Panel Data Nowcasting: The Case of Price-Earnings Ratios

28 Pages Posted: 9 Sep 2022 Last revised: 22 Aug 2023

See all articles by Andrii Babii

Andrii Babii

University of North Carolina at Chapel Hill

Ryan T. Ball

The Stephen M. Ross School of Business at the University of Michigan

Eric Ghysels

University of North Carolina Kenan-Flagler Business School; University of North Carolina (UNC) at Chapel Hill - Department of Economics

Jonas Striaukas

Copenhagen Business School

Date Written: August 24, 2022

Abstract

This paper uses structured machine learning regressions for nowcasting with panel data consisting of series sampled at different frequencies. Motivated by the problem of predicting corporate earnings for a large cross-section of firms with macroeconomic, financial, and news time series sampled at different frequencies, we focus on the sparse-group LASSO regularization which can take advantage of the mixed frequency time series panel data structures. Our empirical results show the superior performance of our machine learning panel data regression models over analysts’ predictions, forecast combinations, firm-specific time series regression models, and standard machine learning methods.

Keywords: Corporate earnings, nowcasting, high-dimensional panels, mixed frequency data, textual news data, sparse-group LASSO

JEL Classification: G17, C22, C51, C52, C53, C55, C58, M41

Suggested Citation

Babii, Andrii and Ball, Ryan T. and Ghysels, Eric and Striaukas, Jonas, Panel Data Nowcasting: The Case of Price-Earnings Ratios (August 24, 2022). Available at SSRN: https://ssrn.com/abstract=4200607 or http://dx.doi.org/10.2139/ssrn.4200607

Andrii Babii (Contact Author)

University of North Carolina at Chapel Hill ( email )

Gardner Hall, CB 3305
Chapel Hill, NC 27514
United States

Ryan T. Ball

The Stephen M. Ross School of Business at the University of Michigan ( email )

701 Tappan Street
Ann Arbor, MI MI 48109
United States

Eric Ghysels

University of North Carolina Kenan-Flagler Business School ( email )

Kenan-Flagler Business School
Chapel Hill, NC 27599-3490
United States

University of North Carolina (UNC) at Chapel Hill - Department of Economics ( email )

Gardner Hall, CB 3305
Chapel Hill, NC 27599
United States
919-966-5325 (Phone)
919-966-4986 (Fax)

HOME PAGE: http://https://eghysels.web.unc.edu/

Jonas Striaukas

Copenhagen Business School ( email )

A4.17 Solbjerg Plads 3
Copenhagen, Frederiksberg 2000
Denmark

HOME PAGE: http://jstriaukas.github.io

Do you have negative results from your research you’d like to share?

Paper statistics

Downloads
217
Abstract Views
883
Rank
255,035
PlumX Metrics