Professional Documents
Culture Documents
COM
DIV
EMP
ENV
HUM
PRO
2007
2008
2009
2010
2011
2012
2013
0
1
1
2
2
0
0
3
3
3
2
2
1
1
3
5
5
4
3
1
2
1
0
0
1
1
3
1
2
3
3
2
2
2
1
0
0
0
1
1
0
0
0
0
0
1
1
1
0
2014
DIV
6
5
4
DIV
3
2
1
0
2007
2008
2009
2010
2011
2012
2013
2014
EMP
3.5
3
2.5
EMP
2
1.5
1
0.5
0
2007
2008
2009
2010
2011
2012
2013
2014
Total
9
12
12
13
12
8
5
4
CGOV
2.5
2
1.5
CGOV
1
0.5
0
2007
2008
2009
2010
2011
2012
2013
2014
COM
DIV
3.5
3
2.5
COM
14
1.5
1
0.5
0
2007
2008
2009
2010
2011
2012
2013
2014
Total
EMP
14
12
10
Total
8
6
4
2
0
2007
2008
2009
2010
2011
2012
2013
2014
4
2
0
2007
2008
2009
2010
2011
2012
2013
2014
ENV
3.5
3
2.5
ENV
2
1.5
1
0.5
0
2007
2008
2009
2010
2011
2012
2013
2014
HUM
1.2
1
0.8
COM
HUM
0.6
0.4
0.2
0
2007
2008
2009
2010
2011
2012
2013
2014
PRO
1.2
1
0.8
PRO
0.6
Total
0.4
0.2
0
2007
2008
2009
2010
2011
2012
2013
2014
Profitability
Liquidity
Quick ratio
cash ratio
11.2
1.93
0.47
0.2
4.85
1.89
0.48
0.15
5.75
1.74
0.87
0.42
13.26
1.79
1.24
0.81
14.77
1.7
1.36
0.99
15.02
1.71
1.34
0.92
-2.19%
1.51
0.81
0.6
18.73
1.48
1.01
0.61
18.79
1.65
0.83
0.44
20
2.5
15
10
1.5
Starbuck's
profitability
profit margin ratio
Asset turnover ratio
0
2007
-5
2008
2009
2010
2011
2012
2013
2014
0.5
2015
0
Starbuck's liquidity
1.6
1.4
1.2
0.7
0.6
1.2
1
0.8
0.6
0.8
0.6
0.4
0.4
0.2
0.2
0
0
200720082009201020112012201320142015
0.5
cash ratio
0.4
0.3
0.2
0.1
0
200720082009
0.4
0.4
0.2
0.2
0
0
200720082009201020112012201320142015
0.2
0.1
0
200720082009
Leverage
Debt to Asset ratio
0.55
0.56
0.51
0.45
0.18
0.42
0.15
0.4
0.13
0.38
0.11
0.61
0.29
0.51
0.39
0.53
0.4
tarbuck's
ofitability
et turnover ratio
Starbuck's leverage
0.7
0.6
0.6
0.5
0.5
0.4
0.3
0.2
0.1
0.4
0.3
0.2
0.1
0
0
200720082009201020112012201320142015
0.2
0.1
0.2
0.1
0
0
200720082009201020112012201320142015
Current
total liabilities/total asset
13.77
0.79
5.73
0.8
6.95
1.29
15.81
1.55
18.12
1.83
17.76
1.9
0.08
1.02
18.57
1.37
23.77
1.19
= 4.336 4.513 1 +
0.57
0.56
0.45
0.42
0.4
0.38
0.61
0.51
0.53
5.6792 0.0043
Z-scores
0
2007 2008 2009 2010 2011 2012 2013 2014 2015
-0.5
-1
-1.5
-2
-2.5
-3
-3.5
Z-scores
Z-scores
-1.72357
-1.417555
-2.099264
-2.670525
-2.889476
-2.987089
-0.8795
-2.283254
-2.40363
1 + 5.6792 0.0043 Where X1 = net income/total assets, x2= total debt/total assets and x3= current assets/current liabil
Z-scores
d x3= current assets/current liabilities. A firm with a probability greater than 0.5 is classified as bankrupt, and a firm with a proba
bankrupt, and a firm with a probability smaller than 0.5 is classified as non-bankrupt. The overall out-of-sample accuracy rate of
all out-of-sample accuracy rate of Zmijewskis model is 95.29%, but it is important to note that none of the bankrupt firms are pr
none of the bankrupt firms are predicted to go bankrupt in this classification, and in 99.39% of all non-bankrupt firms the model
all non-bankrupt firms the model classified the firms as non-bankrupt. In fact, the cut-off point here is not corrected for the differ
here is not corrected for the different numbers of bankrupt and non-bankrupt firms. Since for every bankrupt firm, Zmijewski has
ery bankrupt firm, Zmijewski has 20 non-bankrupt firms in his 12 sample, the classification matrix shows that almost all observa
trix shows that almost all observations are predicted to go bankrupt, since 95% of the total sample consists of non-bankrupt firm
mple consists of non-bankrupt firms. The interpretation from the coefficients of probit models is not straightforward. For example
not straightforward. For example if 2 is the coefficient belonging to variable X1 is 0.2, if X1 changes one unit, the Zmijewski-sc
hanges one unit, the Zmijewski-score increases by 0.2. Instead of knowing an increase/decrease in the Zmijewski score, the effe
se in the Zmijewski score, the effect of a change on the probability can also be calculated. To interpret changes of a variable on t
nterpret changes of a variable on the probability of going bankrupt, the marginal effect of each variable is needed. The marginal e
ariable is needed. The marginal effect indicates how much the probability of bankruptcy changes, when one of the independent v
s, when one of the independent variables increases/decreases by one unit, ceteris paribus.
Profitability
Liquidity
25
0.85
20
0.8
15
0.75
10
0.7
0.65
0.6
Leverage
0.77
1.34
1.11
1.46
1.22
1.41
1.55
1.48
3.23
0.44
0.81
0.6
0.82
0.67
0.69
0.88
0.76
2.6
0.48
0.53
0.54
0.54
0.56
0.57
0.56
0.62
0.81
Mcdonald's
profitability
Mcdon
3
2.5
2
1.5
1
0.5
0
Mcdonald's Leverage
Mcdonald's liqudity4
.5
2
.5
1
.5
0
0.9
0.8
0.7
0.6
0.5
0.4
0.3
0.2
0.1
0
3.5
3.5
2.5
2.5
2
1.5
1
0.5
0
2
Debt to Equity ratio
cash
1.5 ratio
Liquidity
Quick ratio
1
0.5
0
Profitability
Liquidity
Leverage
profit marginAsset turnovQuick ratio cash ratio Debt to AsseDebt to Equity ratio
2010
2011
2012
2013
2014
2015
4.65
5.48
16.46
20.58
23.55
12.98
0.37
0.2
0.2
0.22
0.24
0.26
1.01
1.28
1.19
1.34
1.11
1.33
0.58
0.88
0.8
0.84
0.68
0.79
1.17
0.77
0.89
0.87
0.88
1.07
-3.49
1.98
5.36
4.5
4.91
-11.11
Dunkin's
profitability
25
1.2
0.35
0.3
0.25
15
0.2
10
Profitability profit
margin ratio
Asset turnover ratio
0.2
0.05
2011
2012
2013
2014
0.8
0.4
0.1
0
2010
0.6
0.15
1.6
1.4
0.4
20
0
2010
0
2015
Dunkin's
Leverage
1.4
8
6
1.2
0.8
0.6
-4
-2
-6
0.4
-8
0.2
0
2010
-10
2011
2012
2013
2014
-12
2015
2011
Dunkin's liquidity
1.6
1.4
1.2
1
0.8
0.6
0.4
0.2
0
2010
Dunkin's
everage
2011
2012
2013
2014
1
0.9
0.8
0.7
0.6
0.5
0.4
0.3
0.2
0.1
0
2015
Liquidity
Quick ratio
Profit margin
Asset turno
3
2.5
2007
2008
2009
2010
2011
2012
2013
2014
2015
0.48
0.56
0.53
0.45
0.54
0.42
0.54
1.17
0.4
0.56
0.77
0.38
0.57
0.89
0.61
0.56
0.87
0.51
0.62
0.88
0.53
0.81
1.07
starbucks Mcdonald Dunkin
0.55
2007
0.61
0.51
2008
0.76
0.18
2009
0.75
0.15
2010
0.79
-3.49
0.13
2011
0.87
1.98
0.11
2012
0.89
5.36
0.29
2013
0.88
4.5
0.39
2014
1.16
4.91
0.4
2015
3.4
-11.11
0.57
3
2.5
2
1.5
1
0.5
0
2007 2008 2009 2010
Debt t
1.4
1.2
1
0.8
0.6
0.4
0.2
0
2007
Dunkin
Mcdonald
starbucks
2007 2008 2009 2010 2011 2012 2013 2014 2015
2008
2009
2010
20
starbucks
Mcdonald
Dunkin
Asset turnover
starbucks
Mcdonald
Dunkin
Quick ratio
3.5
3
2.5
starbucks
Mcdonald
Dunkin
1.5
1
0.5
0
2007 2008 2009 2010 2011 2012 2013 2014 2015
cash ratio
3
2.5
starbucks
cash ratio
3
2.5
starbucks
Mcdonald
1.5
Dunkin
1
0.5
0
2007 2008 2009 2010 2011 2012 2013 2014 2015
1.4
1.2
1
starbucks
0.8
Mcdonald
Dunkin
0.6
0.4
0.2
0
2007
2008
2009
2010
2011
2012
2013
2014
2015
13.77
5.73
6.95
15.81
18.12
17.76
0.08
18.57
23.77