Corporate Financing Activities and Business Cycle Fluctuations

• 成果类型: Article
• 署名作者: Hann, Rebecca N.; Li, Congcong; Mazur, Laurel; Lee, Hanna
• 署名单位: University System of Maryland; University of Maryland College Park; Duquesne University; University of Notre Dame
• 刊物名称: ACCOUNTING REVIEW
• ISSN/ISSBN: 0001-4826
• DOI: 10.2308/TAR-2020-0338
• 发表日期: 2025
• 页码: 183-206
• 关键词: aggregate earnings surprises; vector autoregressions; ACCOUNTING EARNINGS; monetary-policy; Market reaction; AGENCY COSTS; firm-level; net worth; INFORMATION; INVESTMENT

摘要

We examine whether corporate financing activities (CFA) in aggregate convey information about the macroeconomy. Using statement of cash flow information to construct a bottom-up measure of CFA, we find that it has significant predictive power for future economic activity when we exclude a small set of firms whose external financing is largely insulated from macroeconomic conditions. This CFA index has predictive power beyond that of the Gilchrist-Zakrajsek credit spread, aggregate earnings, and other macroeconomic indicators in predicting future GDP in both in-sample and out-of-sample forecasting tests. Impulse responses from a structural vector autoregression show that unexpected decreases in this CFA index lead to a large and persistent contraction in economic activity for up to four quarters. Our results suggest that a simple portfolio-based CFA measure helps capture supply-of-capital effects from the financial accelerator mechanism and hence has significant incremental predictive power for real economic activity.