PENGARUH PREDIKSI KEBANGKRUTAN TERHADAP RETURN SAHAM PADA PERUSAHAAN SUBSEKTOR MAKANAN DAN MINUMAN DI NEGARA EMERGING MARKET ASIA TAHUN 2019-2022.

This study was conducted with the aim of evaluating the impact of financial distress on stock returns. This study utilizes a sample taken from Revinitiv Eikon during the period 2019- 2022. This sample consists of 394 companies from 9 Emerging Market Asia countries, in the food and beverage manufacturing subsector. The data used is a combination of cross section data and time series data. The variables involved in this study include stock return as the dependent variable, while financial distress, which is used as an independent variable, is measured by the Altman Z-Score, Springate S-Score, Zmijewski X-Score, and Grover GScore proxies. To analyze the data, panel data analysis method with common effect model was used with the help of Stata software. The results show that simultaneously or together financial distress affects stock returns in food and beverage subsector companies. The results of the t test which shows the individual effect of each variable show that in food and beverage companies the variables that have a positive and significant effect on stock prices are Altman Z-Score, Springate S-Score, and Zmijewski X-Score. The Grover G-Score variable has no effect on stock returns. [ABSTRACT FROM AUTHOR]