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- W2152743972 abstract "The effects of data uncertainty on real-time decision-making can be reduced by predicting data revisions to U.S. GDP growth. We show that survey forecasts efficiently predict the revision implicit in the second estimate of GDP growth, but that forecasting models incorporating monthly economic indicators and daily equity returns provide superior forecasts of the data revision implied by the release of the third estimate. We use forecasting models to measure the impact of surprises in GDP announcements on equity markets, and to analyze the effects of anticipated future revisions on announcement-day returns. We show that the publication of better than expected third-release GDP figures provides a boost to equity markets, and if future upward revisions are expected, the effects are enhanced during recessions." @default.
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- W2152743972 date "2017-04-11" @default.
- W2152743972 modified "2023-10-16" @default.
- W2152743972 title "Predicting Early Data Revisions to U.S. GDP and the Effects of Releases on Equity Markets" @default.
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- W2152743972 doi "https://doi.org/10.1080/07350015.2015.1076726" @default.
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