A VAR Model for the Macroeconomic Indicators Restatements Predicting : Introduction to Macroaccounting Theory
الموضوعات :
Vahid BekhradiNasab
1
(Department of Accounting, Najafabad Branch, Islamic Azad University, Najafabad, Iran.)
Ehsan Kamali
2
(Department of Accounting, Najafabad Branch, Islamic Azad University, Najafabad, Iran.)
khadijeh Ebrahimi kahrizsangi
3
(Department of Accounting, Najafabad Branch, Islamic Azad University, Najafabad, Iran.)
الکلمات المفتاحية: Corporate Profit, GDP Forecast, Macroaccounting, Aggregate Accounting Information, Accounting Earning,
ملخص المقالة :
The emergence of a new theory of"macroaccounting" with a new wave of accounting research over the last decade tries to explain and use the Aggregate information of interim accounting statements in economic forecasts. Macroaccounting theory suggests that economists and macroeconomic forecasters use Aggregate accounting information at the macroeconomic level. For example, accounting earning is used to predict GDP, cost stickiness is used to predict unemployment, and the ratio of book value to market value is used to predict inflation. Earnings growth dispersion contains information about trends in labor reallocation, unemployment change, and, ultimately, aggregate output. initial macroeconomic estimates released by the Central bank of Islamic Republic of Iran and Planning and Budget Organization and Statistical Center of Iran do not fully incorporate this information. Accordingly, the present study, based on macroaccounting theory, has examined the Predicting Restatements in Macroeconomic Indicators using Accounting Information. The population of this study includes all companies listed in the TSE. Due to the seasonality of the data and the fit of the models in a time series, the observations reach 40 times (2008:1to2018:4). The research method is based on time series data, VARtechnique. the The results suggest that earnings growth dispersion provides related data about final GDP growth. The results suggest that after considering the effect of other influential factors, specifically real initial GDP, earnings growth dispersion is useful in forecasting future GDP changes. The findings are important for economists and policymakers to have more accurate economic estimation and prediction by applying for accounting Information.
[1] Abarbanell, J., Bushee, B., Abnormal Returns to a Fundamental Analysis Strategy, The Accounting Review, 1998, 73(1), P.19-45. Doi:10.2139/ssrn.2379311.
[2] Brainard, L., Cutler. D., Sectoral shifts and cyclical unemployment reconsidered, Quarterly Journal of Economics, 1993, 108, P. 219– 243. Doi:10.2307/2118501.
[3] Campbell, JY., A Variance Decomposition for Stock Returns, The Economic Journal, 1991, 20(101), P.157-179. Doi:10.2307/2233809.
[4] Campbell, JY., Vuolteenaho T., Bad Beta, Good Beta, American Economic Review, 2004, 94, P.1249-1275. Doi: 10.1257/0002828043052240.
[5] Davis, S., Fluctuations in the pace of labor reallocation, Carnegie-Rochester Conference Series on Public Policy, 1987, 27, P.335–402. Doi:10.1016/0167-2231(87)90013-3.
[6] Gilbert, T., Information aggregation around macroeconomic announcements:Revisions matter, Journal of Financial Economics, 2011،101, P.114–131.Doi:10.1016/j.jfineco.2011.02.013.
[7] Jorgensen, B., Li, J., Sadka. G., Earnings dispersion and aggregate stock returns, Journal of Accounting and Economics, 2012, 53(1/2), P.1–20. Doi: 10.1016/j.jacceco.2011.06.001.
[8] Kalay, A., Nallareddy, S., Sadka, G., Uncertainty and sectoral shifts: The interaction between firm-level and aggregate-level shocks and macroeconomic activity, Management Science (forthcoming), 2016, 64(1), P.198-214. Doi:10.1287/mnsc.2016.2581.
[9] Konchitchki, Y., Inflation and nominal financial reporting: Implications for performance and stock prices, The Accounting Review, 2011, 86(3), P.1045–1085. Doi: 10.2308/accr.00000044.
[10] Konchitchki, Y., Patatoukas. N., Accounting earnings and gross domestic product, Journal of Accounting and Economics, 2014, 2(57), P.76–88. Doi: 10.1016/j.jacceco.2013.10.001.
[11] Konchitchki, Y., Patatoukas. N., Taking the pulse of the real economy using financial statement analysis: Implications for macro forecasting and stock valuation, The Accounting Review, 2014, 89, P.669–694. Doi:10.2139/ssrn.2365633.
[12] Lev, B., Thiagarajan, R., Fundamental information analysis, Journal of Accounting Research, 1993, 31(2), P.190-215. Doi:10.2307/2491270.
[13] Lilien, D. M., Sectoral shifts and cyclical unemployment, Journal of Political Economy, 1982, 90, P.777–793. Doi:10.1006/jjie.2001.0476.
[14] Loungani, P., Rush, M., Tave. W., Stock market dispersion and unemployment, Journal of Monetary Economics, 1990, 25, P.367–388. Doi:10.1016/0304-3932(90)90059-D.
[15] Lucas, R. E., Prescott. E. C., Equilibrium search and unemployment, Journal of Economic Theory, 1974, 7(2), P.88–209. Doi:10.1016/0022-0531(74)90106-9.
[16] Nallareddy, S., Ogneva, M., Predicting Restatements in Macroeconomic Indicators using Accounting Information, The Accounting Review, 2017, 92(2), P.151-182. Doi:10.2139/ssrn.2444014.
[17] Nissim, D., Penman, S.H., Ratio analysis and equity valuation: From research to practice, Review of Accounting Studies, 2001, 6(1), P.109–154. Doi:10.1023/A:1011338221623.
[18] Okun, A. M., Potential GNP: Its measurement and significance, In Proceedings of the Business and Economic Statistics Section of the American Statistical Association, 1962, 3, P.98–103. Doi:10.1016/0167-2231(79)90009-5.
[19] Ou, J., Penman, S., Financial statement analysis and the prediction of stock returns, Journal of Accounting and Economics, 1989, 11(4), P.295-329. Doi:10.1016/0165-4101(89)90017-7.
[20] Patatoukas, PN., Customer-base concentration: Implications for firm performance and capital markets, The Accounting Review, 2012, 87(2), P.363–392. Doi: 10.2308/accr-10198.
[21] Penman, S., Return to fundamentals, Journal of Accounting, Auditing, and Finance, 1992, 7(4), P.465-483. Doi:10.1177/0148558X9200700403.
[22] Sims, C.A., The Role of Models and Probabilities in the Monetary Policy Process, Brookings Papers on Economic Activity, 2002, 2, P.1–40. Doi:10.1353/eca.2003.0009.
[23] Vuolteenaho, T., What drives firm level stock returns? Journal of Finance, 2002, 57, P.233–264. Doi:10.3386/w8240.
[24] Zanjirdar, M., Overview of Portfolio Optimization Models, Advances in Mathematical Finance and Applications, 2020, 5(4), P. 419-435. Doi: 10.22034/amfa.2020.674941 (in Persian).
