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首页> 外文期刊>Accounting Review >Taking the Pulse of the Real Economy Using Financial Statement Analysis: Implications for Macro Forecasting and Stock Valuation
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Taking the Pulse of the Real Economy Using Financial Statement Analysis: Implications for Macro Forecasting and Stock Valuation

机译：使用财务报表分析把握实体经济的脉搏：对宏观预测和股票估值的影响

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In this study, we hypothesize and find that financial statement analysis of firm profitability drivers applied at the aggregate level yields timely insights that are relevant for forecasting real economic activity. We first show that focusing on the 100 largest firms offers a cost-effective way to extract information embedded in accounting profitability data of the entire stock market portfolio. We then show that accounting profitability data aggregated across the 100 largest firms have predictive content for subsequent real Gross Domestic Product (GDP) growth. We also show that stock market returns have predictive content for future real GDP growth, while their predictive power varies with the length of the measurement window with annual stock market returns being the most powerful. Importantly, we find that the predictive content of our indices of aggregate accounting profitability drivers is incremental to that of annual stock market returns. An in-depth investigation of consensus survey forecasts shows that professional macro forecasters revise their expectations of real economic activity in the direction of the predictive content of aggregate accounting profitability drivers and stock market returns. Although macro forecasters are fully attuned to stock market return data, their forecasts of real GDP growth can be improved in a statistically and economically significant way using our indices of aggregate accounting profitability drivers. Our findings suggest that professional macro forecasters and stock market investors do not fully impound the predictive content of aggregate accounting profitability drivers when forecasting real economic activity. In additional analysis, we examine the association between stock market returns and the portion of subsequent real GDP growth that is predictable based on our indices of aggregate accounting profitability drivers but that is not anticipated by stock market investors. We find that this portion is positively related to stock market returns, suggesting that the macro predictive content of aggregate accounting profitability drivers is relevant for stock valuation. Overall, our study brings financial statement analysis to the forefront as an incrementally useful tool for gauging the prospects of the real economy that should be of interest to academics and practitioners.
机译：在这项研究中，我们进行了假设并发现，在总体水平上应用公司盈利驱动力的财务报表分析能够及时得出与预测实际经济活动有关的见解。我们首先表明，关注100家最大的公司提供了一种经济有效的方式来提取嵌入整个股票市场投资组合的会计盈利数据中的信息。然后，我们表明，在100家最大的公司中汇总的会计获利能力数据具有随后的实际国内生产总值（GDP）增长的预测内容。我们还表明，股市收益对未来的实际GDP增长具有预测性内容，而它们的预测能力随度量窗口的长度而变化，其中年度股票收益率最有力。重要的是，我们发现总会计利润率驱动力指标的预测内容相对于年度股票市场收益而言是递增的。对共识调查预测的深入研究表明，专业宏观预测员朝着总会计盈利能力驱动因素和股票市场收益的预测内容方向修订了他们对实际经济活动的预期。尽管宏观预测者完全适应了股票市场的回报数据，但可以使用我们的总会计盈利能力驱动因素指数，以统计上和经济上重要的方式改善他们对实际GDP增长的预测。我们的发现表明，在预测实际经济活动时，专业的宏观预测员和股票市场投资者并未充分体现总会计盈利能力驱动因素的预测内容。在其他分析中，我们检查了股票市场收益与随后的实际GDP增长部分之间的关​​联，该关联基于我们的总会计盈利能力驱动因素指数是可预测的，而股票市场投资者则无法预测。我们发现这部分与股票市场收益成正相关，这表明总会计利润驱动因素的宏观预测内容与股票估值有关。总体而言，我们的研究使财务报表分析成为最前沿的工具，可作为衡量实体经济前景的一种渐进有用的工具，应引起学者和实践者的兴趣。

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