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Academic literature on the topic 'The Risk of Financial Distress'

Author: Grafiati

Published: 30 June 2021

Last updated: 4 February 2022

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Journal articles on the topic "The Risk of Financial Distress"

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Gottardo, Pietro, and Anna Maria Moisello. "Family firms, risk-taking and financial distress." Problems and Perspectives in Management 15, no. 2 (June 30, 2017): 168–77. http://dx.doi.org/10.21511/ppm.15(2-1).2017.01.

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The authors investigate the question of whet her qualitative characteristics are likely to explain the survival of family firms in case of financial distress and whether these variables improve the explanatory power of quantitative variables in clarifying the different probability of distress between family and non-family firms. They focus their attention on the impact of the controlling owner and, using the Socioemotional Wealth theory (SEW), study the role of the family involvement in mitigating or accentuating the likelihood of distress. Using a dataset of 1,137 Italian family and non-family firms during 2004–2013, the authors found that family firms are significantly less likely to incur distress than non-family firms. The board dimension and the number of family members on board affect the probability of distress even controlling for some firm risk characteristics such as beta and ROA volatility, and there is also evidence of a gender mitigating effect in case of a female CEO.

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Kozlowski, Steven E., and Michael R. Puleo. "Financial distress, corporate takeovers and the distress anomaly." Managerial Finance 47, no. 8 (March 30, 2021): 1168–93. http://dx.doi.org/10.1108/mf-12-2019-0621.

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PurposeThis paper examines the relation between takeover likelihood and the documented underperformance of distressed company stocks while exploring two competing hypotheses. The failure risk explanation predicts lower returns to distressed firms with high probability of being acquired because the acquisition reduces risk and investors' required return. Conversely, the agency conflicts explanation predicts lower returns when acquisition is unlikely.Design/methodology/approachThe likelihood of receiving a takeover bid is estimated, and portfolio tests explore the underperformance of distressed company stocks relative to non-distressed stocks across varying levels of takeover likelihood. Predictive regressions subsequently examine the relation between distress, takeover exposure and future firm operating performance including how the relation is affected by state anti-takeover laws.FindingsDistressed stocks underperform non-distressed company stocks by economically and statistically significant margins when takeover likelihood is low, yet there is no evidence of underperformance among distressed stocks with moderate or high takeover exposure. Consistent with agency conflicts playing a key role, distressed firms that are disciplined by takeover threats invest more, use more leverage and experience higher future profitability. State-level anti-takeover legislation limits this disciplinary effect, however.Originality/valueThe results show that the well-documented distress anomaly is driven by a subset of distressed firms whose managers face limited pressure from the external takeover market. The evidence casts doubt on the failure risk explanation and suggests that agency conflicts play a key role.

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Meher, Kishor, and Henok Getaneh. "Impact of determinants of the financial distress on financial sustainability of Ethiopian commercial banks." Banks and Bank Systems 14, no. 3 (October 10, 2019): 187–201. http://dx.doi.org/10.21511/bbs.14(3).2019.16.

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The study aims to investigate the impact of determinants of financial distress on financial sustainability of Ethiopian commercial banks. The balanced panel data of 12 commercial banks of Ethiopia have been taken for the study from 2011 to 2017. The research deploys Ordinary Least Square (OLS) Regression Model. The indicators of financial distress are bank’s specific internals and macro-economic factors. The proxies of financial sustainability are Return on Assets, Return on Equity, Financial Stability Index and Bank Soundness. The findings reveal that the Absolute Liquidity Risk and Net Income Growth are found to be positive and significant and Solvency Risk negative and significant in relation to Return on Assets. Asset Quality is found to be positive and significant and Solvency Risk negative and significant with respect to Return on Equity. The Asset Quality and Net Income Risk are positive and significant and Solvency Risk is negative and significant with relation to the Financial Stability Index. Absolute Liquidity Risk and Liquidity Risk are positive and significant and Credit Risk negative and significant with Bank Soundness. Free Cash Flow and Net Income Growth are essential for enhancing Return on Assets and Bank Soundness, and managing equity within the prudential norms could bring forth short-term financial sustainability of commercial banks. By lowering provisioning of loan loss, Growth in Net Interest Income and managing Solvency Risk could ensure financial stability to the banks, which in turn leads to financial sustainability. The study reveals that financial sustainability of banks is insulated from the exposures of systematic risks originating from macroeconomic factors.

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Wang, Qian. "Financial Distress Risk and Momentum Effects: Evidence from China’s Stock Market." International Journal of Economics and Finance 9, no. 12 (November 13, 2017): 153. http://dx.doi.org/10.5539/ijef.v9n12p153.

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I examine the relation of distress risk to size, book-to-market, and momentum effects in China’s stock market. Consistent with the market underreaction hypothesis, I find that distressed firms underperform non-distressed firms in China’s stock market and the momentum factor proxies for distress risk in our sample period. My study also shows that the explanatory power of the momentum effect is subsumed when the distress factor is present.

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Chalise, Lekhnath, and Sophia Anong. "Spending Behavior Change and Financial Distress During the Great Recession." Journal of Financial Counseling and Planning 28, no. 1 (2017): 49–61. http://dx.doi.org/10.1891/1052-3073.28.1.49.

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This study investigated whether spending habits before and during the Great Recession predicted financial distress. Financial distress was defined as failing to make mortgage and non-mortgage loan payments on time. Data from the 2007–2009 panel of the Survey of Consumer Finances revealed that one’s prerecession spending habit did not seem to matter. Respondents who reported in the earlier wave that they spent more than income but had begun to spend less than income during the recession were twice as likely to become financially distressed. However, those who were spending more than their income during the recession were three times as likely to be financially distressed. Being in good health, having income certainty, and above average risk tolerance lowered the odds of financial distress.

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Simlai, Prodosh. "Firm characteristics, distress risk and average stock returns." Accounting Research Journal 27, no. 2 (August 26, 2014): 101–23. http://dx.doi.org/10.1108/arj-06-2012-0046.

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Purpose – This paper aims to examine the empirical relationship between firm-level characteristics and the variability of the average portfolio returns of distressed firms. The cross-sectional role of momentum in the market mispricing of distressed firms is evaluated. Distress risk associated with size and book-to-market ratio is also disentangled. Design/methodology/approach – All of NYSE, AMEX and NASDAQ stocks between January 1972 and December 2008 are used, and the individual and joint role of firm characteristics are studied in detail. Using a measure of distressed stocks based on Campbell, Hilscher and Szilagyi (CHS, 2008), new findings on how stock return anomalies are related to the interactions between firm characteristics and financial distress risk are provided. Findings – The findings show that the size and value effects are not due to distress risk. Also, contrary to the existing empirical evidence, momentum does not proxy for distress risk. Furthermore, in the cross-sectional analysis, momentum subsumes the effect of size risk, and book-to-market acts as an independent state variable. Research limitations/implications – The exposition of the paper is limited in many directions. To measure the extent of financial distress, only the model of CHS (2008) is used. As the level of distress is the key input in the paper, it would be interesting to use some other measure of distress, such as Z-score and O-score in the sample. Practical implications – Collectively, the pricing results in this paper help to foster a better understanding of the nature of distressed stocks, and the identification of distress risk premium. It will help scholars and investment professionals to make robust portfolio management decisions. Originality/value – Overall, this paper investigates an important research direction that can potentially shed new light on our understanding of the risk–return relationship of financially distressed stocks. The individual effect of momentum on the variability of the distressed firm’s average returns is highlighted. A formal cross-sectional test of the relationship between distress risk and firm characteristics that include momentum is presented. None of them is quite known in the existing literature.

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Bartram, Söhnke M., Gregory W. Brown, and William Waller. "How Important Is Financial Risk?" Journal of Financial and Quantitative Analysis 50, no. 4 (August 2015): 801–24. http://dx.doi.org/10.1017/s0022109015000216.

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AbstractWe explore the determinants of equity price risk of nonfinancial corporations. Operating and asset characteristics are by far the most important determinants of risk. For the median firm, financial risk accounts for only 15% of observed stock price volatility. Furthermore, financial risk has declined over the last 3 decades, indicating that any upward trend in equity volatility was driven entirely by economic risk factors. This explains why financial distress (as opposed to economic distress) was surprisingly uncommon in the nonfinancial sector during the 2007–2009 crisis even as measures of equity volatility reached unprecedented highs.

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Chang, Woo-Jin, Rachel M. Hayes, and Stephen A. Hillegeist. "Financial Distress Risk and New CEO Compensation." Management Science 62, no. 2 (February 2016): 479–501. http://dx.doi.org/10.1287/mnsc.2014.2146.

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ALMEIDA, HEITOR, and THOMAS PHILIPPON. "The Risk-Adjusted Cost of Financial Distress." Journal of Finance 62, no. 6 (November 28, 2007): 2557–86. http://dx.doi.org/10.1111/j.1540-6261.2007.01286.x.

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Almeida, Heitor, and Thomas Philippon. "Estimating Risk-Adjusted Costs of Financial Distress." Journal of Applied Corporate Finance 20, no. 4 (September 2008): 105–9. http://dx.doi.org/10.1111/j.1745-6622.2008.00208.x.

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Dissertations / Theses on the topic "The Risk of Financial Distress"

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Outecheva, Natalia. "Corporate financial distress : an empirical analysis of distress risk." kostenfrei, 2007. http://www.unisg.ch/www/edis.nsf/wwwDisplayIdentifier/3430.

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Sang, Le Quang. "The value of financial flexibility, corporate investment policy and financial distress risk." Thesis, University of Southampton, 2018. https://eprints.soton.ac.uk/427735/.

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This study investigates the effects of the value of financial flexibility (VOFF) on corporate investment policies and distress risk. I empirically examine three main following research questions: (1) Does VOFF affect level and efficiency of firm's capital investment, (2) does VOFF impact corporate ability to invest in working capital and the speed of working capital adjustment, and (3) does VOFF explain the variation in a firm's default probability. The study is mainly motivated by the well-established theoretical framework that suggests that financial flexibility enables a firm to finance desirable projects in a timely and value-maximising manner when such profitable opportunities arise and it may reduce the likelihood of financial distress under the effects of negative shocks in cash flows (Gamba and Triantis, 2008). However, to date, no systematic investigation has considered whether and to which extent the value, not level, of financial flexibility can affect firm investment, whether VOFF's effects are the same across different types of investment and how it can explain the variations in failure probability. I use a sample of 8024 non-financial US firms over the period of 1978-2013 and employ multiple methods under the panel data methodology to answer the research and hypothesis questions. I find that higher VOFF can lead to lower investment level in fixed capital, a higher likelihood of bypassing investment opportunities, and more likelihood of suffering from higher investment distortions, especially underinvestment, in long-term assets. In addition, the negative relation between investment efficiency and VOFF is higher for more financially constrained firms. With regards to the effect of VOFF on firm policy in working capital management, I uncover that firms whose shareholders confer a higher value on financial flexibility suffer from both underinvestment and overinvestment problems, particularly the latter. I also find that VOFF accelerates the SOA of WC and that such factors as WC approach, financial constraint, and types of industry have bearing effects on the relation between VOFF and SOA of WC. I also show that firms with higher VOFF suffer less from the risk of failure. I find that the main mechanism for this negative relation is via a reduction in total leverage, especially short-term debts. I also evince that such factors as firm rigidity (a proxy for operating flexibility), credit-default swaps trading and managerial quality have moderating effects that exert possible influences on the nature and strength of the credit risk-VOFF relation. The thesis's results advance the literature in several ways. First, it provides evidence in support of theoretical works that emphasise the precautionary motive of cash holding, the value of liquid assets, and their implications for corporate decisions (Gamba and Triantis, 2008, Riddick and Whited, 2009, Bolton et al., 2011). Second, while existing approaches aim at to measure the level of financial flexibility, I, in contrast, follow a new approach to measure the economic value of financial flexibility by using the stock market reaction as a means to an end to measure VOFF and subsequently utilize this measure to study different issues on corporate investment and credit risk. I view my thesis as an extension to Rapp et al.'s (2014) works by providing new empirical evidence of possible effects of VOFF a firm's investment policy and credit risk. From a practical viewpoint, this thesis highlights the impacts of financial flexibility on real investment decisions and its risk relevance. The findings also help to explain why financial flexibility is a first-order consideration in making financial decisions among the top CEO around the globe (Graham and Harvey, 2001, Brounen et al., 2004, Campello et al., 2010). Furthermore, since VOFF is found to have significantly explanatory power for the variation in credit risk it can help to increase the information set to predict credit risk by relevant parties such as managers, suppliers, and lenders, among others.

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Costa, Magali Pedro. "Three essays on firms' financial distress." Doctoral thesis, Universidade de Évora, 2015. http://hdl.handle.net/10174/17512.

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Financial and output market decisions are crucial to the success or failure of an or- ganization. These decisions are influenced by the dynamic and competitive economic environment in which firms operate and, in turn, affect the ability of firms to meet their debt obligations. This thesis is constituted by three separate but interrelated essays which explore the impact of financial and operating decisions on the default risk. The first two essays study the equilibrium default probability, in a two-stage differentiated product duopoly model with uncertainty, where firms decide their financial structure in the first stage and their quantities in the second stage. These two essays analyze the impact of changes in the parameters of the model, on the equilibrium default probability (the first essay uses com- parative statics tools while the second uses numerical simulation). The impact of changes in the uncertainty level, in the degree of product substitutability, in the marginal costs and in the default cost on the financing and output decisions and on the default risk are analyzed. The third essay tests empirical the relationship between market structure and capital structure decisions and their relationship with the default probability using a sam- ple of eleven members of the Organization for Economic Cooperation and Development (OECD). The three essays reach a coherent set of conclusions. In particular, they show that uncertainty, market structure and default costs influence financial and product market de- cisions and the probability of default. Moreover, they show that the default probability is influenced directly by the parameters, but it is also influenced by the way firms optimally adjust their financial and product market decisions when the parameters change. There- fore a less favorable environment does not necessarily imply higher default probability, as firms may respond by financing less with debt; RESUMO:Decisões financeiras e no mercado do produto são cruciais para o sucesso ou falência de uma organização. Estas decisões são influenciadas pelo ambiente econômico, dinâmico e competitivo em que as empresas operam e, por sua vez, afetam a capacidade das empresas cumprirem suas obrigações. Esta tese é constituída por três ensaios distintos, mas interrelacionados que exploram o impacto das decisões financeiras e operacionais sobre o risco de incumprimento. Os dois primeiros ensaios estudam a probabilidade de incumprimento de equilíbrio, num modelo duopólio, com produtos diferenciados, com dois estágios e com incerteza, onde as em- presas no primeiro estágio decidem a sua estrutura financeira, e no segundo estágio as suas quantidades. Estes dois ensaios analisam o impacto de alterações dos parâmetros do modelo na probabilidade de incumprimento de equilíbrio (o primeiro ensaio usa ferra- mentas de estática comparada, enquanto o segundo usa simulação numérica). É analisado o impacto de mudanças no nível de incerteza, no grau de substituibilidade do produto, nos custos marginais e no custo de incumprimento sobre as decisões de financiamento e de produção, e sobre o risco de incumprimento. O terceiro ensaio testa empíricamente a relação entre estrutura de mercado e as decisões da estrutura de capital e a sua relação com a probabilidade de incumprimento, utilizando uma amostra de onze membros da Organização para a Cooperação e Desenvolvimento Económico (OCDE). Os três ensaios chegam a um conjunto coerente de conclusões. Nomeadamente, mostram que a incerteza, a estrutura de mercado e custos de incumprimento infuenciam as decisões financeiras e no mercado do produto e a probabilidade de incumprimento. Além disso, mostram que a probabilidade de incumprimento é infuênciada diretamente pelos parâmetros , mas também é infuênciada pela forma como as empresas ajustam de forma ótima as suas decisões financeiras e no mercado do produto quando os parâmetros alteram. Por conseguinte, um ambiente menos favorável não significa necessariamente maior probabilidade de incumprimento, uma vez que as empresas podem responder financiando-se com menos dívida

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Dove, Howard. "Distress risk, financial crisis and investment strategies : evidence from the United Kingdom." Thesis, Durham University, 2018. http://etheses.dur.ac.uk/12755/.

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The thesis focuses on the impacts of market distress conditions and firms’ default probability on two key investment strategies in the UK. These are investment decisions in value firms versus growth firms (chapter 3), and well-performing firms versus poorly-performing firms (chapter 4). Although distress risk (measured by the market conditions and default probability) is a relevant factor in explaining the general movement of stock returns, this is the first study addressing a direct link between these distress elements and the above two investment choices. The thesis employs a range of distress indicators, including the following: firm-specific proxies such as Fama-French’s (1993) three factors (i.e. the market beta, firm size and book-to-market factors), idiosyncratic volatility, default risk, and market-related factors (e.g. business cycles, market downturn and upturn conditions). More recent data and well-developed proxies are used to make sure the results are valid and robust. First of all, the thesis finds positive abnormal returns from investing in value and momentum companies. Among these investment strategies, momentum stocks generate significant profitability in the short run. However, the value firms’ investments generate positive but insignificant profit. In terms of explanatory ability, distress risk is found to play an important role in explaining value and momentum anomalies. For example, there is evidence that highly volatile stocks tend to suffer greater default risk, and that stocks with a higher default risk generate lower returns. The results in this study also suggest that momentum-oriented investors would benefit from significantly high returns during market upturns, however these strategies would lead to great losses during recessions.

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Rugangira, Paul Kato. "Corporate governance, financial distress, and risk-taking in the USA banking sector." Thesis, University of Leeds, 2012. http://etheses.whiterose.ac.uk/7526/.

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This thesis investigates the role of corporate governance in US bank holding companies between 1998 to 2007. In the course of the thesis, four main contributions to extant literature are brought to the fore. First, the research facilitates a better understanding of the link between corporate governance and risk-taking. This is the main focus of the thesis and so this strand permeates the entire text. Second, it constructs a distance-to-default indicator, which is used to predict and compare financial conditions in banks that issued subordinated debt with those that did not. Third, it considers the impact of managerial incentives on bank risk-taking through board structure. Finally, the results provide a platform from which to view the various policy implications raised by the thesis. In analysing the extent to which distance to default is explained by bank risk fundamentals, it is shown that distance to default is predicted marginally better in sub-debt banks relative to non-sub-debt banks. For banks that issue sub-debts, again, it is found that charter values and bank capitalisation further increase the power of bank fundamentals to predict default risk. Turning to bank risk-related variables, capital to assets and non-performing loan ratios negatively and positively affect managerial ownership, respectively. This evidence is new. The percentage of independent directors is positively related to capital to asset and liquid asset ratios, and negatively related to the non-performing loans ratio. Capital to assets and non-performing loan ratios have an observed positive and negative correlation with the percentage of institutional ownership. Also, excessive risk-taking is evident in ex-ante and ex-post Sarbanes and Regulation and linked to board size. With respect to managerial incentives, equity- and cash-based compensation is positively related to bank risk. Finally, while leverage varies directly with stock options, it is inversely associated with cash compensation.

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Zhiyong, Li. "Predicting financial distress using corporate efficiency and corporate governance measures." Thesis, University of Edinburgh, 2014. http://hdl.handle.net/1842/9934.

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Credit models are essential to control credit risk and accurately predicting bankruptcy and financial distress is even more necessary after the recent global financial crisis. Although accounting and financial information have been the main variables in corporate credit models for decades, academics continue searching for new attributes to model the probability of default. This thesis investigates the use of corporate efficiency and corporate governance measures in standard statistical credit models using cross-sectional and hazard models. Relative efficiency as calculated by Data Envelopment Analysis (DEA) can be used in prediction but most previous literature that has used such variables has failed to follow the assumptions of Variable Returns to Scale and sample homogeneity and hence the efficiency may not be correctly measured. This research has built industry specific models to successfully incorporate DEA efficiency scores for different industries and it is the first to decompose overall Technical Efficiency into Pure Technical Efficiency and Scale Efficiency in the context of modelling financial distress. It has been found that efficiency measures can improve the predictive accuracy and Scale Efficiency is a more important measure of efficiency than others. Furthermore, as no literature has attempted a panel analysis of DEA scores to predict distress, this research has extended the cross sectional analysis to a survival analysis by using Malmquist DEA and discrete hazard models. Results show that dynamic efficiency scores calculated with reference to the global efficiency frontier have the best discriminant power to classify distressed and non-distressed companies. Four groups of corporate governance measures, board composition, ownership structure, management compensation and director and manager characteristics, are incorporated in the hazard models to predict financial distress. It has been found that state control, institutional ownership, salaries to independent directors, the Chair’s age, the CEO’s education, the work location of independent directors and the concurrent position of the CEO have significant associations with the risk of financial distress. The best predictive accuracy is made from the model of governance measures, financial ratios and macroeconomic variables. Policy implications are advised to the regulatory commission.

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Smit, Candice. "The use of recursive partitioning to build a financial distress prediction for JSE listed companies." Master's thesis, University of Cape Town, 2016. http://hdl.handle.net/11427/20633.

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The financial crises of 2008 increased the focus around financial distress and even more so on predicting financially distressed companies prior to the fact. This research paper investigates using recursive partitioning to predict financially distressed companies on the Johannesburg Stock Exchange, taking different business cycle periods into account over the time period 1997-2014. The updated as well as longer time period over which the analysis is conducted distinguishes this research paper from prior research. This paper employs both the CART and CHAID algorithm and obtains financially distressed prediction models which have a higher correct classification rate than chance alone and prior literature in South Africa. This paper also makes use of a matched data sample approach and the manner in which missing data is addressed makes a valuable contribution to financial distress prediction research. Furthermore, support is found for prior literature in that financial variables are statistically significant in predicting financial distress.

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Pålsson, Moa, and Patric Beijer. "Corporate Sustainability Performance and the Risk of Financial Distress : A Panel Data Analysis." Thesis, Umeå universitet, Företagsekonomi, 2021. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-185346.

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There are increased calls for corporations to act responsibly. Those responsibilities exceed the classical assumption that the only responsibility of the firm is its shareholders and ultimately to maximize their wealth. Any social issue participation has been described as charity or squandering of resources at the expense of the shareholders. According to the Stakeholder theory, firms should consider every stakeholder that is affected by the company and stakeholder management can be a source of value. The risk reduction hypothesis is especially interesting in the context of corporate sustainability. There have been multiple studies that have explored the relationship between corporate sustainability performance and the risk of financial distress. Like those studies, this study found that corporate sustainability performance is negatively associated with the risk of financial distress. Thereby answering the research question proposed by the authors: “Does corporate sustainability performance affect the risk of financial distress?”. Companies with higher sustainability performance will experience less risk and engagement in those activities works as a risk reduction tool. Different levels of sustainability performance have different effect on the risk, which should be considered by investors and management. It should inspire investors to incorporate sustainable companies in their investment portfolios. Furthermore, the thesis contributes to the field of knowledge by analyzing the empirical results using the Stakeholder Theory, the Shareholder Theory, the Legitimacy Theory, the Resource-based view, the Agency Theory and the Stewardship Theory. The study provides evidence of an increasing importance of sustainability performance and suggests that firms can use sustainability performance to mitigate risk. This is a panel data analysis including approximately 16,000 firm-year observations. The study takes a deductive approach, and the research is conducted under a positivist paradigm. The data is tested through conducting OLS regressions with fixed effects. The results of the statistical testing have been compared to previous studies and other relevant literature.

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Elgammal, Mohammed. "An empirical analysis of the relationship between the value premium and financial distress within a GARCH framework." Thesis, University of Aberdeen, 2010. http://digitool.abdn.ac.uk:80/webclient/DeliveryManager?pid=137007.

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This thesis provides an empirical analysis of the relationship between the value premium and financial distress. Measures of leverage and default are used as proxies for financial distress. Using both an international data set, 1991 to 2006 and a long time series data set for the United States, 1927 – 2007, the thesis adds knowledge about the role of the value premium in asset pricing theory. Generalised autoregressive conditional heteroscedastic modelling (GARCH) is used and information gathered on the volatility of the value premium. A vector autoregressive (VAR) framework and Granger Causality tests are utilised in order to offer a deeper examination of the relationship between risk premium and economic activity. The results add further evidence to support the view that the value premium appears to be linked to variables associated with financial distress, although it is noted that this does not necessarily mean that participants in financial markets behave rationally.

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Mselmi, Nada. "Financial distress prediction and equity pricing models : Theory and empirical evidence in France." Thesis, Orléans, 2017. http://www.theses.fr/2017ORLE0502.

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Cette thèse porte sur la prédiction de la détresse financière et son impact sur le rendement des actions. L’objet principal de cette thèse est de : (i) prédire la détresse financière des petites et moyennes entreprises françaises en utilisant plusieurs spécifications économétriques tels que, le modèle Logit, les réseaux de neurones artificiels, la méthode SVM et la régression des moindres carrés partiels, et (ii) d’identifier les facteurs de risque de détresse financière à caractère systématique, explicatifs des rendements des actions, et additionnels au modèle de Fama et French (1993) tels que le momentum, la détresse relative, la liquidité et la Value-at-Risk, sur le marché boursier Français. Cette étude comporte deux parties. La première partie, composée de 2 chapitres, s’interroge sur les principaux indicateurs discriminants entre les petites et moyennes entreprises françaises saines et celles en détresse financière un an et deux ans avant la défaillance. Elle mobilise différentes approches de prédiction et aboutit à des résultats empiriques qui font l’objet d’analyse. La deuxième partie, composée aussi de 2 chapitres, étudie le pouvoir explicatif, du modèle de Fama et French (1993) augmenté de certains facteurs de risque, mais aussi des modèles alternatifs à cette approche dans le contexte français. Les tests portent aussi sur le caractère systématique des facteurs de risque additionnels ou alternatifs, explicatifs des rendements des actions. Les résultats empiriques obtenus font l’objet d’analyse et permettent de proposer des implications managériales aux décideurs
This thesis focuses on financial distress and its impact on stock returns. The main goal of this dissertation is: (i) to predict the financial distress of French small and medium-sized firms using a number of techniques namely Logit model, Artificial Neural Networks, Support Vector Machine techniques, and Partial Least Squares, and (ii) to identify the systematic risk factors of financial distress that can explain stock returns, in addition to those of Fama and French (1993) such as the momentum, the relative distress, the liquidity, and the Value-at-Risk in the French stock market. This study has been concretized in two parts. The first part, composed of 2 chapters, wonders about the main indicators that can discriminate between distressed and non-distressed French small and medium-sized firms one and two years before default. It mobilizes different prediction techniques and leads to the empirical results that are the subject of the analysis. The second part, composed also of 2 chapters, investigates the explanatory power of Fama and French (1993) model augmented by a number of risk factors, as well as alternative models in the French context. The tests also focus on the systematic nature of the additional or alternative risk factors, explaining the stock returns. The obtained empirical results are analyzed and propose managerial implications to decision makers

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Books on the topic "The Risk of Financial Distress"

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Almeida, Heitor. The risk-adjusted cost of financial distress. Cambridge, MA: National Bureau of Economic Research, 2005.

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Almeida, Heitor. The risk-adjusted cost of financial distress. Cambridge, MA: National Bureau of Economic Research, 2005.

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Gottardo, Pietro, and Anna Maria Moisello. Capital Structure, Earnings Management, and Risk of Financial Distress. Cham: Springer International Publishing, 2019. http://dx.doi.org/10.1007/978-3-030-00344-9.

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Cruikshank, Eric D. Distressed financial markets: Navigating the shoals of liquidity risk. London: Euromoney Institutional Investor PLC, 2008.

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Hori, Chikara. Financial distress analysis. [s.l: The Author], 1995.

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Agostini, Marisa. Corporate Financial Distress. Cham: Springer International Publishing, 2018. http://dx.doi.org/10.1007/978-3-319-78500-4.

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Pozzoli, Matteo, and Francesco Paolone. Corporate Financial Distress. Cham: Springer International Publishing, 2017. http://dx.doi.org/10.1007/978-3-319-67355-4.

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Campbell, John Y. In search of distress risk. Cambridge, Mass: National Bureau of Economic Research, 2006.

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Schmuck, Martin. Financial Distress and Corporate Turnaround. Wiesbaden: Springer Fachmedien Wiesbaden, 2013. http://dx.doi.org/10.1007/978-3-658-01908-2.

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Altman, Edward I., and Edith Hotchkiss. Corporate Financial Distress and Bankruptcy. Hoboken, NJ, USA: John Wiley & Sons, Inc., 2005. http://dx.doi.org/10.1002/9781118267806.

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Book chapters on the topic "The Risk of Financial Distress"

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Banks, Erik. "Liquidity Spirals and Financial Distress." In Liquidity Risk, 92–104. London: Palgrave Macmillan UK, 2005. http://dx.doi.org/10.1057/9780230508118_6.

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Banks, Erik. "Liquidity Spirals and Financial Distress." In Liquidity Risk, 108–21. London: Palgrave Macmillan UK, 2014. http://dx.doi.org/10.1057/9781137374400_6.

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Hershbarger, Robert, and Ran BarNiv. "Classifying Financial Distress in the Life Insurance Industry." In Managing the Insolvency Risk of Insurance Companies, 109–31. Dordrecht: Springer Netherlands, 1991. http://dx.doi.org/10.1007/978-94-011-3878-9_3.

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Nwogugu, Michael I. C. "Reasoning and Repeated Decisions in Financial Distress." In Complex Systems, Multi-Sided Incentives and Risk Perception in Companies, 653–75. London: Palgrave Macmillan UK, 2019. http://dx.doi.org/10.1057/978-1-137-44704-3_11.

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Gottardo, Pietro, and Anna Maria Moisello. "Family Influence, Leverage and Probability of Financial Distress." In Capital Structure, Earnings Management, and Risk of Financial Distress, 41–55. Cham: Springer International Publishing, 2018. http://dx.doi.org/10.1007/978-3-030-00344-9_3.

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Gottardo, Pietro, and Anna Maria Moisello. "Introduction." In Capital Structure, Earnings Management, and Risk of Financial Distress, 1–11. Cham: Springer International Publishing, 2018. http://dx.doi.org/10.1007/978-3-030-00344-9_1.

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Gottardo, Pietro, and Anna Maria Moisello. "Family Control and Capital Structure Choices." In Capital Structure, Earnings Management, and Risk of Financial Distress, 13–40. Cham: Springer International Publishing, 2018. http://dx.doi.org/10.1007/978-3-030-00344-9_2.

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Gottardo, Pietro, and Anna Maria Moisello. "Equity and Bond Issues and Earnings Management Practices." In Capital Structure, Earnings Management, and Risk of Financial Distress, 57–73. Cham: Springer International Publishing, 2018. http://dx.doi.org/10.1007/978-3-030-00344-9_4.

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Gottardo, Pietro, and Anna Maria Moisello. "Earnings Management, Issues and Firm Market Value." In Capital Structure, Earnings Management, and Risk of Financial Distress, 75–92. Cham: Springer International Publishing, 2018. http://dx.doi.org/10.1007/978-3-030-00344-9_5.

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Gottardo, Pietro, and Anna Maria Moisello. "Conclusions." In Capital Structure, Earnings Management, and Risk of Financial Distress, 93–99. Cham: Springer International Publishing, 2018. http://dx.doi.org/10.1007/978-3-030-00344-9_6.

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Conference papers on the topic "The Risk of Financial Distress"

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Ekadjaja, Margarita, Halim Putera Siswanto, Agustin Ekadjaja, and Rorlen Rorlen. "The Effects of Capital Adequacy, Credit Risk, and Liquidity Risk on Banks’ Financial Distress in Indonesia." In Ninth International Conference on Entrepreneurship and Business Management (ICEBM 2020). Paris, France: Atlantis Press, 2021. http://dx.doi.org/10.2991/aebmr.k.210507.059.

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Tejo, Bimo Ario, and Dewi Hanggraeni. "The Effects of Credit Risk and Financial Performance to Financial Distress Prediction of Listed Banks in Indonesia." In The International Conference on Business and Management Research (ICBMR 2020). Paris, France: Atlantis Press, 2020. http://dx.doi.org/10.2991/aebmr.k.201222.022.

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Deng, Xiao-Lan, and Ting Wang. "Stock Market Factors and Risk of Financial Distress: An Empirical Analysis Using Cox proportional Hazard Model." In 2008 4th International Conference on Wireless Communications, Networking and Mobile Computing (WiCOM). IEEE, 2008. http://dx.doi.org/10.1109/wicom.2008.2420.

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Marini, Vladimiro, Massimo Caratelli, and Ilaria Barbaraci. "The role of equity stakes and industry expertise in mitigating the risk of financial distress. Are private equity sponsors really better than other types of owners?" In Corporate Governance: Search for the advanced practices. Virtus Interpress, 2019. http://dx.doi.org/10.22495/cpr19a10.

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Gunawan, Barbara, and Hutomo Cahya Putra. "Determinant of Financial Distress." In 4th International Conference on Sustainable Innovation 2020-Accounting and Management (ICoSIAMS 2020). Paris, France: Atlantis Press, 2021. http://dx.doi.org/10.2991/aer.k.210121.016.

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Ernawati, Endang, Samantha Elysia Handojo, and Werner R. Murhadi. "Financial performance, corporate governance, and financial distress." In 15th International Symposium on Management (INSYMA 2018). Paris, France: Atlantis Press, 2018. http://dx.doi.org/10.2991/insyma-18.2018.9.

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Putri, Desti Eka, and Dirvi Surya Abbas. "Faktor Keuangan Dan Financial Distress." In SEMINAR NASIONAL DAN CALL FOR PAPER 2020 FAKULTAS EKONOMI DAN BISNIS UNIVERSITAS MUHAMMADIYAH JEMBER. UM Jember Press, 2021. http://dx.doi.org/10.32528/psneb.v0i0.5198.

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Abstract:

Penelitian ini bertujuan untuk menganalisis secara simultan dan parsial pengaruh Likuiditas, Leverage, Pertumbuhan Penjualan, Kepemilikan Institusional, dan Komisaris Independen terhadap Financial Distress sektor Consumer Goods Industry (CGI) yang terdaftar di BEI pada Periode 2016-2018. Metode sampling yang digunakan dalam penelitian ini adalah metode purposive sampling yaitu metode pengambilan sampel sesuai kriteria tersebut. Perusahaan yang mencapai kriteri daam penelitian ini sebanyak 11 perusahaan Consumer Goods Industry (CGI) di BEI pada periode 2016-2018. Analisis yang digunakan yaitu analisis regresi data panel untuk melihat pengaruh variabel independen terhadap variabel dependen baik secara bersama-sama aupun secara individu yang didahului oleh uji asumsi klasik yaitu uji chow, uji hausman, dan uji lagrange multipier. Pengujian hipotesis dilakukan dengan menggunakan uji F, uji R-Squared dan uji T. Hasil penelitian ini memberikan informasi bahwa Leverage, Pertumbuhan Penjualan, Kepemilikan Institusional, dan Komisaris Independen tidak berpengaruh signifikan terhadap Financial Distress pada perusahaan Consumer Goods Industry (CGI) yang terdaftar di Bursa Efek Indonesia (BEI), sedangkan Likuiditas berpengaruh signifikan terhadap Financial Distress pada perusahaan Consumer Goods Industry (CGI) yang terdaftar di Bursa Efek Indonesia (BEI).

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Ramly, Ramly, Sitti Haerani, Yohanes Rura, and Syarifuddin Rasyid. "Predicting Financial Distress and Financial Performance Using Political Connection." In Proceedings of the 4th International Conference on Accounting, Management, and Economics, ICAME 2019, 25 October 2019, Makassar, Indonesia. EAI, 2020. http://dx.doi.org/10.4108/eai.25-10-2019.2295391.

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Dhini, Arian, Naufal Allaam Aji, Harjani Rezkya Putri, and Dhea Indriyanti. "Hybrid Classifier for Predicting Financial Distress." In 2019 16th International Conference on Service Systems and Service Management (ICSSSM). IEEE, 2019. http://dx.doi.org/10.1109/icsssm.2019.8887750.

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Cao, Defang, Xinan Zhao, and Ke Chen. "The Research of Financial Distress Restructuring." In 2009 International Conference on Management and Service Science (MASS). IEEE, 2009. http://dx.doi.org/10.1109/icmss.2009.5304045.

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Reports on the topic "The Risk of Financial Distress"

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Almeida, Heitor, and Thomas Philippon. The Risk-Adjusted Cost of Financial Distress. Cambridge, MA: National Bureau of Economic Research, October 2005. http://dx.doi.org/10.3386/w11685.

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Sánchez, Juan M., José Mustre-del-Río, and Kartik Athreya. The Persistence of Financial Distress. Federal Reserve Bank of St. Louis, 2017. http://dx.doi.org/10.20955/wp.2017.038.

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Graham, John, Sonali Hazarika, and Krishnamoorthy Narasimhan. Financial Distress in the Great Depression. Cambridge, MA: National Bureau of Economic Research, September 2011. http://dx.doi.org/10.3386/w17388.

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Benmelech, Efraim, Nittai Bergman, and Ricardo Enriquez. Negotiating with Labor Under Financial Distress. Cambridge, MA: National Bureau of Economic Research, July 2011. http://dx.doi.org/10.3386/w17192.

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Campbell, John, Jens Hilscher, and Jan Szilagyi. In Search of Distress Risk. Cambridge, MA: National Bureau of Economic Research, July 2006. http://dx.doi.org/10.3386/w12362.

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Gertler, Mark, and R. Glenn Hubbard. Taxation, Corporate Capital Structure, and Financial Distress. Cambridge, MA: National Bureau of Economic Research, December 1989. http://dx.doi.org/10.3386/w3202.

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Andersen, Torben, Tim Bollerslev, Peter Christoffersen, and Francis Diebold. Financial Risk Measurement for Financial Risk Management. Cambridge, MA: National Bureau of Economic Research, May 2012. http://dx.doi.org/10.3386/w18084.

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Sánchez, Juan M., José Mustre-del-Río, Ryan Mather, and Kartik Athreya. Household Financial Distress and the Burden of “Aggregate” Shocks. Federal Reserve Bank of St. Louis, 2019. http://dx.doi.org/10.20955/wp.2019.025.

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Landon-Lane, John, Hugh Rockoff, and Richard Steckel. Droughts, Floods and Financial Distress in the United States. Cambridge, MA: National Bureau of Economic Research, December 2009. http://dx.doi.org/10.3386/w15596.

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Bigio, Saki, and Adrien d'Avernas. Financial Risk Capacity. Cambridge, MA: National Bureau of Economic Research, December 2019. http://dx.doi.org/10.3386/w26561.

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