Review of Accounting Studies ·Volume 23, Issue 1· MAR 2018

宏观经济新闻的实时信息内容：对公司盈余预期的影响

作者：Jose M. Carabias (London School of Economics and Political Science)

摘要：本文研究了实时宏观经济新闻是否是企业季末已实现盈余的有效领先指标。利用宏观经济学的最新进展，本文提出了季度盈余的临近预测模型，并得到了两个主要发现。首先，本文的模型提供了与分析师预测一样准确的样本外预测。其次，投资者的盈余预期并没有完全包含本文预测模型中的宏观经济新闻，这些宏观经济新闻预测了未来盈余公告的异常收益。这些研究结果对资本市场研究有三个主要影响。首先，实时宏观经济新闻可以用来实时更新盈余预期。其次，这样做会带来经济利益，这可以从盈余公告的风险调整收益得到证据。最后，在三十年内，几乎不存在对季度收益的时间序列模型研究，本文再次开启了对这一领域卓有成效的研究。

关键词：宏观经济新闻；盈余预期；市场有效性；收益可预测性

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

Jose M. Carabias (London School of Economics and Political Science)

ABSTRACT

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.

Keywords: Macroeconomic news; Earnings expectations; Market efficiency; Return predictability

原文链接：

https://link.springer.com/article/10.1007/s11142-017-9436-9

翻译：张展