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

Tuna, I and Richardson, S A and Li, N (2014) Macro to micro: Country exposures, firm fundamentals, and stock returns. Journal of Accounting and Economics, 58 (1). pp. 1-20. ISSN 0165-4101

Full text not available from this repository.


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.

Item Type: Article
Additional Information: © 2014 Elsevier B.V.
Subject Areas: Accounting
DOI: 10.1016/j.jacceco.2014.04.005
Date Deposited: 02 Mar 2016 18:51
Last Modified: 09 Aug 2017 08:57

Actions (login required)

Edit Item Edit Item