Firms’ financial risk forecasting based on the macroeconomic fluctuations

Hong Wang, Yonggan Zhao, Shuichang Xie

Research output: Chapter in Book/Report/Conference proceedingConference contribution

Abstract

Firms’ financial risk forecasting is generally based on firms’ own financial or nonfinancial characteristics. In fact, macroeconomic fluctuation will also impact firm’s financial risk. We forecast the fluctuation of financial conditions of China’s manufacturing industry listed corporations based on firm’s own historical financial condition and macroeconomic conditions by combining the Markov regime-switching and Z-score models.We show that our method can predict well the trends and turning-points of financial condition such as debt-asset ratio, operating activities cash flow ration and return on equity, except those which experienced sudden change in financial condition because of capital or asset restructuring.

Original languageEnglish
Title of host publicationProceedings of the 8th International Conference on Management Science and Engineering Management - Focused on Intelligent System and Management Science
EditorsJiuping Xu, Virgílio António Cruz-Machado, Stefan Nickel, Benjamin Lev
PublisherSpringer Verlag
Pages501-511
Number of pages11
ISBN (Electronic)9783642551819
DOIs
Publication statusPublished - 2014
Event8th International Conference on Management Science and Engineering Management, ICMSEM 2014 - Lisbon, Portugal
Duration: Jul 25 2014Jul 27 2014

Publication series

NameAdvances in Intelligent Systems and Computing
Volume280
ISSN (Print)2194-5357

Conference

Conference8th International Conference on Management Science and Engineering Management, ICMSEM 2014
Country/TerritoryPortugal
CityLisbon
Period7/25/147/27/14

Bibliographical note

Publisher Copyright:
© Springer-Verlag Berlin Heidelberg 2014.

ASJC Scopus Subject Areas

  • Control and Systems Engineering
  • General Computer Science

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