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Predicting financial distress of companies: revisiting the Z-Score and ZETA® models

In: Handbook of Research Methods and Applications in Empirical Finance

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  • Edward I. Altman

Abstract

This impressive Handbook presents the quantitative techniques that are commonly employed in empirical finance research together with real-world, state-of-the-art research examples.

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  • Edward I. Altman, 2013. "Predicting financial distress of companies: revisiting the Z-Score and ZETA® models," Chapters, in: Adrian R. Bell & Chris Brooks & Marcel Prokopczuk (ed.), Handbook of Research Methods and Applications in Empirical Finance, chapter 17, pages 428-456, Edward Elgar Publishing.
    • Handle: RePEc:elg:eechap:14545_17
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    References listed on IDEAS

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    1. Lawrence Fisher, 1959. "Determinants of Risk Premiums on Corporate Bonds," Journal of Political Economy, University of Chicago Press, vol. 67(3), pages 217-217.
    2. Gijoon Hong & Carol L. Osler, 2000. "Rapidly rising corporate debt: are firms now vulnerable to an economic slowdown?," Current Issues in Economics and Finance, Federal Reserve Bank of New York, vol. 6(Jun).
    3. Deakin, Eb, 1972. "Discriminant Analysis Of Predictors Of Business Failure," Journal of Accounting Research, Wiley Blackwell, vol. 10(1), pages 167-179.
    4. Edward I. Altman, 1973. "Predicting Railroad Bankruptcies in America," Bell Journal of Economics, The RAND Corporation, vol. 4(1), pages 184-211, Spring.
    5. Edward I. Altman, 1968. "Financial Ratios, Discriminant Analysis And The Prediction Of Corporate Bankruptcy," Journal of Finance, American Finance Association, vol. 23(4), pages 589-609, September.
    6. Adrian R. Bell & Chris Brooks & Marcel Prokopczuk (ed.), 2013. "Handbook of Research Methods and Applications in Empirical Finance," Books, Edward Elgar Publishing, number 14545.
    7. Beaver, Wh, 1966. "Financial Ratios As Predictors Of Failure," Journal of Accounting Research, Wiley Blackwell, vol. 4, pages 71-111.
    8. Altman, Edward I. & Haldeman, Robert G. & Narayanan, P., 1977. "ZETATM analysis A new model to identify bankruptcy risk of corporations," Journal of Banking & Finance, Elsevier, vol. 1(1), pages 29-54, June.
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    Cited by:

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    2. Ondřej Machek & Tomáš Pokorný, 2016. "Rate of Failure of Czech Family Firms [Míra úpadků českých rodinných firem]," Acta Oeconomica Pragensia, Prague University of Economics and Business, vol. 2016(3), pages 24-34.
    3. Owusu, Andrews & Zalata, Alaa Mansour, 2023. "Credit rating agency response to appointment of female audit partners: Evidence from the UK," Journal of International Accounting, Auditing and Taxation, Elsevier, vol. 50(C).
    4. Mo, Kun & Suvankulov, Farrukh & Griffiths, Sophie, 2021. "Financial distress and commodity hedging: Evidence from Canadian oil firms," Energy Economics, Elsevier, vol. 97(C).
    5. Bertrand, Jérémie & Delanghe, Marieke & Klein, Paul-Olivier, 2023. "Does relationship lending help firms to ask for credit? European cross-country evidence," Economic Modelling, Elsevier, vol. 124(C).
    6. Sebastian Klaudiusz Tomczak & Edward Radosiński, 2017. "The effectiveness of discriminant models based on the example of the manufacturing sector," Operations Research and Decisions, Wroclaw University of Science and Technology, Faculty of Management, vol. 27(3), pages 81-97.
    7. Alberternst, Stephan, 2016. "Relevanz der deutschen Zinsschranke für Personenunternehmen: Eine dynamische Analyse der Betroffenheit," arqus Discussion Papers in Quantitative Tax Research 207, arqus - Arbeitskreis Quantitative Steuerlehre.
    8. Julian Oliver Dörr & Georg Licht & Simona Murmann, 2022. "Small firms and the COVID-19 insolvency gap," Small Business Economics, Springer, vol. 58(2), pages 887-917, February.
    9. Chen, Hsuan-Chi & Chou, Robin K. & Lu, Chien-Lin, 2018. "Saving for a rainy day: Evidence from the 2000 dot-com crash and the 2008 credit crisis," Journal of Corporate Finance, Elsevier, vol. 48(C), pages 680-699.
    10. Duan, Jin-Chuan & Kim, Baeho & Kim, Woojin & Shin, Donghwa, 2018. "Default probabilities of privately held firms," Journal of Banking & Finance, Elsevier, vol. 94(C), pages 235-250.
    11. Westfall, Tiffany J. & Myring, Mark, 2022. "Are voluntary internal control weakness disclosures in initial public offerings associated with managerial ability and subsequent financial reporting quality?," Advances in accounting, Elsevier, vol. 59(C).
    12. Ding, Xin & Li, Jingshan & Song, Tiantian & Ding, Chenyang & Tan, Wenhao, 2023. "Does carbon emission of firms aggravate the risk of financial distress? Evidence from China," Finance Research Letters, Elsevier, vol. 56(C).
    13. Mauro Paoloni & Massimiliano Celli, 2018. "Crisi delle PMI e strumenti di warning. Un test di verifica nel settore manifatturiero," MANAGEMENT CONTROL, FrancoAngeli Editore, vol. 2018(2), pages 85-106.
    14. Hakim Lyngstadaas, 2020. "Packages or systems? Working capital management and financial performance among listed U.S. manufacturing firms," Journal of Management Control: Zeitschrift für Planung und Unternehmenssteuerung, Springer, vol. 31(4), pages 403-450, December.
    15. Guenther, Miriam & Guenther, Peter, 2021. "The complex firm financial effects of customer satisfaction improvements," International Journal of Research in Marketing, Elsevier, vol. 38(3), pages 639-662.
    16. Loureiro, Gilberto & Makhija, Anil K. & Zhang, Dan, 2020. "One dollar CEOs," Journal of Business Research, Elsevier, vol. 109(C), pages 425-439.
    17. Hogan, Thomas L., 2015. "Capital and risk in commercial banking: A comparison of capital and risk-based capital ratios," The Quarterly Review of Economics and Finance, Elsevier, vol. 57(C), pages 32-45.
    18. Chen, Hsuan-Chi & Chou, Robin K. & Lin, Chih-Yung & Lu, Chien-Lin, 2022. "Bank loans during the 2008 quantitative easing," Journal of Financial Stability, Elsevier, vol. 59(C).

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