ALTMAN Z-SCORE MODELING AND FINANCIAL RISK ANALYSIS: AN EMPIRICAL STUDY ON COMPANIES LISTED ON THE BUCHAREST STOCK EXCHANGE

Cristi Spulbar, Dumitru Cinciulescu, Cezar Catalin Ene and Lucian Florin Spulbar
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Cristi Spulbar: University of Craiova, Romania
Dumitru Cinciulescu: University of Craiova, Romania
Cezar Catalin Ene: University of Craiova, Romania
Lucian Florin Spulbar: University of Craiova, Romania

Studies in Business and Economics, 2025, vol. 20, issue 2, 314-340

Abstract: The Altman Z-score model stands out due to its broad applicability and ability to provide a predictive assessment of firms' financial vulnerabilities, being widely used to determine insolvency probability based on specific financial indicators, thus representing a valuable tool for analyzing company performance. Economic volatility, fiscal regulations with low predictability, as well as the particular structure of firms listed on the Romanian capital market (BSE), necessitate rigorous evaluations of financial risk. Although common indicators such as asset profitability or gross margin are frequently included in risk models, other factors like operating expenses or book value per share remain insufficiently explored in local literature. Addressing this research gap, this study quantitatively examines the relationship between the Altman Z-score and selected financial indicators relevant to companies listed on the Bucharest Stock Exchange, aiming to identify key determinants of financial stability and validate the model’s applicability in this specific context. Using multiple linear regression on financial data sourced from the TradingView database, the research investigates whether operating expenses, operating income, book value per share, and gross margin significantly influence the Altman Z-score. Methodologically, successive adjustments will enhance model robustness by addressing multicollinearity and autocorrelation, supported by statistical tests verifying model validity and reliability.

Keywords: Altman Z-score; financial risk; insolvency prediction; financial indicators; Bucharest Stock Exchange (search for similar items in EconPapers)
Date: 2025
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