Aggregate Financial Misreporting and the Predictability of U.S. Recessions and GDP Growth
研究发现总体财务误报指标（M-Score）能提前5-8个季度预测经济衰退，并与未来实际GDP、投资、消费和工业产出增长下降显著相关，对预测者和监管者有参考价值。
ABSTRACT This study examines the incremental predictive power of aggregate measures of financial misreporting for recession and real gross domestic product (GDP) growth. We draw on prior research suggesting that misreporting has real economic effects because it represents misinformation on which firms base their investment, hiring, and production decisions. We find that aggregate M-Score incrementally predicts recessions at forecast horizons of five to eight quarters ahead. We also find that aggregate M-Score is significantly associated with lower future growth in real GDP, real investment, consumption, and industrial production. Additionally, our result that aggregate M-Score predicts lower real investment one to four quarters ahead partially accounts for why misreporting predicts recessions five to eight quarters ahead. Our findings are weaker when we use aggregate F-Score as a proxy for misreporting. Overall, this study provides novel evidence that aggregate misreporting measures can aid forecasters and regulators in predicting recessions and real GDP growth. JEL Classifications: M41.