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A comparison of accounting-based bankruptcy prediction models of Altman(1968), Ohlson(1980) and Zmijewski(1984) using Vietnamese listed companies during 2008-2014

By Nguyen Thi Phuong Tram (VNP 20)

Supervisor: Dr. Nguyen Thi Thuy Linh

Abstract

Bankrupt prediction is practical research topic and attracts more attention of debtors, creditors, shareholders and other stakeholders. Moreover, it can be applied in a wide variety of situations to business managers make crucial decision. The bankruptcy prediction models have been developed based on old original modes of Altman (1968), Ohlson (1980) and Zmijewski (1984) using multivariate discriminate, logit and probit analysis respectively. This thesis conducted the comparison of predictive power among these models using Vietnamese listed firms during the period from 2008 to 2014. The data is taken from listed companies in HOSE and HNX stock market and characterized the determinants of financial distress in terms of firm accounting and financial ratios. To compare the predictive power of these models one year, two years and three year beforehand bankruptcy, the analysis of differences of accuracy rates and Receiver Operating Curves is applied.

Overall, Ohlson’s probit model (1980) performed most accurate on the Vietnam listed companies within investigation periods. This implies that Ohlson’smodel is the best predictor for bankruptcy likelihood for the listed companied in Vietnam. However, since the unstable accuracy rates and the highest frequency of Type I and Type II errors, such result should be set into perspective and studied cautiously.

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