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2019 | 67 | 4 | 335 – 366
Article title

ALTMAN’S REVISED Z’-SCORE MODEL, NON-FINANCIAL INFORMATION AND MACROECONOMIC VARIABLES: CASE OF SLOVAK SMES

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EN
Abstracts
EN
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.
Contributors
author
  • University of Leeds, Leeds University Business School, Credit Management Research Centre, Accounting and Finance Division, Leeds, LS2 9JT, United Kingdom, M.Kacer@leeds.ac.uk
author
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bwmeta1.element.cejsh-cf2ffd57-67b8-4c2d-ae13-f9d9f4f8ea6e
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