Data revisions to German national accounts: Are initial releases good nowcasts?

Data revisions to national accounts pose a serious challenge to policy decision making. Well-behaved revisions should be unbiased, small, and unpredictable. This article shows that revisions to German national accounts are biased, large, and predictable. Moreover, with use of filtering techniques designed to process data subject to revisions, the real-time forecasting performance of initial releases can be increased by up to 23%. For total real GDP growth, however, the initial release is an optimal forecast. Yet, given the results for disaggregated variables, the averaging out of biases and inefficiencies at the aggregate GDP level appears to be good luck rather than good forecasting.     

股市对业绩预告修正一视同仁吗？

本文搜集我国A股上市公司2002年至2011年间发布的所有业绩预告修正公告中董事会披露的业绩修正原因说明,首次系统地分析了我国独特的业绩预告制度下的业绩修正原因如何影响股市投资者对业绩修正的判断。研究结果显示,公司解释业绩预告变动原因时带有倾向性,公司对利好消息和利空消息的解释会倾向于不同的原因,而且业绩变动原因对股市投资人理解业绩预告有重大的影响。如果公司将原因归于公司不可控的宏观原因、不可控的会计因素和会计记账错误,股市对利好的业绩修正反应更强烈,也能削弱利空消息对股市的打击程度。如果是其它原因或公司不说明原因,股市的反应会更加糟糕。本文为资本市场投资者了解业绩修正原因说明的经济后果提供了实证证据。     

Predicting benchmarked US state employment data in real time

US payroll employment data come from a survey and are subject to revisions. While revisions are generally small at the national level, they can be large enough at the state level to alter assessments of current economic conditions. Users must therefore exercise caution in interpreting state employment data until they are “benchmarked” against administrative data 5–16 months after the reference period. This article develops a state-space model that predicts benchmarked state employment data in real time. The model has two distinct features: (1) an explicit model of the data revision process and (2) a dynamic factor model that incorporates real-time information from other state-level labor market indicators. We find that the model reduces the average size of benchmark revisions by about 11 percent. When we optimally average the model’s predictions with those of existing models, the model reduces the average size of the revisions by about 14 percent.     

Rewriting earnings history

Research on the usefulness of financial information generally focuses on the innovation in the information examined, such as an earnings surprise or cash flow growth. Consequently, prior research sheds little light on the role of the rich historical record of financial information in users’ decision-making. Using a sample of published restatements of earnings, we show that the revision of the historical pattern of earnings, distinct from the magnitude of the restatement and its impact on current earnings, significantly affects investors’ decisions and predicts class action lawsuits. Specifically, we find that restatements that eliminate or shorten histories of earnings growth or positive earnings have significantly more adverse effects for investor valuations and the likelihood of lawsuits than other restatements. This evidence about the value-relevance of refreshing the historical record of earnings is pertinent to the FASB’s recent cautious expansion of the scope of circumstances that require a restatement of financial information in FAS 154.

Information aggregation around macroeconomic announcements: Revisions matter

I show that an empirical relation exists between stock returns on macroeconomic news announcement days and the future revisions of the released data but that this link differs across the business cycle. Using three major macroeconomic series that undergo significant revisions (nonfarm payroll, gross domestic product, and industrial production), I present evidence that daily returns on the Standard & Poor's 500 index and revisions are positively related in expansions and negatively related in recessions. The results suggest that revisions do matter, i.e., that investors care about the final revised value of a macroeconomic series, that they infer accurate information from the release of the preliminary inaccurate report, and that the more precise information is aggregated into prices on the day of the initial announcement. The results are consistent with the predictions of rational expectations trading models around public announcements combined with well-established empirical results on the asymmetric interpretation of information across the business cycle.     

The effect of non-recurring items on analysts’ earnings forecasts

This article discusses the effects of non-recurring profits and losses on statement users’ decision-making processes from the perspective of securities analysts. We examine the relationship between analysts’ forecast revisions and firms’ non-recurring earnings. We find that 1) non-recurring gains and losses can influence analysts’ earnings forecast revision; 2) compared with non-recurring items resulting from policy changes, analysts are more concerned about those attributed to changes in business scope; 3) if listed companies use non-recurring items to turn losses into gains during earnings management, it will weaken the effects of non-recurring items on analysts’ earnings forecast revision. The results suggest that non-recurring items that result from changes in business scope incorporate information that users need for the future operation of the business. This article verifies the information relevance of non-recurring items and provides evidence for the necessity of non-recurring item disclosure.     

GDP Estimates: Rationality Tests and Turning Point Performance

The reliability of BEA’s estimates, as measured by the magnitude and pattern of revisions, is highly important to economic policy-making and business decisions. We find evidence that the revisions are partially predicable using contemporaneously available information for the current quarterly estimates of GDP. Information about national income is found to significantly supplement the information found in the final current quarterly estimates of GDP in explaining the revisions to the latest-available estimates of GDP. However, there is little evidence of the predictability of revisions in GDI or national income. Finally, both the advance and final current quarterly estimates are found to do a reliable job of measuring GDP and GDI around cyclical peaks, but a less reliable job around cyclical troughs, the declines preceding the troughs are overstated and the upturns after the troughs are understated. An earlier and somewhat expanded version of this paper, “Revisions, Rationality, and Turning Points in GDP,” was presented at the session “Tracking the Turning Points in the Economy,” AEA meetings January 3–5 2003, Washington DC. It is available in the “working papers” section of BEA’s web site, www.bea.gov     

First announcements and real economic activity

The recent literature suggests that first announcements of real output growth in the US have predictive power for the future course of the economy while the actual value of output growth does not. We show that this need not point to a behavioural relationship, whereby agents respond to perceptions instead of the truth, but may instead simply be a by-product of the data revision process. The revisions to the initial estimates which define the final values of the observations are shown to be key in determining any relationship between first announcements and the future course of the economy.