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

• Authors: Káčer Marek , Ochotnický Pavol , Alexy Martin
• Languages of publication: 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.

Keywords

EN

ALTMAN’S Z-SCORE MODEL; FAILURE PREDICTION; NON-FINANCIAL INFORMATION; MACROECONOMIC VARIABLES; SLOVAKIA

• Publisher: Institute of Slovak and World Economics and Institute for Forecasting, Slovak Academy of Sciences
• Journal: Ekonomický časopis (Journal of Economics)
• Year: 2019
• Volume: 67
• Issue: 4
• Pages: 335 – 366

Contributors

author

Káčer Marek

• University of Leeds, Leeds University Business School, Credit Management Research Centre, Accounting and Finance Division, Leeds, LS2 9JT, United Kingdom

author

Ochotnický Pavol

author

Alexy Martin