ANALISIS FAKTOR-FAKTOR YANG MEMPENGARUHI PREDIKSI PERINGKAT OBLIGASI
Abstract
The current paper analyze the prediction of the obligation rating and how they are ditermined. Unlike the previous studies, we include both the accounting and the non-accounting factors, and test the explanatory power of the following six variables: (1) the growth , (2) the size (3) the sinking fund, (4) the risk (with or without guarantee), (5) the maturity structure and, (6) the auditor’s judgement.
The data consists of the bank and the financial firms listed in Jakarta Stock Exchange and Surabaya Stock Exchange. As the endogenous variable is discrete, we apply the probit regression model on the data and test how the six exogenous variable above can influence the rating of obligation. The results indicates that in general, the obligation of Indonesian firms are investment grade. The study also conform the significance of the growth, the sinking fund, the maturity and the auditor, while the size and the risk are both insignificant to predict the rating of obligation.Downloads
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References
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Hoven, Mark. S; Mauer, David. C. 1996. The determinants of corporate debt maturity structure. Journal of Business, Vol. 69, No. 3.
Kaplan. R.S, and G. Urwitz. 1979. Statistical models of bond rating: A Methodological Inquiry. The Journal of Business, April.
Kesumawati, Lusi. 2000. Pengaruh peringkat utang dan berbagai faktor yang turut mempengaruhi harga obligasi sebagai variabel kontrol terhadap yield Premium obligasi. Thesis S-2, Pascarsarjana, UGM.
Machfoedz, Mas’ud. 1994. Financial ratio analysis and the prediction of earnings changes in Indonesia. KELOLA, No. 7/ III, p. 114-137.
Maylia, Pramono Sari, 2004. Ketepatan peringkat obligasi antara agen dan peneliti, Tesis S2. UGM, Jogjakarta
Miswanto, and Suad Husnan. 1999. The effect of operating leverage, cyclicality, and firm size on business risk, Gadjah Mada International Journal of Business, Vol. I, No.1.
Nurhasanah, 2003. Kemampuan rasio keuangan dalam memprediksi peringkat obligasi perusahaan manufaktur : Analisis Diskriminan dan Regresi Logistik. Thesis S-2, Pascasarjana, UGM.
Pinches, G. F. and K. A. Mingo. 1975. The role of subordination and industrial bond ratings. The Journal of Finance, March.
PEFINDO. 2002. Indonesian Rating Highlight. Pefindo Credit Rating, August.
Pottier, S.W; and D.W. Sommer. 1997. Agency theory and life insurer ownership structure. The Journal of Risk and Insurance. Vol. 64, December: 529-545.
__________, 1999. Property-liability insurer financial strength ratings: Difference Across Rating Agencies. The Journal of Risk and Insurance, Vol. 66, December.
Rizzi, Joseph. V. 2002. Determining debt capacity. Commercial Lending Review.
Setiyono. 1997. Analisis dampak struktur kepemilikan saham manajerial pada penilaian obligasi perusahaan. Tesis S-2, Pascasarjana, UGM.
Spica. A, Luciana. 2003. Analisis faktor-faktor yang mempengaruhi kondisi financial distress suatu perusahaan yang terdaftar di Bursa Efek Jakarta. SNA VI.
Warsono. 1997. Prospek emisi obligasi di Indonesia. Usahawan, No. 9, Th. XXVI, September.
Wu, Chunchi. 1993. Information asymmetry and the sinking fund provision. Journal of Financial and Quantitative Analysis,Vol. 28, No. 3.
Wydia. 2004. Faktor-faktor yang mempengaruhi pilihan perusahaan terhadap akuntansi konservatif, Tesis S2. UGM. Jogjakarta.
Altman, Edward I. 1968. Financial ratio, Discriminant analysis and the prediction of corporate bankruptcy. The Journal of Finance, pp 589-609.
Beaver, William H. 1966. Financial ratio as predictors of failure. Journal of Accounting Research, p. 71-111.
Brister, et. al. 1994. The regulation effect of bond rating on yield. Journal of Finance, pp. 510-531.
Borde, S.F; K. Chambliss and J. Madura. 1994. Explaining variation in Risk Across insurance companies. Journal of Financial Service Research. Vol 8, September: 177-191.
Bursa Efek Surabaya. 2001. Mengenal Obligasi. Over The Counter Fix Income Service.
Burton, B; Mike, A; and Hardwick, P. 1998. The determinants of credit ratings in United Kingdom insurance industry, download www.google.com.
Chan, K; Jagadeesh, N; and warga, A. 1999. Market based evaluation for model to predict bond ratings and corporate bond trading strategy, download www.google.com.
Deakin, E.B. 1972. A Discriminant Analysis of Predictors of Business Failure, Journal of Accounting Research,March.
Diamond, D.W. 1991. Debt maturity structure and liquidity risk. Quarterly Journal of Economics 106, August.
Elton, Edwin, J and Martin J. Gruber. 1995. Modern Portfolio Theory and Investment Analysis, Fifth Edition, John Willey & Sons, Inc., New York.
Foster, George. 1986. Financial Statement Analysis. Prentice Hall International, Inc.
Gujarati, D.N., Basic Econometric third edition, Mc Graw_Hill, Inc
Horrigan, J. 1966. The determination of long term credit standing with financial ratios, empirical research in accounting : Selected Studies. Supplement to Journal of Accounting Research.
Hoven, Mark. S; Mauer, David. C. 1996. The determinants of corporate debt maturity structure. Journal of Business, Vol. 69, No. 3.
Kaplan. R.S, and G. Urwitz. 1979. Statistical models of bond rating: A Methodological Inquiry. The Journal of Business, April.
Kesumawati, Lusi. 2000. Pengaruh peringkat utang dan berbagai faktor yang turut mempengaruhi harga obligasi sebagai variabel kontrol terhadap yield Premium obligasi. Thesis S-2, Pascarsarjana, UGM.
Machfoedz, Mas’ud. 1994. Financial ratio analysis and the prediction of earnings changes in Indonesia. KELOLA, No. 7/ III, p. 114-137.
Maylia, Pramono Sari, 2004. Ketepatan peringkat obligasi antara agen dan peneliti, Tesis S2. UGM, Jogjakarta
Miswanto, and Suad Husnan. 1999. The effect of operating leverage, cyclicality, and firm size on business risk, Gadjah Mada International Journal of Business, Vol. I, No.1.
Nurhasanah, 2003. Kemampuan rasio keuangan dalam memprediksi peringkat obligasi perusahaan manufaktur : Analisis Diskriminan dan Regresi Logistik. Thesis S-2, Pascasarjana, UGM.
Pinches, G. F. and K. A. Mingo. 1975. The role of subordination and industrial bond ratings. The Journal of Finance, March.
PEFINDO. 2002. Indonesian Rating Highlight. Pefindo Credit Rating, August.
Pottier, S.W; and D.W. Sommer. 1997. Agency theory and life insurer ownership structure. The Journal of Risk and Insurance. Vol. 64, December: 529-545.
__________, 1999. Property-liability insurer financial strength ratings: Difference Across Rating Agencies. The Journal of Risk and Insurance, Vol. 66, December.
Rizzi, Joseph. V. 2002. Determining debt capacity. Commercial Lending Review.
Setiyono. 1997. Analisis dampak struktur kepemilikan saham manajerial pada penilaian obligasi perusahaan. Tesis S-2, Pascasarjana, UGM.
Spica. A, Luciana. 2003. Analisis faktor-faktor yang mempengaruhi kondisi financial distress suatu perusahaan yang terdaftar di Bursa Efek Jakarta. SNA VI.
Warsono. 1997. Prospek emisi obligasi di Indonesia. Usahawan, No. 9, Th. XXVI, September.
Wu, Chunchi. 1993. Information asymmetry and the sinking fund provision. Journal of Financial and Quantitative Analysis,Vol. 28, No. 3.
Wydia. 2004. Faktor-faktor yang mempengaruhi pilihan perusahaan terhadap akuntansi konservatif, Tesis S2. UGM. Jogjakarta.
Published
2006-09-09
How to Cite
Andry, W. (2006). ANALISIS FAKTOR-FAKTOR YANG MEMPENGARUHI PREDIKSI PERINGKAT OBLIGASI. Buletin Ekonomi Moneter Dan Perbankan, 8(2), 243 -. https://doi.org/10.21098/bemp.v8i2.135
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Buletin Ekonomi Moneter dan Perbankan / Bulletin of Monetary Economics and Banking is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License.
