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Comprehensive Analysis of Bankruptcy Prediction on Stock Exchange of Thailand Set 100

Sasivimol Meeampol, Phanthipa Srinammuang, Vimol Rodpetch and Ausa Wongsorntham
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Sasivimol Meeampol: Kasetsart University, Thailand
Phanthipa Srinammuang: Kasetsart University, Thailand
Vimol Rodpetch: Kasetsart University, Thailand
Ausa Wongsorntham: Kasetsart University, Thailand

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Abstract: This research aims to analyze the companies listed on SET 100 from the year 2013-2014 using Original Altman’s Z-score bankruptcy prediction model and investigate the relationship of Altman’s Zscore among variables: liquidity, profitability, leverage, solvency, and activity. The study utilized the survey method of gathering the financial information of 100 companies listed on SET 100 using SETSMART database. A multiple linear regression model has been used to assist the data analysis in terms of the relationship, descriptive analysis, ANOVA analysis, correlation analysis, and coefficients using PHSTAT program. The majority of the 100 companies listed on SET 100 were most likely in the “Safe Zones” for bankruptcy based on the analyzed financial data. The industrial industry appears to be more resilient to bankruptcy risk among other industries. The solvency variable is high volatile for both years among the variables. We concluded that monitoring of solvency variable is important before the liabilities surpass the assets and the firm becomes bankrupt. For the year 2013 the liquidity variable has high correlation, we recommended that liquidity variable should be handled with extreme caution since this variable is significant because it reflects whether a business will be able to pay off its short term debt. Finally, we concluded that Original Altman’s Z-score model fits in analyzing the companies listed on SET 100 for both years. F-test result suggest that all variables affects the Original Altman’s Z-score wherein they are very significant in predicting bankruptcy that gives an early warning system for the management and investors.

Keywords: Bankruptcy; Financial ratio; Original Altman’s Z-score model; SET 100 (search for similar items in EconPapers)
Date: 2016
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