بررسي توان پيش بيني مدل زاوگين و رويكرد ارزشيابي نسبي جهت ارزيابي ورشكستگي شركت ها

Investigation of prediction ability of Zavgren model and Relative valuation approach in assessing bankruptcy of the firms

Bankruptcy of companies is one of the ways which cause the resource to be wasted and the investment opportunities to be faded. In this research we are concerned with the prediction ability of Zavgren model in assessing bankruptcy of the companies Accepted in Tehran Stock Exchange and surveying correlation between bankruptcy probability and ratios of relative valuation approach (P/E, P/CF, P/BV, P/S). Finally, we estimated Zavgren model using ratios of relative valuation approach. In this research we focused on a five-year period (1381-1385), in which we used data of year 1385 as a control group. The society under investigation covers companies accepted in Tehran Stock Exchange. Because Zavgren model is based on the business environment and economic structure of foreign companies, using companies existed in population (including 879 observations), some modifications carried out in order to adapt this model to Iranian companies. Finally, from among seven variables of Zavgren model, four variables that have significant effect on discriminating between bankrupt and non-bankrupt groups selected and the model estimated with the use of them. Having done surveys for the model to be fit, the estimated was studied with the data of year 1385 including 119 companies, in order to measure ability and applicability of the model by the use of external data. Ensuring the proficiency of the model, the correlation between bankruptcy probability and relative valuation approach was examined. The results of the study indicated that there is a significant correlation between bankruptcy and relative valuation approach. Finally, Zavgren model estimated using ratio of relative valuation approach. The result indicated that in the case of using P/S ratio, the validity of the model increased.