What Do Management Earnings Forecasts Convey About the Macroeconomy?

• 成果类型: Article
• 署名作者: Bonsall, Samuel B.; Bozanic, Zahn; Fischer, Paul E.
• 署名单位: University System of Ohio; Ohio State University; University of Pennsylvania
• 刊物名称: JOURNAL OF ACCOUNTING RESEARCH
• ISSN/ISSBN: 0021-8456
• DOI: 10.1111/1475-679X.12007
• 发表日期: 2013
• 页码: 225-266
• 关键词: aggregate market reaction; stock returns; real activity; INFORMATION; volatility; disclosure; guidance

摘要

We decompose quantitative management earnings forecasts into macroeconomic and firm-specific components to determine the extent to which voluntary disclosure provided by management has macroeconomic information content. We provide evidence that the forecasts of bellwether firms, which are defined as firms in which macroeconomic news explains the greatest amount of variation in the forecasts, provide timely information to the market about the macroeconomy when bundled with earnings announcements. Further, we show that bellwether firms provide timely information about both industry-specific events and broader economic events. Finally, we document that the macroeconomic news in individual forecasts is more pronounced for bad news and point forecasts.