A comparative study of Altman's Z-score and a factor analysis approaches to bankruptcy predictions

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dc.contributor.advisor Dai, Jie, 1961-
dc.creator Chi, Yuanlong
dc.date.accessioned 2012-10-23T18:03:38Z
dc.date.available 2012-10-23T18:03:38Z
dc.date.issued 2012
dc.identifier.uri http://library2.smu.ca/xmlui/handle/01/24735
dc.description 1 online resource (43 leaves) : col. ill.
dc.description Includes abstract and appendices.
dc.description Includes bibliographical references (leaves 42-43).
dc.description.abstract This study uses an adapted factor analysis to recast Altman’s Z-score model and compare the two approaches in terms of their prediction performance. First, a brief review of Altman’s Z-score model and the model of factor analysis method is introduced. Then, some recent breakthroughs of factor analysis are presented to illustrate the theoretical benefits of adapting the method. The data used in this study are described and collected from annual reports of healthy companies and companies who applied Chapter 10K bankruptcies over the time period of 2003 to 2009. Using those data, this study adapts the factor analysis and obtains a new Z-score model. Through comparisons, this study finally evaluates both Altman’s model and the new Z-score model. In conclusion, this study finds that in both aspects of coefficients of determination and predictabilities, the new Z-score model shows better performance than Altman’s model, thus providing an updated and refined tool for bankruptcy prediction. en_CA
dc.language.iso en en_CA
dc.publisher Halifax, N.S. : Saint Mary's University
dc.title A comparative study of Altman's Z-score and a factor analysis approaches to bankruptcy predictions en_CA
dc.type Text en_CA
thesis.degree.name Master of Finance
thesis.degree.level Masters
thesis.degree.discipline Finance, Information Systems, & Management Science
thesis.degree.grantor Saint Mary's University (Halifax, N.S.)


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