Naslov
Comparison of Altman Z Score and Bex Index as Predictors of Stock Price Movements on the Sample of Companies from Croatia

Autori
Poklepović, Tea ; Peko, Boris ; Smajo, Jure

Vrsta, podvrsta i kategorija rada
Radovi u zbornicima skupova, cjeloviti rad (in extenso), znanstveni

Izvornik
Conference Proceedings / Mrnjavac, Željko ; Muštra, Vinko - Split : Ekonomski fakultet Sveučilišta u Splitu, 2013, 317-328

Skup
10th International Conference Challenges of Europe: The Quest for new Competitiveness

Mjesto i datum
Split, Hrvatska, 08.05.2013. - 10.05.2013

Vrsta sudjelovanja
Predavanje

Vrsta recenzije
Međunarodna recenzija

Ključne riječi
Financial ratios; Altman Z score; BEX index; Stock prices; prediction quality

Sažetak
Modern finance is constantly discovering different tools and methods for prediction of future business results of companies and stock price movements more exactly. Although the “perfect predictor” is a mere illusion, the obsession of finding it is shared between thousands of investors as well as scientists who are developing new financial models and ratios on a daily basis. One of the most famous groups of financial ratios has a sole purpose to determine the chance of success / bankruptcy for all types of companies. This research puts to test two financial scoring models of this type: Altman Z score and BEX index. Altman Z score is the world’s most recognizable tool of measuring business quality by expressing the probability of a company to go (or not to go) bankrupt. BEX is an index which has a goal of measuring business excellence of companies, and was developed on a sample of Croatian companies five years ago. The empirical research is based on a data-set of companies on Zagreb Stock Exchange (ZSE) in the period from 2006 to 2011. Results show that lagged dependent variable (price) is statistically significant and positive in all models. Moreover each of the independent variables is also positive and statistically significant with varying strength of influence, except for BEX. However, when controlling for crisis, BEX shows positive and significant influence on the stock price in periods without crisis. Concentrating on our findings within this research, we can suggest that investors interested in fundamental base of a stock and long term investing should use Z-score and BEX as a support in making their decisions.

Izvorni jezik
Engleski

Znanstvena područja
Ekonomija

POVEZANOST RADA