Penelitian ini bertujuan ntuk mengetahui pengaruh prediksi kebangkrutan terhadap harga saham perusahaan. Penelitian ini menggunakan 20 perusahaan BUMN yang listing di BEI periode 2012- 2016 sebagai populasi. Kriteria perusahaan yang dijadikan sampel untuk penelitian ini yaitu perusahaan yang terindikasi financial distress dan perusahaan yang sehat dalam perhitungan Altman z-score. Model analisis regresi linier berganda merupakan model yang ditetapkan dalam penelitian ini. Hasil penelitian menunjukkan beberapa poin : pertama, melalui perhitungan Altman z- score, perusahaan dengan kode KAEF, BBNI, BBRI, BBTN, BMRI, PTBA, TINS, SMBR, SMGR, dan TLKM terindikasi sehat sepanjang tahun 2012- 2016. Kedua, hasil regresi menunjukkan prediksi kebangkrutan dengan metode Altman z- score berpengaruh terhadap harga saham. Variabel kontrol firm size menunjukkan hasil terdapat pengaruh terhadap harga saham. Variabel kontrol growth menunjukkan hasil tidak terdapat pengaruh terhadap harga saham. Kata Kunci : prediksi kebangkrutan, Altman z- score, financial distress, regresi linier berganda

This study aims to determine the effect of bankruptcy predictions on the company's stock price. This study uses 20 state-owned companies that are listed on the IDX in the period 2012-2016 as a population. The criteria of the company that were sampled for this study were companies that indicated financial distress and healthy companies in the Altman z-score calculation. The multiple linear regression analysis model is the model set in this study. The results showed several points: first, through the Altman z-score calculation, companies with the codes KAEF, BBNI, BBRI, BBTN, BMRI, PTBA, TINS, SMBR, SMGR, and TLKM were indicated to be healthy throughout 2012-2016. Second, regression results shows the prediction of bankruptcy by the Altman z-score method which affects stock prices. Firm size control variable shows the results there is an influence on stock prices. The growth control variable shows that there is no effect on stock prices. Key Words : bankruptcy prediction, Altman z- score, financial distress, multiple linear regression