Firms’ financial risk forecasting based on the macroeconomic fluctuations

Hong Wang; Yonggan Zhao; Shuichang Xie

doi:10.1007/978-3-642-55182-6_43

Firms’ financial risk forecasting based on the macroeconomic fluctuations

Hong Wang, Yonggan Zhao, Shuichang Xie

Rowe School of Business

Management

Research output: Chapter in Book/Report/Conference proceeding › Conference 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 language	English
Title of host publication	Proceedings of the 8th International Conference on Management Science and Engineering Management - Focused on Intelligent System and Management Science
Editors	Jiuping Xu, Virgílio António Cruz-Machado, Stefan Nickel, Benjamin Lev
Publisher	Springer Verlag
Pages	501-511
Number of pages	11
ISBN (Electronic)	9783642551819
DOIs	https://doi.org/10.1007/978-3-642-55182-6_43
Publication status	Published - 2014
Event	8th International Conference on Management Science and Engineering Management, ICMSEM 2014 - Lisbon, Portugal Duration: Jul 25 2014 → Jul 27 2014

Publication series

Name	Advances in Intelligent Systems and Computing
Volume	280
ISSN (Print)	2194-5357

Conference

Conference	8th International Conference on Management Science and Engineering Management, ICMSEM 2014
Country/Territory	Portugal
City	Lisbon
Period	7/25/14 → 7/27/14

Bibliographical note

Publisher Copyright:
© Springer-Verlag Berlin Heidelberg 2014.

ASJC Scopus Subject Areas

Control and Systems Engineering
General Computer Science

Access to Document

10.1007/978-3-642-55182-6_43

Cite this

Wang, H., Zhao, Y., & Xie, S. (2014). Firms’ financial risk forecasting based on the macroeconomic fluctuations. In J. Xu, V. A. Cruz-Machado, S. Nickel, & B. Lev (Eds.), Proceedings of the 8th International Conference on Management Science and Engineering Management - Focused on Intelligent System and Management Science (pp. 501-511). (Advances in Intelligent Systems and Computing; Vol. 280). Springer Verlag. https://doi.org/10.1007/978-3-642-55182-6_43

Firms’ financial risk forecasting based on the macroeconomic fluctuations. / Wang, Hong; Zhao, Yonggan; Xie, Shuichang.
Proceedings of the 8th International Conference on Management Science and Engineering Management - Focused on Intelligent System and Management Science. ed. / Jiuping Xu; Virgílio António Cruz-Machado; Stefan Nickel; Benjamin Lev. Springer Verlag, 2014. p. 501-511 (Advances in Intelligent Systems and Computing; Vol. 280).

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution

Wang, H, Zhao, Y & Xie, S 2014, Firms’ financial risk forecasting based on the macroeconomic fluctuations. in J Xu, VA Cruz-Machado, S Nickel & B Lev (eds), Proceedings of the 8th International Conference on Management Science and Engineering Management - Focused on Intelligent System and Management Science. Advances in Intelligent Systems and Computing, vol. 280, Springer Verlag, pp. 501-511, 8th International Conference on Management Science and Engineering Management, ICMSEM 2014, Lisbon, Portugal, 7/25/14. https://doi.org/10.1007/978-3-642-55182-6_43

Wang H, Zhao Y, Xie S. Firms’ financial risk forecasting based on the macroeconomic fluctuations. In Xu J, Cruz-Machado VA, Nickel S, Lev B, editors, Proceedings of the 8th International Conference on Management Science and Engineering Management - Focused on Intelligent System and Management Science. Springer Verlag. 2014. p. 501-511. (Advances in Intelligent Systems and Computing). doi: 10.1007/978-3-642-55182-6_43

Wang, Hong ; Zhao, Yonggan ; Xie, Shuichang. / Firms’ financial risk forecasting based on the macroeconomic fluctuations. Proceedings of the 8th International Conference on Management Science and Engineering Management - Focused on Intelligent System and Management Science. editor / Jiuping Xu ; Virgílio António Cruz-Machado ; Stefan Nickel ; Benjamin Lev. Springer Verlag, 2014. pp. 501-511 (Advances in Intelligent Systems and Computing).

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abstract = "Firms{\textquoteright} financial risk forecasting is generally based on firms{\textquoteright} own financial or nonfinancial characteristics. In fact, macroeconomic fluctuation will also impact firm{\textquoteright}s financial risk. We forecast the fluctuation of financial conditions of China{\textquoteright}s manufacturing industry listed corporations based on firm{\textquoteright}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.",

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Firms’ financial risk forecasting based on the macroeconomic fluctuations

Abstract

Publication series

Conference

Bibliographical note

ASJC Scopus Subject Areas

Access to Document

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