ALTMAN’S REVISED Z’-SCORE MODEL, NON-FINANCIAL INFORMATION AND MACROECONOMIC VARIABLES: CASE OF SLOVAK SMES

In this paper, we assess the classification performance of the re-estimated Altman’s Z’-Score model for a large sample of private SMEs in Slovakia. More specifically, we assess transferability of the revised Z’-Score model (Altman, 1983) and explore the impact of the non-financial company-specific and macroeconomic variables. The dataset covers the period from 2009 to 2016 and contains 661 622 company-year observations about 149 618 individual companies with 1 575 failures. The discriminatory power of models is tested in out-of-sample period. We find that even though the model with re-estimated coefficients achieves better discrimination performance, it is not statistically different from the revised Z’-Score model. The non-financial variables improve the discriminatory performance significantly, whereas the macroeconomic variables do not. The latter even worsen the out-of-sample and out-of-time discriminatory performance.