Journal of Accounting and Economics, Volume 58, Issue 1, August 2014, Pages 1-20

從宏觀到微觀：國家依賴、公司基本面與股票收益

作者：Ningzhong Li (University of Texas at Dallas), Scott Richardson (London Business School), ?rem Tuna (London Business School)

摘要：我們從權益投資者的角度，構建了一個能将宏觀經濟信息運用到公司層面預測中的系統化方法。利用1998-2010年期間全球198315條“公司-年”合并數據進行分析，我們發現将公司的國家依賴（通過地理細分數據得到）與國家宏觀形勢預測相結合，可以提高對公司基本面的預測能力，并且這種能力的提升在非跨國公司身上體現得尤為明顯。同時，我們還發現這種預測的優越性與股票的超額收益相聯系，在對不同國家宏觀形勢預期差别越大的時期，這種關系越強。

關鍵詞：宏觀經濟依賴性，收入，股票收益，地理分部

Macro to micro: Country exposures, firm fundamentals and stock returns

Ningzhong Li (University of Texas at Dallas), Scott Richardson (London Business School), ?rem Tuna (London Business School)

ABSTRACT

We outline a systematic approach to incorporate macroeconomic information into firm level forecasting from the perspective of an equity investor. Using a global sample of 198,315 firm-years over the 1998–2010 time period, we find that combining firm level exposures to countries (via geographic segment data) with forecasts of country level performance, is able to generate superior forecasts for firm fundamentals. This result is particularly evident for purely domestic firms. We further find that this forecasting benefit is associated with future excess stock returns. These relations are stronger after periods of higher dispersion in expected country level performance.

原文鍊接：http://www.sciencedirect.com/science/article/pii/S0165410114000172

翻譯：汪國頌