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首页> 外文学位 >The application of Altman's revised four-variable Z''-score bankruptcy prediction model for retail firms and the influence of asset size and sales growth on their failure.
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The application of Altman's revised four-variable Z''-score bankruptcy prediction model for retail firms and the influence of asset size and sales growth on their failure.

机译：Altman修订的四变量Z''评分破产预测模型在零售公司中的应用以及资产规模和销售增长对其失败的影响。

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摘要

Numerous researchers and practitioners have studied bankruptcy prediction for the past sixty years. Paul J. Fitzpatrick, in 1932, appears to be the first to perform a detailed study comparing bankrupt firms to healthy firms using financial ratio analysis. Edward Altman, in 1968, was the pioneer in using multivariate analysis, or multiple weighted ratios, to arrive at a single Z-score for distinguishing between bankrupt and nonbankrupt firms. Altman's original Z-score model used five financial ratios and served as a very accurate predictor of financial distress or health for large manufacturing firms.;Over the years, Altman refined his original model and developed new models in response to changes in economic characteristics and differences in industry environment. In 1993, he published a revised four-variable model which eliminated the variable of sales to total assets in order to minimize the potential industry effect when such an industry-sensitive variable as asset turnover was included. Also, new discriminant weights were established for the remaining ratios.;This study utilized Altman's 1993 revised four-variable model to evaluate the financial condition of publicly traded retail firms. A validation sample and an evaluation sample were involved in the study.;Sample A contained 32 bankrupt and 32 nonbankrupt firms drawn from the retail industry and matched by SIC code and asset size. Sample A served as the validation sample. The model yielded accuracies of 92 percent, 69 percent, and 62 percent for the periods one, two and three years prior to bankruptcy using Altman's cut-off values of less than 1.10 for bankrupt firms, 1.10 to 2.60 as a grey area, and above 2.60 for healthy firms. This study established revised cut-off values of less than 2.31 for bankrupt firms, 2.31 to 2.35 as a grey area, and above 2.35 for healthy firms. These revised cut-off values yielded predictive accuracies of 98 percent, 84 percent, and 77 percent for the periods one, two and three years prior to bankruptcy. The narrower range of the revised cut-off values indicates improved model accuracy.;The second sample, Sample B, contained 31 bankrupt firms matched with 31 nonbankrupt firms and was used as an evaluation, or holdout, sample. Three hypotheses were tested using these samples.;Three hypotheses were tested at the 95 percent confidence level. H 1: The mean Z″-Scores for bankrupt. and nonbankrupt firms are not equal. H2: There is a significant relationship between the Z″-Score and the asset size of firms. H3: The population distributions of Z″-Scores for growing firms and declining firms are significantly different.;Altman's 1993 revised four-variable Z″-Score model with revised cut-off values can be used to accurately distinguish between bankrupt firms and nonbankrupt firms in the retail industry. There is no significant relationship between Z″-Scores and asset sizes of retail firms. There is no significant difference in the Z″-Scores for retail firms that are growing and retail firms that are declining in sales revenues.
机译：在过去的六十年中，许多研究人员和从业人员研究了破产预测。保罗·菲茨帕特里克（Paul J. Fitzpatrick），1932年，似乎是第一个使用财务比率分析对破产公司与健康公司进行比较的详细研究的公司。爱德华·奥特曼（Edward Altman）于1968年率先使用多元分析或多个加权比率得出一个Z分数来区分破产公司和非破产公司。 Altman最初的Z评分模型使用了五个财务比率，并且可以非常准确地预测大型制造公司的财务困境或健康状况。多年来，Altman改进了他的原始模型并针对经济特征和差异的变化开发了新模型。在工业环境中。 1993年，他发布了修订的四变量模型，该模型消除了销售对总资产的变量，以便在包括诸如资产周转率等对行业敏感的变量时，将潜在的行业影响降至最低。此外，还为其余比率建立了新的判别权重。本研究利用奥特曼（Altman）1993年修订的四变量模型来评估公开零售公司的财务状况。该研究涉及一个验证样本和一个评估样本。样本A包含32家从零售行业抽取的破产公司和32家非破产公司，并与SIC代码和资产规模相匹配。样品A用作验证样品。该模型使用破产企业的Altman临界值小于1.10，灰色区域为1.10至2.60以及更高的值，得出破产前1年，2年和3年期间的准确度分别为92％，69％和62％。健康企业为2.60。这项研究确定了破产公司的修正临界值小于2.31，灰色区域的修正临界值小于2.31至2.35，而健康公司的修正临界值大于2.35。这些修改后的临界值在破产前的第一年，第二年和第三年产生了98％，84％和77％的预测准确性。修订后的临界值的范围越窄，表明模型的准确性就越高。第二个样本B包含31个破产公司和31个非破产公司，并被用作评估或保留样本。使用这些样本检验了三个假设。在95％置信水平下检验了三个假设。 H 1：破产的平均Z''-分数。非破产企业是不平等的。 H2：Z”得分与公司的资产规模之间存在显着的关系。 H3：成长型公司和衰退型公司的Z''-Scores的人口分布显着不同。; Altman 1993年修订的具有截止值的四变量Z''-Score模型可用于准确地区分破产公司和非破产公司在零售行业。 Z”得分与零售公司的资产规模之间没有显着关系。对于增长中的零售公司和销售收入下降的零售公司，Z''-分数没有显着差异。

著录项

  • 作者

    Rance, Robin.;

  • 作者单位

    Nova Southeastern University.;

  • 授予单位 Nova Southeastern University.;
  • 学科 Economics Finance.;Business Administration Management.
  • 学位 D.B.A.
  • 年度 1999
  • 页码 182 p.
  • 总页数 182
  • 原文格式 PDF
  • 正文语种 eng
  • 中图分类
  • 关键词

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