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Anticipating Early Data Revisions to US GDP and the Effects of Releases on Equity Markets

Author

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  • Michael P. Clements

    (ICMA Centre, Henley Business School, University of ReadingAuthor-Name: Ana Beatriz Galvao)

Abstract
The effects of data uncertainty on real-time decision-making can be reduced by predicting early revisions to US GDP growth. We show that survey forecasts efficiently anticipate the first-revised estimate of GDP, but that forecasting models incorporating monthly economic indicators and daily equity returns provide superior forecasts of the second-revised estimate. We consider the implications of these findings for analyses of the impact of surprises in GDP revision announcements on equity markets, and for analyses of the impact of anticipated future revisions on announcement-day returns.

Suggested Citation

  • Michael P. Clements, 2014. "Anticipating Early Data Revisions to US GDP and the Effects of Releases on Equity Markets," ICMA Centre Discussion Papers in Finance icma-dp2014-06, Henley Business School, University of Reading.
    • Handle: RePEc:rdg:icmadp:icma-dp2014-06
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    References listed on IDEAS

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    More about this item

    Keywords

    Survey forecasts; data revisions; economic indicators; stock returns; macro announcements;
    All these keywords.

    JEL classification:

    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods

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