Institute of Economics and Finance, University of Szczecin, Szczecin, Poland.
PLoS One. 2023 Jan 17;18(1):e0280384. doi: 10.1371/journal.pone.0280384. eCollection 2023.
The aim of this article is to answer the question whether the unreliability of the Altman bankruptcy prediction model may be caused by manipulations in financial statements. Our study was carried out on a group of 369 bankrupt Polish companies, with the research period covering the years 2011-2020. In the study, we divided the companies into two groups: those correctly classified by Altman's model as at risk of bankruptcy, and companies for which the model did not indicate a significant bankruptcy risk. Using a logit model, we tested whether the probability of companies being correctly classified as failed depends on the risk of a manipulation of financial statements. We use Benford's law to measure the risk of a manipulation of financial statements. We also repeated our study using panel data models. Our analyses show that the manipulation of financial statements is not the cause of the inaccurate predictions of the Altman model. On the contrary, the results of the analyses indicate that manipulations occurs for companies with a lower Z-score and therefore a worse financial situation. This means that a deterioration in the quality of financial statements can be a signal of an increasing probability of bankruptcy.
本文旨在回答 Altman 破产预测模型的不可靠性是否可能是由于财务报表的操纵造成的。我们的研究是在一个由 369 家破产波兰公司组成的样本上进行的，研究期间为 2011-2020 年。在研究中，我们将公司分为两组：一组是 Altman 模型正确分类为破产风险的公司，另一组是模型未显示出重大破产风险的公司。我们使用逻辑回归模型测试了公司被正确分类为失败的概率是否取决于操纵财务报表的风险。我们使用本福德定律来衡量操纵财务报表的风险。我们还使用面板数据模型重复了我们的研究。我们的分析表明，财务报表的操纵并不是 Altman 模型预测不准确的原因。相反，分析结果表明，财务报表质量恶化的公司的 Z 值较低，财务状况较差。这意味着财务报表质量的恶化可能是破产概率增加的信号。
