Predicting Restatements in Macroeconomic Indicators using Accounting Information

• 成果类型: Article
• 署名作者: Nallareddy, Suresh; Ogneva, Maria
• 署名单位: Duke University; University of Southern California
• 刊物名称: ACCOUNTING REVIEW
• ISSN/ISSBN: 0001-4826
• DOI: 10.2308/accr-51528
• 发表日期: 2017
• 页码: 151-182
• 关键词: aggregate market reaction; earnings guidance; monetary-policy; stock returns; unreliability; unemployment; equilibrium; performance; consumption; accuracy

摘要

Earnings growth dispersion contains information about trends in labor reallocation, unemployment change, and, ultimately, aggregate output. We find that initial macroeconomic estimates released by government statistical agencies do not fully incorporate this information. As a consequence, earnings growth dispersion predicts future restatements in nominal and real GDP growth (and unemployment change) both in the in-sample and out-of-sample tests. Further, when we adjust GDP estimates using the out-of-sample restatement predictions, we find statistically and economically significant effects for the monetary policy prescriptions (Taylor rule) and banking regulation (Basel III).