Kacer, M orcid.org/0000-0002-3544-0327, Ochotnický, P and Alexy, M (2019) The Altman’s Revised Z’-Score Model, Non-financial Information and Macroeconomic Variables: Case of Slovak SMEs. Ekonomicky Casopis, 67 (4). pp. 335-366. ISSN 0013-3035
Abstract
In this paper, we assess the classification performance of the re-estimated Altman’s Z’-Score model for a large sample of private SMEs in Slovakia. More specifically, we assess transferability of the revised Z’-Score model (Altman, 1983) and explore the impact of the non-financial company-specific and macroeconomic variables. The dataset covers the period from 2009 to 2016 and contains 661 622 company-year observations about 149 618 individual companies with
1 575 failures. The discriminatory power of models is tested in out-of-sample period. We find that even though the model with re-estimated coefficients achieves better discrimination performance, it is not statistically different from the revised Z’-Score model. The non-financial variables improve the discriminatory performance significantly, whereas the macroeconomic variables do not. The latter even worsen the out-of-sample and out-of-time discriminatory performance.
Metadata
Item Type: | Article |
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Authors/Creators: |
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Keywords: | Altman’s Z-Score model, failure prediction, default, non-financial |
Dates: |
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Institution: | The University of Leeds |
Academic Units: | The University of Leeds > Faculty of Business (Leeds) > Accounting & Finance Division (LUBS) (Leeds) |
Depositing User: | Symplectic Publications |
Date Deposited: | 14 Jun 2019 10:43 |
Last Modified: | 14 Jun 2019 15:05 |
Status: | Published |
Publisher: | Slovak Academic Press Ltd. |
Open Archives Initiative ID (OAI ID): | oai:eprints.whiterose.ac.uk:147316 |