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

Résultat de recherche: Conference contribution

Résumé

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.

Langue d'origine	English
Titre de la publication principale	Proceedings of the 8th International Conference on Management Science and Engineering Management - Focused on Intelligent System and Management Science
Éditeurs	Jiuping Xu, Virgílio António Cruz-Machado, Stefan Nickel, Benjamin Lev
Maison d'édition	Springer Verlag
Pages	501-511
Nombre de pages	11
ISBN (électronique)	9783642551819
DOI	https://doi.org/10.1007/978-3-642-55182-6_43
Statut de publication	Published - 2014
Événement	8th International Conference on Management Science and Engineering Management, ICMSEM 2014 - Lisbon, Portugal Durée: juill. 25 2014 → juill. 27 2014

Séries de publication

Prénom	Advances in Intelligent Systems and Computing
Volume	280
ISSN (imprimé)	2194-5357

Conference

Conference	8th International Conference on Management Science and Engineering Management, ICMSEM 2014
Pays/Territoire	Portugal
Ville	Lisbon
Période	7/25/14 → 7/27/14

Note bibliographique

Publisher Copyright:
© Springer-Verlag Berlin Heidelberg 2014.

ASJC Scopus Subject Areas

Control and Systems Engineering
General Computer Science

Accès au document

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

Autres fichiers et liens

Citer

Wang, H., Zhao, Y., & Xie, S. (2014). Firms’ financial risk forecasting based on the macroeconomic fluctuations. Dans J. Xu, V. A. Cruz-Machado, S. Nickel, & B. Lev (Éds.), 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. éd. / Jiuping Xu; Virgílio António Cruz-Machado; Stefan Nickel; Benjamin Lev. Springer Verlag, 2014. p. 501-511 (Advances in Intelligent Systems and Computing; Vol. 280).

Résultat de recherche: Conference contribution

Wang, H, Zhao, Y & Xie, S 2014, Firms’ financial risk forecasting based on the macroeconomic fluctuations. dans J Xu, VA Cruz-Machado, S Nickel & B Lev (éds), 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. Dans Xu J, Cruz-Machado VA, Nickel S, Lev B, éditeurs, 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. éditeur / 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

Résumé

Séries de publication

Conference

Note bibliographique

ASJC Scopus Subject Areas

Accès au document

Autres fichiers et liens

Empreinte numérique

Citer