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Anticipating Early Data Revisions to US GDP and the Effects of Releases on Equity Markets

Michael Clements

No icma-dp2014-06, ICMA Centre Discussion Papers in Finance from Henley Business School, Reading University

Abstract: The effects of data uncertainty on real-time decision-making can be reduced by predicting early revisions to US GDP growth. We show that survey forecasts efficiently anticipate the first-revised estimate of GDP, but that forecasting models incorporating monthly economic indicators and daily equity returns provide superior forecasts of the second-revised estimate. We consider the implications of these findings for analyses of the impact of surprises in GDP revision announcements on equity markets, and for analyses of the impact of anticipated future revisions on announcement-day returns.

Keywords: Survey forecasts; data revisions; economic indicators; stock returns; macro announcements (search for similar items in EconPapers)
JEL-codes: C53 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-for
Date: 2014-08
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