阿尔特曼Z指数并不能预测破产

Risk Management & Analysis in Financial Institutions eJournal Pub Date : 2020-10-20 DOI:10.2139/ssrn.3570149

Regina Lee, David White, Michael Barton, Jessica Horewitz, Paul Madden, Colleen M. Maker, Rehan Farooq, John Schultz, J. B. Heaton

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引用次数: 6

摘要

奥特曼Z指数(AZS)并不能预测破产。AZS的假阳性率为98% ~ 99%。AZS作为一个预测模型是失败的，因为它没有纳入与破产概率有关的市场证据，特别是回报、债务对资产市场价值的近似值和股票价格。在probit模型中，存在这些市场变量时，AZS在统计上不显著。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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The Altman Z Score Does Not Predict Bankruptcy

The Altman Z Score (AZS) does not predict bankruptcy. The false positive rate of the AZS is 98%-99%. The AZS fails as a predictive model because it does not incorporate market evidence bearing on bankruptcy probability, specifically, returns, debt to an approximation of market value of assets, and stock price. In a probit model, AZS is statistically insignificant in the presence of these market variables.

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Risk Management & Analysis in Financial Institutions eJournal

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