Predikční schopnost Altmanova Z-skóre evropských soukromých společností

Predictive Ability of Altman Z-score of European Private Companies

Svatopluk Kapounek, Jan Hanousek and František Bílý

Politická ekonomie, 2022, vol. 2022, issue 3, 265-287

Abstract: The paper investigates the relationship between the financial distress of European private companies identified by the Altman Z-score and real bankruptcy. We extend the traditional Z-score with the asymmetric effect of economic activity. Our results show higher forecasting performance of the Altman Z-score of large companies in a three-year projection. We argue that our results differ from Altman (1968) because of specific market conditions in Europe that enable prolongation of activity after financial distress is identified. We also emphasize the role of liquidity, size, performance and indebtedness in increasing financial distress forecasting performance. Finally, we extend our prediction model with selected indicators of quality and development of the institutional environment.

Keywords: Firm bankruptcy; financial distress; Altman Z-score; institutional environment (search for similar items in EconPapers)
JEL-codes: C23 G32 G33 (search for similar items in EconPapers)
Date: 2022
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DOI: 10.18267/j.polek.1353

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