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作 者:孙坚强[1] 吴灏 蔡玉梅[1] SUN Jianqiang;WU Hao;CAI Yumei(South China University of Technology)
机构地区:[1]华南理工大学经济与贸易学院,邮政编码510006
出 处:《经济研究》2018年第5期161-174,共14页Economic Research Journal
基 金:国家社会科学基金面上项目(17BJY191)"基于公司业绩预警视角的盈利预测对通胀预期的影响机制研究"的研究成果
摘 要:本文探讨加总的意外盈余是否传递出未来通货膨胀的信号,以及经济主体的通胀预期是否对该信息做出反应。论文根据公司管理层的盈余预测计算加总意外盈余的五种测度,实证发现加总的意外盈余显著传递出未来CPI通货膨胀的信号,有助于增益经济主体对通货膨胀的预测,公司盈余信息在加总层面具有预测宏观经济变量的价值。论文进而根据人民银行储户问卷调查计算居民公众的通胀预期和通胀预测误差,实证发现居民公众的通胀预测误差与历史的加总意外盈余显著相关,加总意外盈余对通胀预测误差具有显著解释力。可见,居民公众预测通胀、形成通胀预期的过程中并没有充分使用加总的公司盈余信息,并未对加总意外盈余传递出的通胀信号做出反应。实证结果对加总意外盈余、通胀预期的不同测度,以及工业子样本均稳健。Inflation expectations play a key role in economic theory and practice.To improve the accuracy of inflation forecasts,economic agents react to relevant information and incorporate these data into their forecasts.The information content of accounting earnings have been well studied at the firm level,and information contained in earnings at the aggregate level in capital markets have recently been studied by Kothari et al.(2006),who document a puzzling negative relation between aggregate earnings growth and market returns and provide evidence that aggregate earnings contain information about inflation.Subsequent studies,such as Shivakumar(2007),Cready&Gurun(2010),Konchitchki&Patatoukas(2014),Patatoukas(2014),and Gallo et al.(2016),have investigated the macroeconomic information content of aggregate earnings.Recently,Kothari et al.(2013)and Shivakumar&Urcan(2017)have used analysts earnings forecasts to calculate aggregate earnings' surprises and have found evidence that PPI inflation information is conveyed in aggregate earnings surprises and that this information is not incorporated in professionals inflation forecasts.Managers also make and release earnings forecasts based on their insiders'view of the firm.Management earnings forecasts are also referred to as earnings guidance.With more and more management earnings forecasts released every quarter,they are becoming increasingly representative and may be informative not only at the firm level but also at the aggregate level of macroeconomic variables.This study investigates the inflation content of aggregate earnings surprises measured by management earnings forecasts.The sample consists of 57940 management earnings forecasts released between 2004 Q1 and 2016 Q4.We calculate a quarterly firm-level earnings surprise as the realized earnings minus the forecast earnings,divided by the absolute value of the forecast earnings.Five measurements of aggregate earnings surprises are then derived by taking weighted averages of firm-level surprises based on f
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