The Usefulness of Z-Score Model on Bankruptcy Forecast

Kim, Yeo Hwan(김요한),Choi, Im Soo(최임수) 한국국제회계학회 2013 국제회계연구 Vol.0 No.52

본 연구는 Altman이 제시한 Z-Score 모형이 한국기업의 부실판단기준으로 유용한 모형이 되는지 여부를 검증하고자 한다. 본 연구를 실행하기 위하여 2001년부터 2010년까지 374개 기업의 표본을 Z-Score 모형으로 건전기업과 부실가능기업으로 구분하여 기업가치와 관련이 있는지를 실증분석하였다. Altman의 Z-Score 모형은 수정된 모형을 적용하였으며, 기업가치의 변수로는 ROA(Return on Asset)와 ICC(Implied Cost of Capital)로 실증분석을 하였다. 실증분석 결과, Altman’s Z-Score 모형이 기업가치와 유의한 관계를 보였다. 따라서 Altman’s Z-Score 모형을 한국기업에 대한 부실기업 판단기준의 유용한 모형으로 제시하고자 한다. The purpose of this study examines whether Z-Score model suggested by Altman is the useful of Korean firms’ bankruptcy classification criteria through the empirical test of Altman’s Z-Score model on the financial performance. From analytical results, this study develops the hypothesis by comparing the financial performance between good financial health and bankruptcy score by Altman’s data using a sample of 374 Korean firms through Korean bankruptcy classification criteria of Altman’s Z-Score model during 2001-2010 period. The empirical results indicate that the Altman’s Z-Score model is significantly the firm’s financial performance as measured by the firm’s profitability(ROA) and ICC(Implied Cost of Capital). These results hold up even after controlling for the differences in the financial leverage and size. Overall, the findings provide directly support to the evidence that the Altman’s Z-Score model is able to measure as a bankruptcy classification criteria on Korean firms.

Estimation and Prediction of Financial Distress: Non-Financial Firms in Bursa Malaysia

Hii King HIONG,Muhammad Farhan JALIL,Andrew Tiong Hock SENG 한국유통과학회 2021 The Journal of Asian Finance, Economics and Busine Vol.8 No.8

Altman’s Z-score is used to measure a company’s financial health and to predict the probability that a company will collapse within 2 years. It is proven to be very accurate to forecast bankruptcy in a wide variety of contexts and markets. The goal of this study is to use Altman’s Z-score model to forecast insolvency in non-financial publicly traded enterprises. Non-financial firms are a significant industry in Malaysia, and current trends of consolidation and long-term government subsidies make assessing the financial health of such businesses critical not just for the owners, but also for other stakeholders. The sample of this study includes 84 listed companies in the Kuala Lumpur Stock Exchange. Of the 84 companies, 52 are considered high risk, and 32 are considered low-risk companies. Secondary data for the analysis was gathered from chosen companies’ financial reports. The findings of this study show that the Altman model may be used to forecast a company’s financial collapse. It dispelled any reservations about the model’s legitimacy and the utility of applying it to predict the likelihood of bankruptcy in a company. The findings of this study have significant consequences for investors, creditors, and corporate management. Portfolio managers may make better selections by not investing in companies that have proved to be in danger of failing if they understand the variables that contribute to corporate distress.

Analysis of the Impact of ESG Performance on Corporate Value -A Case of China Mengniu Dairy Company Limited

장효리 인문사회 21 2023 인문사회 21 Vol.14 No.3

Using Mengniu as a case study, this research aims to explore the impact of ESG performance on corporate value from the perspective of Altman-Z model and Tobin’s Q value. This study mainly adopts the literature research method and case analysis method. Firstly, the domestic and international literature on ESG is combed. Secondly, the rating performance and practices of the case company Mengniu regarding ESG management are introduced. Finally, the impact of its ESG performance on corporate value in terms of both book value and market value is analysed, and conclusions are drawn. The comprehensive analysis concludes that improving ESG ratings has a positive effect on both book value and market value of enterprises, affecting corporate value to a certain extent. Companies should focus on improving their ESG ratings and performance to enhance corporate value by strengthening environmental protection, social responsibility and good governance.

외환 위기에서 환율 변동이 중소기업의 도산확률에 미친 영향

김영숙 한국중소기업학회 2003 中小企業硏究 Vol.25 No.4

환율의 변동은 자국통화표시의 수출, 수입 및 제조원가에 변화를 가져옴으로써 기업 채산성에 영향을 미치게 된다. 우리나라에서는 1997년 12월 외환보유고 부족으로 IMF의 구제금융 조치가 발생했던 환란 당시를 비롯하여 수년간 타격을 받았으며, 특히 자본금 규모가 작은 중소기업에서는 원화 환율 변동으로 치명적인 손실을 입을 수 밖에 없었다. 그럼에도 불구하고 환율 변동으로 인한 중소기업의 도산 가능성에 관한 연구는 없었다. 본 논문에서는 먼저 최근 Crosbie & Bohn(2001, Jarrow & Deventer(1999) 등이 개발한 옵션모형을 이용하여 한국기업의 倒産豫想確率을 산출하고 추정함으로서 中小企業의 도산 확률을 검증하였다. 그 다음 연구 절차로서, 원 달러 환율의 변동이 기업의 도산확률에 어떠한 영향을 미치는지 시차를 두어 분석하였다. 연구 결과에 의하면, IMF관리체제를 전후한 수년간의 장기적 관점에서 볼 때 적어도 대형기업들의 경우, 당시의 현상은 근본적으로 IMF충격이 초래한 일시적이 Overshooting Effect 현상이었던 것으로 나타났다. 그러나 이와는 대조적으로 소형기업들의 경우에는 IMF 관리 체제 이후 지속적으로 증가된 외환보유고에도 불구하고, 도산확률은 계속 상승하였으며 드디어 2000년도에는 도산확률이 60%를 상회하게 되었다. 적어도 2000년도 한국에서는 소형기업들의 도산확률이 대형기업들에 비해 10배 정도 높은 것으로 나타났으며 재무구조가 취약한 중소기업들은 외환관리에 보다 세심한 배려를 해야 될 것으로 사료된다. The purpose of this paper is two folds: The first is to estimate default risks of firms during the period in which Korea was placed under the IMF's austerity program. The second is to analyze the effects on the expected default risks of firms induced by exchange rate fluctuations. The methodology adopted in this paper utilizes the Black-Scholes model in which iterative optimization process is applied for the purpose of estimating the expected default risks of individual firms. Thus-estimated values of default risks are then employed in a straightforward fashion as inputs in a lagged model of trans-log function for empirical analysis. For this purpose, we also employ the Black-Scholes option model suggested by Jarrow & Deventer( 1999) and Crosbie & Bohn(2001). Using the set of data provided , we proceed to estimate effects of the foreign exchange changes on the increases of expected default risks employing the following trans-log form : Ln(EDR(t+i) = at + b·Ln(X)_(t)+e_(t) where EDR_(t+i)= Average of monthly expected default risks of firms at time t+i X_(t) = Average monthly rate of foreign exchange at time t The empirical results from the above regressions are reported

Bank Loans to Financially Distressed Firms: Empirical Evidence from Korean Manufacturing Sectors from 1980 to 2010

( Min Jung Kim ) 서강대학교 시장경제연구소(구 서강대학교 경제연구소) 2015 시장경제연구 Vol.44 No.3

This study investigates how bank behaviors have changed with regard to giving additional loans to financially distressed firms by looking at the case of Korean manufacturing companies from 1980 to 2010. Through consideration of both firm characteristics and economic conditions, three main results are obtained. First, we find that South Korean banks had been giving additional loans to troubled firms both before and for a decade after the Seoul Olympics of 1988. However, no additional lending to unhealthy firms was observed after the Asian financial crisis of 1997. Second, big business groups in poor financial condition received additional credit after the 1988 Seoul Olympics. However, lending practices that used to be common for such businesses were no longer found after 1997. Third, SMEs or export-oriented firms experiencing financial distress were more likely to receive additional funds after the crises of 1997 and 2008 than at other times during the period under investigation.

Bank Loans to Financially Distressed Firms: Empirical Evidence from Korean Manufacturing Sectors from 1980 to 2010

김민정 서강대학교 지암남덕우경제연구원 2015 시장경제연구 Vol.44 No.3

This study investigates how bank behaviors have changed with regard to giving additional loans to financially distressed firms by looking at the case of Korean manufacturing companies from 1980 to 2010. Through consideration of both firm characteristics and economic conditions, three main results are obtained. First, we find that South Korean banks had been giving additional loans to troubled firms both before and for a decade after the Seoul Olympics of 1988. However, no additional lending to unhealthy firms was observed after the Asian financial crisis of 1997. Second, big business groups in poor financial condition received additional credit after the 1988 Seoul Olympics. However, lending practices that used to be common for such businesses were no longer found after 1997. Third, SMEs or export-oriented firms experiencing financial distress were more likely to receive additional funds after the crises of 1997 and 2008 than at other times during the period under investigation.