Lampiran 1.
Nilai
Z-Score, Firm Size, Book to Market Ratio
dan
Return
Saham
Perusahaan Manufaktur Periode 2010 - 2014
No
EMITEN
Tahun
Distress
Risk
Firm Size
Book to
Market
Ratio
Return
Saham
1
PT. Gudang Garam Tbk.
2010
0,259700
1.158.796 0,1045870
0,0245860
2011
0,387570
1.163.485 0,1198530
0,0398700
2012
0,485700
1.115.680 0,1124580
0,0256370
2013
0,658900
1.256.986 0,1204850
0,0399870
2014
1,766380
1.321.919
0,189118
0,0717500
2
PT. Sepatu Bata Tbk.
2010
0,698310
39.650
0,1563280
0,0532600
2011
0,699450
39.940
0,1659830
0,0543250
2012
0,708960
41.683
0,1885603
0,0568900
2013
0,756800
42.510
0,1926774
0,0593580
2014
1,007430
49.092
0,1995283
0,1109270
3 PT. Indocement Tunggal Tbk.
2010
0,638900
1.189.760 0,0634560
0,0245890
2011
0,679642
1.308.645 0,0653280
0,0193580
2012
0,738905
1.338.936 0,0663487
0,0296590
2013
0,834919
1.339.380 0,0673584
0,0369450
2014
1,364384
1.458.615 0,0766369
0,0889630
4
PT. Goodyear Indonesia Tbk.
2010
0,653968
69.358
0,1559835
0,0125360
2011
0,669358
72.340
0,1563284
0,0129830
2012
0,670347
74.001
0,1593568
0,0130250
2013
0,673980
74.150
0,1613247
0,0151690
2014
0,701987
81.201
0,1805046
0,0133850
5
PT. Unilever Indonesia Tbk.
2010
6,789010
1.287.254 0,0101254
0,0458670
2011
6,893140
1.232.890 0,0103586
0,0483560
2012
6,900560
1.394.258 0,0115681
0,0499320
2013
7,005910
1.338.900 0,0114587
0,0504870
2014
7,582480
2.061.136 0,0203982
0,0906300
75
Lampiran 2.
Output Uji Asumsi Klasik
Regression
Variables Entered/Removed
Model
Variables
Entered
Variables
Removed Method
1 Book_To_Market
_Ratio,
Firm_Size,
Distress_Riska
. Enter
a. All requested variables entered.
Coefficient Correlationsa
Model
Book_To_Market
_Ratio Firm_Size Distress_Risk
1 Correlations Book_To_Market_Ratio 1.000 .301 .475
Firm_Size .301 1.000 -.273
Distress_Risk .475 -.273 1.000
Covariances Book_To_Market_Ratio .007 .002 .001
Firm_Size .002 .006 .000
Distress_Risk .001 .000 .001
a. Dependent Variable: Return_Saham
Collinearity Diagnosticsa
Model
Dimensi
on Eigenvalue Condition Index
Variance Proportions
(Constant) Distress_Risk Firm_Size
Book_To_Market
_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
Residuals Statisticsa
Minimum Maximum Mean Std. Deviation N
Predicted Value 90,276.66 757,437.19 387,822.00 154,950.712 30
Std. Predicted Value -1.920 2.385 .000 1.000 30
Standard Error of Predicted
Value
62982.703 122626.242 81219.919 14722.068 30
Adjusted Predicted Value 59,655.65 695,273.19 384,607.11 157,061.201 30
Residual -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
Deleted Residual -322,931.844 741,510.563 3,214.894 244,152.557 30
Stud. Deleted Residual -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
77
Lampiran 3.
Output Analisis Linier Berganda
Regression
Casewise Diagnosticsa
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
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
Residuals Statisticsa
Minimum Maximum Mean Std. Deviation N
Predicted Value 90,276.66 757,437.19 387,822.00 154,950.712 30
Residual -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
