Understanding Analysts’ Use of Macroeconomic News
用宏观经济新闻指数（MNI）研究分析师如何利用宏观经济新闻进行盈利预测，发现分析师会参考但反应不足，且反应效率受企业宏观敞口、不确定性和分析师经验影响，同时MNI能预测后续盈余公告收益。
Using a comprehensive measure, the Macroeconomic News Index (MNI), we examine how analysts use macroeconomic news in their earnings forecasts. We find that analysts incorporate but underreact to quarterly macroeconomic news. Cross-sectionally, analysts’ reaction to macroeconomic news varies in a predictable way. Analysts incorporate macroeconomic news more efficiently when firms have lower exposure to the macro economy, when macroeconomic uncertainty is low, and when analysts have more industry-specific experience. Finally, we examine the implications of macroeconomic news on earnings formation and stock returns. We find that quarterly MNI is informative about the procyclicality of firms’ sales and costs and analysts underreact only to sales-side information. We also document that quarterly MNI is predictive of subsequent earnings announcement returns, indicating that investors also underreact to macroeconomic news. JEL Classifications: G12; G14; G24