Tilting the evidence: the role of firm-level earnings attributes in the relation between aggregated earnings and gross domestic product

• 成果类型: Article
• 署名作者: Ball, Ryan T.; Gallo, Lindsey; Ghysels, Eric
• 署名单位: University of Michigan System; University of Michigan; University of North Carolina; University of North Carolina Chapel Hill; University of North Carolina School of Medicine
• 刊物名称: REVIEW OF ACCOUNTING STUDIES
• ISSN/ISSBN: 1380-6653
• DOI: 10.1007/s11142-019-09493-0
• 发表日期: 2019
• 页码: 570-592
• 关键词: accounting earnings; income; surprises; macro

摘要

We examine whether the contribution of firm-level accounting earnings to the informativeness of the aggregate is tilted towards earnings with specific financial reporting characteristics. Specifically, we investigate whether considering the smoothness of firm-level earnings increases the informativeness of aggregate earnings for future real GDP, and if so, whether macroeconomic forecasters use this information efficiently. Using recently-developed mixed data sampling methods, we find that the aggregate is tilted towards firms with smoother earnings and that this composition of aggregate earnings outperforms traditional weighting schemes. Further, this tilted aggregate has a stronger positive association with forecast revisions; in fact, analysts who utilize earnings the most in their forecasts appear to fully impound the informativeness of earnings smoothness. Our results synthesize and span parallel yet distinct streams of research on the role of accounting earnings in firm-level and macroeconomic outcomes and suggest an important role for financial reporting characteristics in the aggregate.