This research aims to examine and analyze the effect of Altman Z-Score as a bankruptcy prediction tool and its implication toward distress stock return of the companies listed in Indonesia Stock Exchange. The object of this research is the companies listed in the Indonesia Stock Exchange during 2015 – 2017. The research is a descriptive quantitative approach by using bankruptcy ratio from Altman Z-Score and distressed stock return from IDX. This research are using purposive sampling method. The method of analysis used in this study is simple linear regression using SPSS 25. This research will focus on Altman Z-Score bankrtupcy’s calculation and distressed stock return which has a consecutively negative stock return. The result of this study shows that a distressed stock return with negative stock return consecutively for three years period has Altman Z-Score indicating the company are in grey area zone or bankruptcy category. Hence, this result indicated that Altman Z-Score has a significant impact towar distressed stock return.