Journal of Accounting and Economics, Volume 58, Issue 1, August 2014, Pages 1-20

从宏观到微观：国家依赖、公司基本面与股票收益

作者：Ningzhong Li (University of Texas at Dallas), Scott Richardson (London Business School), ?rem Tuna (London Business School)

摘要：我们从权益投资者的角度，构建了一个能将宏观经济信息运用到公司层面预测中的系统化方法。利用1998-2010年期间全球198315条“公司-年”合并数据进行分析，我们发现将公司的国家依赖（通过地理细分数据得到）与国家宏观形势预测相结合，可以提高对公司基本面的预测能力，并且这种能力的提升在非跨国公司身上体现得尤为明显。同时，我们还发现这种预测的优越性与股票的超额收益相联系，在对不同国家宏观形势预期差别越大的时期，这种关系越强。

关键词：宏观经济依赖性，收入，股票收益，地理分部

Macro to micro: Country exposures, firm fundamentals and stock returns

Ningzhong Li (University of Texas at Dallas), Scott Richardson (London Business School), ?rem Tuna (London Business School)

ABSTRACT

We outline a systematic approach to incorporate macroeconomic information into firm level forecasting from the perspective of an equity investor. Using a global sample of 198,315 firm-years over the 1998–2010 time period, we find that combining firm level exposures to countries (via geographic segment data) with forecasts of country level performance, is able to generate superior forecasts for firm fundamentals. This result is particularly evident for purely domestic firms. We further find that this forecasting benefit is associated with future excess stock returns. These relations are stronger after periods of higher dispersion in expected country level performance.

原文链接：http://www.sciencedirect.com/science/article/pii/S0165410114000172

翻译：汪国颂