Aggregate Financial Misreporting and the Predictability of U.S. Recessions
نویسندگان
چکیده
We rely on the theoretical prediction that financial misreporting peaks before economic busts to examine whether aggregate ex ante measures of likelihood improve predictability U.S. recessions. consider six and show Beneish M-Score significantly improves out-of-sample recession at longer forecasting horizons. Specifically, relative leading models based yield spreads market returns, increases average probability a across forecast horizons six-, seven-, eight-quarters-ahead by 56 percent, 79 92 respectively. These findings are robust alternative definitions interest rate spreads, controlling for federal funds rate, investor sentiment, earnings growth. performance likely arises because firms with high M-Scores tend experience negative future performance. Overall, this study provides novel evidence accounting information can be useful forecasters regulators interested in assessing recessions few quarters ahead.
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ژورنال
عنوان ژورنال: Social Science Research Network
سال: 2021
ISSN: ['1556-5068']
DOI: https://doi.org/10.2139/ssrn.3790566