A B S T R A C T
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.
& 2014 Elsevier B.V. All rights reserved.
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کد محصول : شماره 289
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