题目：Understanding Analysts’ Use of Macroeconomic News.
嘉宾：Hui Ding, Ph.D. candidate, Fudan University
In this paper, we use Medovikov’s Macroeconomic New Index (MNI) to examine how analysts incorporate macroeconomic news in their earnings forecasts. We find that while analysts incorporate quarterly macroeconomic news, they underreact to it. Decomposing quarterly MNI data into monthly data, we find that the third month of each quarter carries the most information about firm fundamentals, yet analysts’ underreaction is greatest to that month’s news. In addition, analysts’ reaction to macroeconomic news varies cross-sectionally in a predictable way. Analysts incorporate macroeconomic news more efficiently when firms have lower exposure to the macroeconomy, when macroeconomic uncertainty is low, and when analysts have more industry-specific experience. Finally, we show that analysts’ underreaction to macroeconomic news has consequences, as MNI is predictive of abnormal returns around subsequent earnings announcements.
Hui Ding is a PhD student at Fudan University. She has a one-and-a-half-year experience of research work at Yale SOM. Prior to the PhD program, she earned her Bachelor's degree in Accounting and Master of Professional Accounting degree from Shanghai Jiao Tong University. Her research interests include Fintech, social media, information assimilation, macro news and firm fundamentals.