The real-time information content of macroeconomic news: implications for firm-level earnings expectations

• 成果类型: Article
• 署名作者: Carabias, Jose M.
• 署名单位: University of London; London School Economics & Political Science
• 刊物名称: REVIEW OF ACCOUNTING STUDIES
• ISSN/ISSBN: 1380-6653
• DOI: 10.1007/s11142-017-9436-9
• 发表日期: 2018
• 页码: 136-166
• 关键词: ANNOUNCEMENT DRIFT; ACCOUNTING EARNINGS; quarterly earnings; stock returns; series models; superiority; analysts; numbers; tests; RISK

摘要

This paper investigates the usefulness of the real-time macroeconomic news-flow as a leading indicator of firm-level end-of-quarter realized earnings. Using recent advances in macroeconomics, I develop a nowcasting model for quarterly earnings and provide two main findings. First, I show that my model provides out-of-sample expectations that are as accurate as analysts' forecasts. Second, macroeconomic news embedded in my nowcasts is not fully incorporated into investors' earnings expectations and predicts future abnormal returns around earnings announcements. These findings have three main implications for capital markets research. First, real-time macroeconomic news can be used to update earnings expectations in real-time. Second, there are economic benefits of doing so, as evidenced by the magnitude of risk-adjusted returns around earnings announcements. Third, after three decades of almost nonexistent research on time-series models for quarterly earnings, the door is open again for fruitful research in this area.