value is greater than -0.5. The significance resulting from
testing the relationship between the results of the Zmijewski model score with
stock returns is 0.307. From this, it can be concluded that the relationship
between the Zmijewski model of financial distress and stock returns has a weak
and negative relationship and is not significant.
Table 15. 3 Partial Test
Coefficients
a
Model
Unstandardized
Coefficients
Standardized
Coefficients
t
Sig.
B
Std. Error
Beta
1
(Constant)
1,343
,077
17,346
,000
ZMIJEWSKI1
-,029
,028
-,118
-1,029
,307
a. Dependent Variable: RETURN1
Source: data processed
Partial test results show that the resulting coefficient is -0.029. This figure
shows that there is a negative effect of any increase in Zmijewski's score on stock
returns of 0.029. From the resulting significance value, it shows that there is no
significant effect of Zmijewski's financial distress model on transportation stock
returns. This is because the significance value of the t-test of 0.307 is greater
than the significance of 0.025. It can be concluded that the Zmijewski model of
Abdi Putra, Rangga Putra Ananto, Randy Heriyanto
The Effect of Financial Distress of the Altman, Springate, and Zmijewski Models on
Stock Returns of Indonesian Transportation Issuers in 2016-2020 119
financial distress has a negative and insignificant effect on transportation stock
returns. From the results of the coefficient of determination test, the R2 value is
0.014. This shows that the effect of Zmijewski's model of financial distress on
stock returns is 1.4%. The remaining 98.6% is influenced by other factors. The
following is the resulting regression model:
Y= 1.343 – 0.029 ZMIJEWSKI +e
Information:
Y = stock return
ZMIJEWSKI = Zmijewski Model Value
e = error rate
From this equation, it is known that if the Zmijewski value is zero, the
stock return is estimated to be 1.343. Based on the results of the T test that the
resulting model is not reliable because the significance value is greater than
0.025. Therefore, this model should not be used to project stock returns.
The results of hypothesis testing indicate that the significance value of
the Altman model on stock prices is 0.312. This value indicates that there is no
significant effect of Altman's financial distress model on stock returns of
transportation companies listed on the IDX in 2016-2020. The effect of the
Altman model is 0.108 positively. This indicates that if the calculation output of
the Altman model increases by one unit, the company's stock return will also
increase by 0.108. In another sense, if the company is getting healthier or
avoiding difficulties, the stock return will increase.
In line with the results of the influence test, the correlation test shows
that there is no significant relationship between financial distress in the Altman
model and transportation stock returns. This is because the significance value of
the Altman model for the correlation test is the same as the significance of the
correlation test of 0.108. From the two tests, it can be seen that the influence
test and the relationship test between the Altman model of financial distress are
not significant.
PT Eka Sari Lorena Tbk (LRNA) is a company that is included in the
transportation sector. In 2017 LRNA had a WCTA ratio of 0.043. If the WCTA is
multiplied by the WCTA coefficient (X1) of 6.56, the value is 0.283. The ratio of
retained earnings to total assets (X2) LRNA is -0.098. If this value is multiplied by
a coefficient of 3.26, a value of -0.319 is obtained. The third ratio is EBIT to total
assets, the resulting company value is -0.146. If this third ratio is multiplied by a
coefficient of 6.72, the value is -0.981. The fourth ratio is BVE/BVL, this ratio has
a value of 4,688. If this ratio is multiplied by a coefficient of 1.05, the value is
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4.922. Overall financial distress at LRNA companies in 2017 had a value of 3,905.
This shows that in 2017 LRNA issuers did not experience financial distress.
In 2017 LRNA issuers had a stock return of -57.3%. This is contrary to the
condition of companies that do not experience financial distress according to the
Altman model. Market conditions that are opposite to the company's conditions
indicate that investors do not pay attention to the Altman model of financial
distress in their investment decisions. This explains that the relationship and the
influence of the Altman model of financial distress analysis on stock returns are
not significant in influencing investor decisions. In addition, the cause of the
insignificance of the Altman model is that there are companies that are in the
15.3% gray area.
The results of this study are different from previous studies which state
that there is a significant influence between the Altman model of financial
distress on stock prices. These studies include (Syamni et al., 2018) which predict
the potential for bankruptcy of the Altman model on coal mining stock prices.
Abbas et al., (2020) who found that there was a significant effect of the Altman
model bankruptcy prediction on coal stock prices. gantino & Jonathan (2020) in
their research also states that the Altman model of financial distress has a
significant effect on stock prices of property and real estate companies.
The results of hypothesis testing indicate that the significance value of
the Springate model on stock prices is 0.105. This value indicates that there is no
significant effect of Springate's financial distress model on stock returns of
transportation companies listed on the IDX in 2016-2020. In addition to the
influence test, this study also looks at the relationship between financial distress
in the Springate model on the return of transportation stocks
In line with the results of the influence test, the correlation test shows
that there is an insignificant relationship between financial distress in the
Springate model and transportation stock returns. This is because the
significance value of the Springate model for the correlation test is the same as
the significance of the correlation test of 0.105. From the two tests, it can be
seen that the influence test and the relationship test between the Springate
model of financial distress and stock returns are not significant.
PT Express Trasindo Utama Tbk (TAXI) is one of the companies included in
the transportation company. In 2018 this TAXI issuer produced an X1 value of
0.105; X2 value is -1.738; X3 value is -0.454; and X4 value of 0.076. Overall, TAXI
in 2018 produced a financial distress value of the Springate model -2.011. From
the results of the Springate score, it can be seen that the company is in a state of
financial distress. This is because the resulting score is smaller than 0.862.
Abdi Putra, Rangga Putra Ananto, Randy Heriyanto
The Effect of Financial Distress of the Altman, Springate, and Zmijewski Models on
Stock Returns of Indonesian Transportation Issuers in 2016-2020 121
In 2018 the issuer of TAXI had a stock return of 80%. This condition is in
contrast to the condition of companies experiencing financial distress. The
insignificantness of the Springate model corresponds to the insignificantness of
the Altman model. This is because in the Springate model there are several ratios
that are the same as the Altman model. So when Altman is not significant then
Springate will have great potential to produce the same result. This explains that
the relationship and influence of the Springate model of financial distress
analysis on stock returns is not significant.
The results of this study are not in line with research (Gantino &
Jonathan, 2020) which shows that the Springate model has a partially significant
effect on stock prices of property and real estate companies. The same results
were also shown in research (Darmayanti et al., 2020) on oil and coal mining
companies. The results, which are consistent with this study, show that there is
no significant effect of Springate's financial distress model on coal stock prices
(Abbas et al., 2020). The results that have no effect are also shown by Syamni et
al. (2018) which examines the significant effect of the Springate model
bankruptcy prediction on coal stock prices.
The test of the effect of Zmijewski's financial distress model on
transportation stock returns has a significance of 0.307. The result of this test is
greater than the significance of 0.025. This value indicates that there is no
significant effect of Zmijewski's financial distress model on transportation stock
returns. In addition to the influence test, this study also uses a correlation test or
testing the relationship between two variables.
In line with the results of the influence test, the correlation test shows
that there is no significant relationship between financial distress in the
Zmijewski model and transportation stock returns. This is because the
significance value of the Zmijewski model for the correlation test is the same as
the significance of the correlation test of 0.307. From the two tests, it can be
seen that the influence test and the relationship test between Zmijewski's
financial distress model on stock returns are not significant.
The return on assets (ROA) of PT Tanah Laut Tbk (INDX) in 2018 was -
1.022; when multiplied by the X1 coefficient of 4.5, the X1 value is -4.601. Debt
ratio in 2018 was 0.006; when multiplied by the X2 coefficient of 5.7, the X2
value of 0.036 is obtained. The current ratio in 2018 is 421,994; when multiplied
by the X3 coefficient of 0.004 then the X3 value is 1.688. Overall, the Zmijewski
INDX model's financial distress in 2018 was -1.351. From these results it is known
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that according to Zmijewski INDX 2018 did not experience financial difficulties.
In 2018 the INDX issuer had a stock return of -13.2%. This is contrary to
the condition of companies that do not experience financial distress according to
the Zmijewski model. The insignificance of the Zmijewski model is due to the lack
of attention to the company's ROA ratio. This can be seen when the ROA is
negative, the stock return actually shows a positive change. In addition, the
financial ratios used in the Zmijewski model are also the least, only three
financial ratios. The results of the calculation of financial distress also show that
Zmijewski predicts companies in financial distress at the least.
In line with this research, the Zmijewski model of financial distress has no
significant effect on stock prices of property and real estate companies (Gantino
& Jonathan, 2020). The bankruptcy prediction of the Zmijewski model also has
no significant effect on oil and coal mining stock prices (Darmayanti et al., 2020).
Different research results are shown by Syamni et al. (2018) that there is a
significant effect of the Zmijewski model's bankruptcy prediction on coal stock
prices. However, because the significance of the study is not significant,
stakeholders can ignore or continue to use the Zmijewski model according to
their respective interests.
Conclusion
This study examines the effect of the Altman, Springate, and Zmijewski
financial distress models on the stock prices of transportation issuers in 2016-
2020. This study used an initial sample of 17 companies with a total of 85
observations. Then from each model analyzed separately using correlation and
simple regression. From the results of the study, the following conclusions were
obtained:
a) Altman's financial distress model has no significant effect on stock prices
of Indonesian transportation issuers. This causes hypothesis one to be
rejected.
b) Springate's financial distress model has no significant effect on the stock
price of Indonesian transportation issuers. This causes hypothesis two to
be rejected.
c) Zmijewksi's financial distress model has no effect on the stock price of
Indonesian transportation issuers. This causes hypothesis three to be
rejected.
Abdi Putra, Rangga Putra Ananto, Randy Heriyanto
The Effect of Financial Distress of the Altman, Springate, and Zmijewski Models on
Stock Returns of Indonesian Transportation Issuers in 2016-2020 123
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Copyright holder :
Abdi Putra, Rangga Putra Ananto, Randy Heriyanto
(2021)
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Devotion : Journal of Research and Community Service
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