 The heterogeneous impact of macroeconomic information on firms' earnings forecastsYan Shu, David Broadstock and Bing Xu The British Accounting Review, 2013, vol. 45, issue 4, 311-325 Abstract: This paper re-examines the role of macroeconomic information in forecasting firm earnings. We adopt a Fama–MacBeth regression model with the important extension of including information from over 140 macroeconomic variables that enter into the model in a reduced dimension form as a consequence of common factor analysis. The resulting factor-augmented model is then used to evaluate the importance of macroeconomic information on earnings forecasts for U.S. firms from 1962 to 2009. The same model is also examined for each individual time window and industry subsample. The results reveal a clear and heterogeneous impact of macroeconomic information on firm-specific earnings forecasts, and that these effects differ markedly during certain periods and across industries. In addition, when compared to analyst forecasts, we show that our model is generally more accurate over longer forecast horizons. The results of the identified heterogeneous impacts are used to define the conditions under which macroeconomic information becomes important for the firm. Keywords: Earnings forecasts; Factor-augmented modified Fama–MacBeth regression; Industrial heterogeneity; Macroeconomic information (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:bracre:v:45:y:2013:i:4:p:311-325 DOI: 10.1016/j.bar.2013.06.011 Access Statistics for this article The British Accounting Review is currently edited by Nathan Lael Joseph and Alan Lowe More articles in The British Accounting Review from Elsevier |
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