The Influence of Financial Distress Using Altman Z-Score, the Beta of Stocks and Inflation to the Stock Return

Objective - Stock is one securities among other securities, as a high risk instrument. Stock classified as high risk due to reflection in the uncertainty of the rate of return to be received by investors in the future. The purpose of this research is to examine of financial distress as measured by the Altman Z-Score, systematic risk as measured by beta stocks and macroeconomic measured by inflation on stock returns Manufacturing Company listed on the Stock Exchange 2008-2012 period.Methodology/Technique - From 133 companies listed, 75 companies are taken as sample by using purposive sampling technique. Panel data regression analysis shows that the overall effect of variables is equal to 28.7%.Findings - Partially, the variables that affect the stock returns are financial distress with Altman Z-Score, beta stocks and inflation.Novelty - Financial distress with the measurement using the Altman Z-Score