The paper uses simple event study methodology to look at whether disclosures of financial distress in terms of profit warning announcements and suspension notices impact on the market price of the shares of publicly listed New Zealand firms and examines the correlation between the behaviour of share prices and the firm’s corresponding Z score, which is indicative of the severity of financial distress. Using a sample of 71 distressed and matching control firms, the results are generally in support of prior literature but also highlight the complexity of the nature of financial distress prediction. The results also question the efficacy of the required disclosures on the NZX as timely or accurate identifiers of distress.