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Abstrak :
ABSTRAK
Penelitian ini bertujuan untuk mengetahui bagaimana fenomena investment inefficiency yang terjadi pada pasar Indonesia terkait masalah financial constraints dan agency costs yang melanda perusahaan-perusahaan publik di Indonesia. Menggunakan data panel dari perusahaan terdaftar di Indonesia pada periode 2006-2015, ditemukan bukti kuat adanya investment inefficiency, yang dapat dijelaskan oleh keberadaan financial constraints dan agency costs pada perusahaan-perusahaan dalam indek Kompas 100 kategori Februari-Juli 2016. Secara spesifik, ditemukan bahwa perusahaan dengan arus kas di bawah (atas) level optimal cenderung untuk under- (over-) invest sebagai konsekuensi dari financial constraints (agency costs). Lebih jauh, dengan berfokus pada perusahaan under-investment, ditemukan bahwa sensitivitas abnormal investment ? free cash flow meningkat menggunakan proksi pengukuran terhadap financial constraints. Dan dengan berfokus pada perusahaan over-investment, ditemukan bahwa sensitivitas abnormal investment ? free cash flow meningkat menggunakan proksi pengukuran terhadap agency costs.

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ABSTRACT
This study aims to determine how the investment inefficiency phenomenon that occurs in the Indonesian market related issues financial constraints and agency costs faced by public companies in Indonesia. Using panel data of listed companies in Indonesia in the period 2006-2015, this study found strong evidence of the investment inefficiency, which can be explained by the existence of financial constraints and agency costs on companies in the Kompas 100 index categories from February to July 2016. Specifically, it was found that companies with cash flow below (above) the optimal level tend to under- (over-) invest as a consequence of financial constraints (agency costs). Furthermore, by focusing on under-investment firms, found that abnormal sensitivity of investment - free cash flow increased by using proxy measures of financial constraints. And by focusing on the over-investment firms, it was found that the abnormal sensitivity of investment - free cash flow increased by using proxy measures of agency costs.

Abstrak :
Laporan magang ini berisi evaluasi atas metode perhitungan yang digunakan PT Investment dalam menilai risiko gagal bayar perusahaan Indonesia yang menerbitkan obligasi. PT Investment menggunakan Altman's EMS Z-Score dan Gupta's Z-Score yang dikombinasikan dengan model logistic regression untuk mendapatkan probabilitas kebangkrutan perusahaan. Evaluasi tersebut meliputi justifikasi atas relevansi masing-masing metode yang di gunakan di Indonesia serta seberapa akurat perhitungan yang dilakukan oleh PT Investment. Kemudian, penulis membandingkan antara Altman's dan Gupta's Z-Scores untuk memahami kelebihan dan kekurangan masing-masing model serta kesesuaiannya dengan situasi perusahaan subjek. Terakhir, studi kasus empiris dari tiga obligasi yang telah mengalami gagal bayar akan memberikan bukti atas kemampuan prediktabilitas dari indikator-indikator tersebut. Dari evaluasi ini, penulis menyimpulkan bahwa indikator risiko default yang digunakan oleh PT Investment telah bermanfaat dan penulis pun mengajukan beberapa saran untuk dapat menyempurnakan praktik yang dilakukan. ......This internship report contains an evaluation of the calculation methods used by PT Investment in assessing the default risks of Indonesian companies that issued bonds. PT Investment used Altman’s EMS Z-Score and Gupta’s Z-Score in combination with the logistic regression model to derive firms’ probability of default. The evaluation includes the justification of the relevancy of each of the methods in the Indonesian market as well as how accurate the calculation was done by PT Investment. Then, the comparison between Altman’s and Gupta’s Z-Scores was conducted by the writer to understand the advantages and disadvantages of each model as well as its suitability to the subject firms’ situation. Last, the empirical study cases of three defaulted bonds will offer proof of the predictive ability of these indicators. From this evaluation, the writer concludes that the default risk indicators used by PT Investment have been useful and, in the end, the writer proposes several suggestions to enhance the practice.