Politická ekonomie 2022, 70(3):265-287 | DOI: 10.18267/j.polek.1353

Predikční schopnost Altmanova Z-skóre evropských soukromých společností

Svatopluk Kapounek ORCID...a, Jan Hanousekb, František Bílýa
a Mendelova univerzita v Brně, Provozně ekonomická fakulta, Ústav financí, Brno, Česká republika
b CERGE-EI, společné pracoviště UK v Praze a NHÚ AV ČR, v. v. i., Praha, Česká republika

Predictive Ability of Altman Z-score of European Private Companies

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
JEL classification: C23, G32, G33

Received: December 16, 2020; Revised: February 11, 2022; Accepted: February 16, 2022; Published: July 4, 2022  Show citation

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Kapounek, S., Hanousek, J., & Bílý, F. (2022). Predictive Ability of Altman Z-score of European Private Companies. Politická ekonomie, 70(3), 265-287. doi: 10.18267/j.polek.1353
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