We present the first search for new phenomena in Z gamma final states with large missing transverse energy using data corresponding to an integrated luminosity of 6.2 fb(-1) collected with the D0 experiment in p (p) over bar collisions at root s 1.96 TeV. This signature is predicted in gauge-mediated supersymmetry-breaking models, where the lightest neutralino (chi) over tilde (0)(1) is the next-to-lightest supersymmetric particle and is produced in pairs, possibly through decay from heavier supersymmetric particles.
The (chi) over tilde (0)(1) can decay either to a Z boson or a photon and an associated gravitino that escapes detection. We exclude this model at the 95% C.L. for supersymmetry-breaking scales of Lambda < 87 TeV.