Efficiency and prediction of financial distress

Abstract

The aim of this paper is, a better understand the real performance of ACE market. This research focused on companies of Bursa Malaysia’s ACE market for 10 years period (2009-2018). Objectives are developed which are to identify the annual efficiency of listed companies in Malaysia ACE market, to investigate the effect of macroeconomic variables on firm’s efficiency, to predict the firm’s financial distress on sample firm with an efficiency score of below 1.0 using Altman’s Z-score, and lastly, to examine the impact of macroeconomic variables on Altman’s Z-score in predicting the firm’s financial distress on sample firm with efficiency score below 1.0. Total sample of 64 companies are chosen and tested using the empirical quantitative method. Data envelopment analysis (DEA), panel analysis and Altman’s Z-score analysis are used in this research to measure the actual performance of ACE market.